NATIXIS - 2018 Registration document and annual financial report

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

Registration document page number

Subject

Title of table

Banking book EAD by agency (NX33 BIS)

206

Securitization exposures in the banking book (SEC1)

206

Securitization exposures in the trading book (SEC2)

207

On and off-balance sheet EAD according to the role of Natixis in the banking book (NX31-A)

207

Securitization

EAD according to the role of Natixis in the trading book (NX31-B)

207

Re-securitization exposures before and after substitution (NX34)

207

Securitization exposures in the banking book and associated capital requirements – Bank acting as originator or as sponsor (SEC3)

208

Securitization exposures in the banking book and associated capital requirements – Bank acting as investor (SEC4)

208

Market risk under the standardized approach (EU MR1)

209

3

VaR, stressed VaR and IRC within the regulatory scope (MR3)

209

Market risk

Backtesting within the regulatory scope (MR4)

209

Market risk under the IMA (EU MR2-A)

210

Liquidity ratio (LCR) at 31/12/2018

213

Comparison of accounting exposures and leverage exposures (LR1)

180

Liquidity risk

Leverage ratio (LR2)

181

Measure of sensitivity to a +1 bp variation in interest rates, by maturity at December 31, 2018

152

Management of structural interest rate risk

Interest rate gap by maturity at December 31, 2018

152

NII sensitivity and economic value of equity (IRRBB – Table B)

152

Encumbered and unencumbered assets at 31/12/2018 (in millions of euros)

210-211

Other information

Breakdown of financial liabilities by contractual maturity

153-154

Exposure to monoline insurers

164

European RMBS

164

CMBS

164

Exposures to countries subject to a rescue plan

165

At-risk exposures

217

Natixis Registration Document 2018