NATIXIS - 2018 Registration document and annual financial report

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

SECURITIZATION EXPOSURES IN THE TRADING BOOK (SEC2) 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)

RMBS

49 12

49 12

Consumer ABS

Consumer loans Re-securitization RETAIL (TOTAL) – OF WHICH: Corporate loans ABS Collateralized debt obligations

61

61

3

25

25

CMBS Other

115

115

Re-securitization

1

1

WHOLESALE (TOTAL)

141

141

EAD AND RWA ACCORDING TO NATIXIS’ ROLE IN THE BANKING BOOK (NX31-A) R

EAD

RWA

Capital requirements

(in millions of euros)

Investor

1,473

480 399

38 32

Balance sheet

962 511

Off-balance sheet

81

6

Originator

2,861 2,861 5,833 1,506 4,327

595 595

48 48

Balance sheet

Sponsor

1,970

158

Balance sheet

338

27

Off-balance sheet

1,632

131

TOTAL 31/12/2018 TOTAL 31/12/2017

10,167

3,045 2,487

244 200

8,434

EAD ACCORDING TO NATIXIS’ ROLE IN THE SECURITIZATION TRADING BOOK (NX31-B) R

31/12/2018

Role (in millions of euros)

EAD 202

RWA

Capital requirements

Investor

196

16

Originator Sponsor TOTAL 31/12/2018 TOTAL 31/12/2017

202 196

196 169

16 14

RE-SECURITIZATION EXPOSURES BEFORE AND AFTER SUBSTITUTION (NX34) R

Exposure

Protection

EAD

(in millions of euros) Guarantor rating

0 0

0 0

0 0 0 1

Sub-total

TOTAL 31/12/2018 TOTAL 31/12/2017

0

0

58

57

207

Natixis Registration Document 2018