NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

B — Internal rating system (Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis relies on four external rating agencies for securitization transactions: Moody’s, DBRS, Fitch IBCA and Standard & Poor’s. These agencies cover all types of exposures.

BANKING BOOK EAD BY AGENCY (NX33 BIS) R

EAD (in millions of euros)

Standardized approach

IRB approach

Total

Moody’s

586

10

596

DBRS

1,623

906

2,529

Fitch IBCA

484 945 235

484

Standard & Poor’s

235

1,179

Not rated

235

Transparency

2,521

2,521 2,622

Regulatory method

2,622

TOTAL

6,495

3,672

10,167

C – Natixis’ securitization exposures SECURITIZATION EXPOSURES IN THE BANKING BOOK (SEC1) R

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Traditional Synthetic

Sub-total Traditional Synthetic

Sub-total Traditional Synthetic

Sub-total

(in millions of euros)

UNCONSOLIDATED SPV RMBS

3 4

3 4

411 181

411 181

420 399 227

420 399 227

Consumer ABS Consumer loans Re-securitization

19

19

44

44

TOTAL RETAIL

26

26

636

636

1,047

1,047

Corporate loans

4

2,597

2,601

ABS

423

423

107

107

ABCP

1,870 2,905

1,870 2,905

Collateralized debt obligations

19

19

307

307

CMBS Other

215

215

6 7

6 7

Re-securitization Wholesale (total)

238

2,597

2,835

5,197

5,197

426

426

TOTAL UNCONSOLIDATED SPV

264

2,597

2,861

5,833

5,833

1,473

1,473

Consolidated SPV Consumer loans (Retail)

648

648

Corporate loans (Wholesale)

2,971

2,971

TOTAL CONSOLIDATED SPV

3,619

3,619

206

Natixis Registration Document 2018