2016 RISK AND PILLAR III REPORT SECOND UPDATE AS OF JUNE 30, 2017

Transcription

1 2016 RISK AND PILLAR III REPORT SECOND UPDATE AS OF JUNE 30, 2017

2 NATIXIS Risk & Pillar III Report second update as of June 30,

3 TABLE OF CONTENTS Update by chapter of the Risk and Pillar III Report 2016 At June 30, KEY FIGURES CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Composition of capital Changes in regulatory capital, regulatory own funds requirements and ratios in the first half of CREDIT AND COUNTERPARTY RISKS Credit and counterparty risks CREDIT RISK Credit risk mitigation techniques Credit risk exposures Credit risk: standardized approach Credit risk exposure and CRM effects under the standardized approach Credit risk: internal ratings-based approach Exposure to credit risk according to the internal rating system COUNTERPARTY RISK Counterparty risk exposure Capital requirements and risk-weighted assets SECURITIZATION Natixis securitization exposures Capital requirements MARKET RISK Detailed quantitative disclosures OVERALL INTEREST RATE, LIQUIDITY, STRUCTURAL FOREIGN EXCHANGE RISKS Governance and organization Management of liquidity and funding risk Monitoring system Funding principles and structure Reserves and operational management of ratios Overall interest rate risk Quantitative disclosures Other information Monitoring of rating triggers COMPLIANCE AND REPUTATIONAL RISK, LEGAL RISK Legal risk Legal and arbitration proceedings OTHER RISKS Sensitive exposures Risks related to insurance activities Natixis Assurances Coface APPENDICES Appendix 1: Transition from the accounting balance sheet to the regulatory balance sheet at June 30, Appendix 3: Leverage ratio (LR2) Appendix 4: Table index Appendix 5: Cross-reference table between articles of the CRR and the Pillar III report NATIXIS Risk & Pillar III Report second update as of June 30,

4 1 KEY FIGURES EXECUTIVE SUMMARY Main capital and solvency ratio figures FULLY LOADED* Requirement (Phase In) 16,0 Bn Capital Ratio : 14,2% (vs 13,2% in T4 2016) 16,0 15,2 18,0 Bn Capital Ratio : 15,4% (vs 14,5% in T4 2016) 17,3 16,8 14,0 12,0 10,0 8,0 6,0 4,0 13,6 12,4 12,9 12,0 16,0 14,0 12,0 10,0 8,0 6,0 4,0 14,7 12,6 14,2 12,5 2,0 2, CET 1 Capital Tier 1 Capital Total Ratio CET 1 Capital Tier 1 Capital Total Ratio * Fully loaded, i.e. applying all CRD IV rules without transitional measures FULLY LOADED Requirement (Phase In) (in million of euros) Common equity (CET1) Tier 1 Total capital Risk weighted assets Ratio CET1 Ratio Tier 1 Total capital ratio ,0 % 10,4 % 11,2 % 10,8 % 12,1 % 11,1 % 13,1 % 12,3 % 14,2 % 13,2 % 15,4 % 14,5 % Changes in main capital ratio figures CET1 (%) Tier1 (%) Total Ratio (%) CET1 (%) Tier1 (%) Total Ratio (%) 13,1 % 13,4 % 13,2 % 13,8 % 14,2 % 15,0% 15,1% 14,5% 15,1% 15,4% 10,9 % 10,2% 11,2 % 11,1 % 10,5% 10,4% 11,8 % 10,6% 12,1 % 11,0% 12,6% 12,8% 11,1% 11,3% 12,3% 10,8% 12,8% 10,9% 13,1% 11,2% FULLY LOADED* Requirement (Phase In) * without transitional measures NATIXIS Risk & Pillar III Report second update as of June 30,

5 Regulatory Capital 11.2% 8.75 % 1.25% Buffer Conservation CET1 3.0% Pillar II Requirement Natixis 4.5% Minimum Pillar I Regulatory ratios Regulatory requirement* *ECB Minimum prudential requirements based on the supervisory review and evaluation process (SREP) Capital requirements by risk type Capital requirements by key business line Market risk 10% Operational risk 12% Specialized Financial Services 14% Investment Solutions 15% Corporate Center 11% CVA risk 2% Financial Investments 5% Credit and counterparty risk 76% Corporate & Investment Banking 54% Treasury & Collateral Management 1% Credit and counterparty RWA by category of exposure Credit and counterparty RWA by business sector Other items 10% Equities 19% Exposures at default 1% Fin. Institutions 4% Administration 3% Securitization 3% Oil&Gas - Independant 2% Securitization 3% Retail 2% Central governments 3% UCITS 5% Banks 5% Holdings 2% Oil&Gas - Distribution 2% Automotive 2% Institutions 6% Corporate 56% Insurers(*) 14% * including participations in insurance companies NATIXIS Risk & Pillar III Report second update as of June 30,

6 Credit and counterparty RWA by type of exposure with default/non-default* Defaulted Non-defaulted (in Billion of euros) * : Excluding contributions to the default fund of a CCP RWA by S&P Grade Credit and counterparty RWA by approach AA+ to AA- 3% A+ to A- 9% IRB-F 30% STD 19% unrated 32% BBB+ to BBB- 22% D 4% CCC+ to CCC- 1% B+ to B- 9% BB+ to BB- 20% * Excluding exposures with French State (deferred tax assets - DTAs), investments and with contributions to the default fund of a CCP IRB-A 51% Credit and counterparty RWA (in Bn) by geographical (**) area and approach Americas France % 55% ,0 EU* Asia % 6% 15.3 EMEA % 4.5 SA IRB * EU : supranational counterparties are also disclosed in this category ** Country risk NATIXIS Risk & Pillar III Report second update as of June 30,

7 Leverage ratio phase in Requirement (Phase In) (in billion of euros) Capital CET 1 Total assets on the prudential balance shee Adjustments for derivative financial instrum Adjustments for securities financing transac Adjustment for off-balance sheet items Other adjustments Total leverage ratio exposure Regulatory Ratio ,7 420,5-36,4-17,1 35,9-19,1 383,8 3,8 % of which deals with BPCE affiliates 35,0 Ratio without affiliates* 4,2 % *Following the article 429(7) of the delegated act vision allowing Institutions to exclude exposures with affiliates (BPCE and subsidiaries, Banques Populaires, Caisses d'epargne), (pending approval request from BCE). Excluding BPCE affiliates (BPCE and subsidiaries, Banques Populaires, Caisses d'epargne), the pro forma, delegated act leverage ratio was 4,1 % as of 31st of December 2015 (3.5 % including BPCE affiliates) Securitization exposures in the banking book RWA by type of securitization RWA by role ABS RWA by underlying 17 % 24% 55 % 28 % Corporate loans 21% CDO 23% CMBS 1% Classic securitization 83 % Synthetic securitization 17 % Investor Originator Sponsor Consumer loans 8% Consumer ABS 14% RMBS 9% Focus on Counterparty risk Liquidity Coverage Ratio Notional and EAD by type Repos 44% Others 9 % Interest rate 17% Currency 13% Net cash outflows: 58 Bn LCR = 108 % Liquid assets: 63 Bn Notional EAD (%) Equity 14% Commodity 3% NATIXIS Risk & Pillar III Report second update as of June 30,

8 3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY 3.3 Composition of capital Table 2: Transition from shareholder s equity to prudential capital after applying phase-in arrangements (in millions of euros) Shareholders equity Capital 5,020 5,019 Issue premium 4,210 4,210 Retained earnings 6,651 6,471 Treasury shares Other, including items of comprehensive income 804 1,150 Other instruments to be reclassified as Additional Tier 1 capital 2,085 1,611 Net income 768 1,374 Total shareholders equity Group share 19,520 19,836 Reclassification as Additional Tier 1 capital -2,085-1,611 Translation adjustments Restatement of dividend forecast (dividend for previous year) 0 0 Prudential filters after phase-in arrangements Own credit risk: Gain on reclassification of hybrid securities Own credit risk: Liabilities and derivatives net of deferred taxes 74 9 Prudent valuation adjustment Unrealized gains and losses 57-8 Total prudential filters Deductions after phase-in arrangements Dividend proposed for current year and related expenses ,130 Goodwill Amount as per accounting base -3,117-3,213 Amount of related deferred tax liabilities Amount included in value of investments in associates Intangible assets Amount as per accounting base Non-controlling interests Amount as per accounting base Prudential adjustment including phase-in arrangements Deferred tax assets (tax loss carry-forwards) Amount as per accounting base -1,813-1,914 o/w portion not including tax loss carry-forwards and impact of netting Prudential adjustment including phase-in arrangements Shortfall of provisions to expected losses 0 0 Investments in the share capital of financial sector entities 0 0 Other prudential adjustments including phase-in arrangements Total deductions -4,401-5,152 Total Common Equity Tier 1 (CET1) 12,628 12,474 Hybrid capital instruments Amount as per accounting base Other equity instruments 2,085 1,611 Residual gain on reclassification as equity Nominal value adjustment during the period Early redemption through exercise of call option 0 0 Leveling due to the grandfathering limit Total hybrid instruments 2,246 1,979 Deductions Other prudential adjustments including phase-in arrangements Total Additional Tier 1 (AT1) 2,111 1,770 Total Tier 1 capital 14,739 14,244 Subordinated debt instruments Amount as per accounting base 3,121 3,591 NATIXIS Risk & Pillar III Report second update as of June 30,

9 Regulatory adjustment Transfer of grandfathering leveling on hybrid capital instruments Total Tier 2 instruments 3,161 3,082 Surplus of provisions to expected losses Deductions Other prudential adjustments including phase-in arrangements Total Tier 2 capital 2,573 2,555 Total prudential capital 17,312 16, Changes in regulatory capital, regulatory own funds requirements and ratios in the first half of 2017 Table 5 (CCyB1): Geographical distribution of credit exposures used in the countercyclical buffer (in millions of euros) Breakdown by country Contracyclical capital buffer (CCyB) rate Value of exposures and/or RWA used to determine the CCyB Value of exposures RWA CCyB rate specific to Natixis CCyB requirement specific to Natixis CZ - CZECH REPUBLIC 0.5% HK HONG KONG 1.3 % 1, IS - ICELAND 1.0 % 11 3 NO - NORWAY 1.5 % SE - SWEDEN 2.0 % Sub-total 2, Other countries with a 0% risk weight 203,840 79,176 Total ,045 80, % 17 Total ,298 79, % 9 NATIXIS Risk & Pillar III Report second update as of June 30,

10 Table 6: Changes in regulatory capital after applying phase-in arrangements (in millions of euros) H Common Equity Tier 1 (CET1) Amount at start of period 12,474 New instruments issued (including issue premiums) 0 Instruments redeemed 0 Retained earnings from previous periods -5 Net income/(loss) for the period 768 Gross dividend proposed -371 Dividend payout in new shares 0 Changes in other comprehensive income Translation adjustments -389 Available-for-sale assets 4 Cash flow hedging reserve 67 Other -26 Other 1 Non-controlling interests 0 Filters and deductions not subject to the phase-in arrangements Goodwill and intangible assets 98 Own credit risk 64 Other comprehensive income CFH -67 Prudent valuation adjustment 5 Other 2 Other, including prudential adjustments and phase-in arrangements Deferred tax assets that rely on future earnings (excluding temporary differences) 127 Deductions in respect of breaches of capital thresholds 66 Other -18 Impact of phase-in arrangements -171 o/w impact of changes in phase-in rate -104 o/w impact of change in base subject to phase-in arrangements -67 Amount of Common Equity Tier 1 (CET1) at end of period 12,628 Additional Tier 1 (AT1) capital Amount at start of period 1,770 New eligible instruments issued 438 Redemptions during the period 0 Other, including prudential adjustments and phase-in arrangements -98 o/w impact of changes in phase-in rate -98 o/w other impact of changes in base 0 Amount of Additional Tier 1 (AT1) capital at end of period 2,111 Tier 1 capital 14,739 Tier 2 capital Amount at start of period 2,555 New eligible instruments issued 0 Redemptions during the period 0 Other, including prudential adjustments and phase-in arrangements 19 o/w impact of changes in phase-in rate 104 o/w other impact of changes in base -86 Amount of Tier 2 capital at end of period 2,573 Total prudential capital 17,312 NATIXIS Risk & Pillar III Report second update as of June 30,

11 In the first half of 2017, Basel 3/CRR prudential capital, after applying transitional arrangements, changed as follows: Common Equity Tier 1 (CET1) totaled 12.6 billion at June 30, 2017, up slightly by 0.2 billion over the period. The 0.3 billion decrease in accounting shareholders equity group share was mostly attributable to the dividend payout of billion in the period in respect of the 2016 fiscal year, and an unfavorable conversion effect of billion, offset by the first half-year profit of 0.8 billion and a subordinated debt issue of 0.4 billion. In addition to first half-year profit of 0.8 billion, CET1 capital includes a provision for 2017 first half-year dividends payable in cash in the amount of billion, a prudential reduction in respect of goodwill of billion, and the phase-in effect of deferred tax, which increased from 40% in 2016 to 60% in 2017, combined with the use of deferred taxes on tax loss carry forwards for a net amount of billion. It also includes a reduction in restatements in recognized own credit risk adjustments of billion and a fall in deductions in respect of the amount exceeding threshold 3 of billion. Lastly, the above-mentioned subordinated debt issue of billion is reclassified in the Tier 1 capital compartment as it no longer meets CET1 eligibility criteria. Tier 1 capital increased by 0.3 billion mainly due to the 0.4 billion subordinated debt issue. Tier 2 capital was stable at 2.6 billion. At billion, risk-weighted assets were down billion over the period. Table 7: Risk-weighted assets at June 30, 2017 Credit risk CVA Market risk Operational risk Total RWA (in billions of euros) Basel 3 at Changes in exchange rates Changes in business activity Improvement in risk parameters Acquisitions and disposals of financial investments 0 Impact of guarantees 0 0 Basel 3 at The 2.9 billion decrease in risk-weighted assets over the first half of the year was primarily due to the following factors: The impact of dollar depreciation (- 1.4 billion); An increase in outstandings (+ 0.5 billion), with the impact of the increase in activity on credit RWA being partly offset by the implementation of hedging transactions on CVA RWA and the reduction in exposure giving rise to CVA risk; The impact of risk inputs (- 2.1 billion), mainly due to changes in PD, LGD and exposure maturities. NATIXIS Risk & Pillar III Report second update as of June 30,

12 4 CREDIT AND COUNTERPARTY RISKS 4.1 Credit and counterparty risks Table 8 (NX01): EAD, RWA and capital requirements by approach and by Basel exposure category * (in millions of euros) EAD RWA Capital requirement EAD RWA Capital requirement Credit risk Internal approach 183,303 63,241 5, ,830 65,643 5,251 Equities 5,394 16,347 1,308 5,620 16,826 1,346 Governments or central banks 52, , Other items Retail Corporates 109,901 42,434 3, ,021 43,496 3,480 Institutions 8,600 2, ,632 2, Securitization 5,604 1, ,505 1, Standardized approach 54,325 15,825 1,266 70,860 13,526 1,082 Equities Governments or central banks 6,393 2, ,503 2, Other items 8,478 8, ,306 6, Retail 2,266 1, ,571 1, Corporates 2,182 1, ,916 1, Institutions 31, , Exposures at default Exposure secured by mortgages on immovable property Collective investment undertakings Exposures to institutions and corporates with a short-term credit assessment , Securitization 2,218 1, Sub-total credit risk 237,628 79,066 6, ,690 79,169 6,333 Counterparty risk Internal approach 36,018 6, ,048 7, Governments or central banks 5, , Corporates 15,300 3, ,579 4, Institutions 14,886 2, ,528 2, Securitization Standardized approach 19, , Governments or central banks , Retail Corporates Institutions 18, , Exposures at default Exposures to institutions and corporates with a short-term credit assessment Securitization 1 1 CCP default fund exposure Sub-total counterparty risk 56,085 6, ,426 7, Market risk Internal approach 4, , Standardized approach 6, , Equity risk Foreign exchange risk 2, , NATIXIS Risk & Pillar III Report second update as of June 30,

13 Commodities risk Interest rate risk 1, , Sub-total market risk 10, , CVA 9,233 1, ,129 3, Settlement risk Operational risk (standardized approach)** 14,019 1,122 13,709 1,097 Total 112,593 9, ,524 9,242 * Figures at December 31, 2016 are shown pro forma in respect of the reclassification of credit risk as counterparty risk for the CCP default fund exposure. ** RWA on operational risk have been revalued at June 30, 2017 based on the financial indicators published on December 31, Table 9 (EU OV1): Overview of RWA Capital RWA requirements (in millions of euros) Credit risk (excluding CCR) 74,153 74,776 5,932 Of which the standardized approach 14,548 12,995 1,164 Of which the foundation IRB (F-IRB) approach 7,952 7, Of which the advanced IRB (A-IRB) approach 37,728 39,499 3,018 Of which equity IRB under the simple risk-weighted approach or the IMA 13,924 14,368 1,114 Counterparty risk 8,668 11, Of which mark to market 4,739 5, Of which original exposure Of which the standardized approach Of which internal model method (IMM) Of which risk exposure amount for contributions to the default fund of a CCP Of which CVA 1,752 3, Settlement risk Securitization exposures in the banking book (after the cap) 2,297 1, Of which IRB approach 1,163 1, Of which IRB supervisory formula approach (SFA) Of which internal assessment approach (IAA) Of which the standardized approach 1, Market risk 10,759 11, Of which the standardized approach 6,015 5, Of which IMA 4,744 5, Large exposures Operational risk* 14,019 13,709 1,122 Of which basic indicator approach Of which standardized approach 14,019 13,709 1,122 Of which advanced measurement approach Amounts below the thresholds for deduction (subject to 250% risk weight) 2,674 2, Floor adjustment Total 112, ,524 9,007 NATIXIS Risk & Pillar III Report second update as of June 30,

14 Table 11 (NX05): EAD by geographic area and by asset class (in millions of euros) Category of exposure France Europe Corporates North America Other than SMEs and SF 45,085 28,134 14,035 17, ,699 Specialized Financing (SF) 3,853 6,013 3,810 4,862 18,538 SMEs 3, ,174 Sub-total 52,292 34,586 17,858 22, ,411 Institutions 40,084 15,515 11,357 6,626 73,581 Governments or central banks Central governments or central banks 38,622 5,316 13,222 5,652 62,811 International organizations Multilateral development banks Regional governments or local authorities Public sector entities ,114 Sub-total 39,698 5,828 13,307 6,076 64,909 Securitization 3, , ,130 Other items 8, ,407 Equities 4, ,565 Retail Other than SMEs 2,231 2,231 SMEs Sub-total 2, ,994 Exposure secured by mortgages on immovable property Exposures to institutions and corporates with a short-term credit assessment Exposures at default Collective investment undertakings Total ,235 57,855 46,691 36, ,713 Total ,729 59,243 63,937 39, ,116 * Europe = European Union + Europe outside EU. Other Total NATIXIS Risk & Pillar III Report second update as of June 30,

15 5 CREDIT RISK 5.4 Credit risk mitigation techniques Table 15 (CR3): Credit risk mitigation techniques Overview (in millions of euros) Exposures unsecured: carrying amount Exposures secured by collateral Exposures secured by collateral, of which: secured amount Exposures secured by financial guarantees Exposures secured by financial guarantees, of which: secured amount Exposures secured by credit derivatives Exposures secured by credit derivatives, of which: secured amount IRB approach Central government or central banks 49,124 3,592 3,533 Institutions 8, Corporates 87,767 38,008 35,872 7,748 5,557 1,506 1,506 Of which: SME 994 2,665 2, o/w Specialized Lending ,718 18, Retail Secured by real estate property Of which: SME Of which: Non-SME Of which: Qualifying Revolving Of which: Other Retail Of which: SME Of which: Non-SME Equities 5,394 Other items Sub-total IRB ,009 39,656 37,500 12,152 9,709 1,621 1,621 Sub-total IRB ,559 44,839 42,137 12,342 9,249 1,501 1,501 Standardized approach Central government or central banks 5, Regional governments or local authorities Public sector entities Multilateral development banks International organizations 402 Institutions 26, ,793 5,793 Corporates 2, Of which: SME Retail 13, Of which: SME Secured by mortgages on immovable property Of which: SME Exposures at default Higher-risk categories Covered bonds Exposures to institutions and corporates with a short-term credit assessment Collective investments undertakings (CIU) 247 Equities Other items 8, Sub-total Standardized approach ,150 1,452 1,126 6,434 5,978 Sub-total Standardized approach ,980 1,348 1,044 5,336 4,982 TOTAL AT ,159 41,108 38,626 18,585 15,687 1,621 1,621 TOTAL AT ,539 46,187 43,181 17,678 14,231 1,501 1,501 NATIXIS Risk & Pillar III Report second update as of June 30,

16 Table 16 (CR7): IRB Effect on RWA of credit derivatives used as CRM techniques Pre-credit derivatives RWA RWA (in millions of euros) Exposures under Foundation IRB 7,947 7,947 Central governments or central banks Institutions Corporates SME Specialized lending 7 7 Corporates - Other 7,139 7,139 Exposures under Advanced IRB 55,592 37,502 Central governments or central banks Institutions 3,501 2,086 Corporates SME 1,947 1,947 Specialized lending 4,189 4,189 Corporates - Other 45,362 28,688 Retail Secured by real estate SME Retail Secured by real estate non-sme Retail Qualifying revolving Corporates Other retail items Equity IRB 16,347 16,347 Other items Total ,117 62,028 Total ,457 64,239 NATIXIS Risk & Pillar III Report second update as of June 30,

17 5.5 Credit risk exposures Table 17 (CR1): Credit quality of assets (in millions of euros) IRB approach Exposures at default Non-defaulted exposures Allowances/ impairments Net values (a+b-c) Central government or central banks 54 52, ,716 Institutions 81 9, ,697 Corporates 4, ,186 2, ,146 Of which: SME 338 3, ,851 o/w Specialized Lending , ,033 Retail Secured by real estate property Of which: SME Of which: Non-SME Of which: Qualifying Revolving Of which: Other Retail Of which: SME Of which: Non-SME Equities 12 5, ,394 Other items Sub-total IRB , ,579 2, ,574 Sub-total IRB , ,719 2, ,241 Standardized approach Central government or central banks 5,095 5,095 Regional governments or local authorities Public sector entities Multilateral development banks International organizations Institutions 32, ,464 Corporates 3, ,401 Of which: SME Retail 13, ,610 Of which: SME Secured by mortgages on immovable property Of which: SME Exposures at default Higher-risk categories Covered bonds Exposures to institutions and corporates with a shortterm credit assessment Collective investments undertakings (CIU) Equities Other items 8,478 8,478 Sub-total Standardized approach , ,035 Sub-total Standardized approach , ,664 TOTAL AT , ,366 2, ,610 TOTAL AT , ,189 3, ,905 NATIXIS Risk & Pillar III Report second update as of June 30,

18 5.6 Credit risk: standardized approach Credit risk exposure and CRM effects under the standardized approach Table 23 (CR4): Standardized approach Credit risk exposure and CRM effects (in millions of euros) Exposures before CCF and CRM Exposures post-ccf and CRM RWA and RWA density On-balance sheet amount Off-balance sheet amount On-balance sheet EAD Off-balance sheet EAD RWA RWA density Central governments or central banks 5,095 5,095 1,941 38% Regional governments or local authorities % Public sector entities % Multilateral development banks International organizations Institutions 29,991 2,474 29,990 1, % Corporates 2,055 1,350 1, ,470 67% Retail 2,422 11,198 2, ,662 73% Secured by mortgages on immovable property % Exposures at default % Higher-risk categories Covered bonds Exposures to institutions and corporates with a short-term credit assessment % Collective investment undertakings % Equities % Other items 8,478 8,478 8,076 95% Total ( ) 51,000 15,298 50,375 1,732 14,799 28% Total ( ) 69,334 14,580 68,781 1,701 13,502 19% Table 24 (CR5): SA exposures (EAD) by asset classes and risk weights Exposure classes Risk Weight 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Other Deducted Total Of which unrated (*) Central governments or central banks Regional governments or local authorities 4, ,095 1, Public sector entities Multilateral development banks International organizations Institutions 30, ,237 14,281 Corporates ,289 2,182 1,773 Retail 2,266 2,266 2,266 Secured by mortgages on immovable property Exposures at default Higher-risk categories Covered bonds Exposures to institutions and corporates with a shortterm credit assessment Collective investment undertakings Equities Other items , ,478 8,383 Total ( ) 35, ,266 10, ,107 29,242 Total ( ) 53,590 2, , ,571 8, ,482 56,821 (*): Of which 14,419 million in exposure to Groupe BPCE affiliates and excluding exposures to the French sovereign at NATIXIS Risk & Pillar III Report second update as of June 30,

19 5.7 Credit risk: internal ratings-based approach Exposure to credit risk according to the internal rating system Table 28 (CR8): RWA flow statements of credit risk exposures under the IRB approach (in millions of euros) RWA Capital requirements RWA as at the end of the previous reporting period ( ) 64,504 5,160 Asset size Asset quality Model updates Methodology and policy - - Acquisitions and disposals - - Foreign exchange movements Other RWA as at the end of the reporting period ( ) 62,028 4,962 NATIXIS Risk & Pillar III Report second update as of June 30,

20 Table 29 (CR6): IRB Credit risk exposures by portfolio and PD range (in millions of euros) F-IRB PD scale Original onbalance sheet gross exposure Off-balance sheet exposures pre-ccf Average CCF (%) EAD Average PD (%) Number of obligors Average LGD (%) Average maturity RWA RWA density (%) EL Provisions Central governments or central banks 0.00 to < % % 0.15 to < to < % 2 45% % 0.50 to < to < to < to < (default) Sub-total Central governments or central banks % % Institutions 0.00 to < % % % 0.15 to < % % 21 45% % 0.25 to < % % 11 45% % 0.50 to < % % 30 12% 1, % 0.75 to < % % 11 12% 2, % 2.50 to < % 7 45% % 10 to < (default) % 1 45% 70 9 Sub-total Banks % 402 6% % 1, % 9 Corporates 0.00 to < , % 14, % % 107 2,600 18% to < ,186 2, % % % to < ,555 50% 1, % % 88 1,028 66% to < % % % % to < % % 2,378 43% % to < , % 1, % 3,396 44% 418 1, % to < % % 1,283 44% % (default) % % % Sub-total Corporates 20, % 21,291 2% 8,803 55% 164 7,604 36% Corporates SME 0.00 to < % 1, % 0.15 to < to < % 8 44% 2, % 0.50 to < % 39 37% 1, % 0.75 to < % % 1,392 42% 1, % to < % % 2,370 41% 1, % 4 10 to < % % 1,091 42% 1, % (default) % % % 1, Sub-total Corporates SME % % 5,280 41% 1, % Corporates - Other 0.00 to < , % 14, % % 104 2,597 18% to < ,186 2, % % % to < ,552 50% 1, % % 85 1,027 66% to < % % % % to < % % % % to < % % 1,026 45% 212 1, % to < % % % % (default) % 22 45% Sub-total Corporates Others 20, % 20,769 1% 3,523 55% 136 7,139 34% Equities 5, % 5, , % 76 Sub-total Equities 5, % 5, , % 76 6 F- IRB (excl. equity) 0.00 to < , % 14, % % 109 2,621 18% to < , % 2, % % % to < , % 1, % % 75 1,219 66% 3 NATIXIS Risk & Pillar III Report second update as of June 30,

21 0.50 to < % % % % to < % % 2,389 41% % to < , % 1, % 3,403 44% 415 1, % to < % % 1,283 44% % (default) % % % Total IRB-F (excl. equity) 21, % 21,996 2% 8,974 54% 181 7,940 36% A-IRB PD scale Central governments or central banks 0.00 to < ,734 1,373 63% 51, % to < % % 32 37% % 0.25 to < % % 26 47% 2, % 0.50 to < to < to < % % 56 51% 1, % 1 10 to < % 12 71% 1, % (default) % 12 94% Sub-total Central governments or central banks 50,978 1,485 61% 51, % 724 8% % Institutions 0.00 to < ,648 1,126 66% 6,388 1,820 19% % to < % % % % 0.25 to < % % % % to < % % % % 0.75 to < % % % % to < % % % % 6 10 to < (default) % 15 91% Sub-total Banks 7,100 2,155 51% 8, % 2,966 25% 390 2,086 25% Corporates 0.00 to < ,811 23,833 49% 26, % 3,889 29% 1,145 4,275 16% to < ,312 4,796 63% 7, % % 1,227 2,295 31% to < ,096 8,608 58% 11, % 3,213 20% 1,210 3,486 29% to < ,707 6,752 54% 12, % 5,027 24% 1,227 5,056 41% to < ,970 9,536 57% 17, % 12,238 21% 1,412 8,747 51% to < ,200 3,997 57% 8, % 16,315 24% 1,528 6,659 79% to < % 1, % 6,861 28% 1,290 1, % (default) 3, % 3, % 2,226 39% 1,151 2,835 71% 1,873 Sub-total Corporates 57,435 58,598 54% 88, % 50,745 25% 1,262 34,823 39% 2,075 2,252 Corporates SME 0.00 to < % % % 2, % 0.15 to < % % % % 0.25 to < % % % 1, % 0.50 to < % % 2,955 21% 1, % 0.75 to < % % 7,835 23% 1, % to < , % 1, % 8,408 21% 2, % to < % % 1,687 24% 1, % (default) % % 1,305 31% 1, % 162 Sub-total Corporates SME 3, % 3, % 23,319 22% 2,056 1,947 56% Corporates - Specialized lending 0.00 to < , % 1, % 93 11% 3, % 0.15 to < % 1, % 95 9% 2, % 0.25 to < ,884 1,313 81% 2, % 292 9% 2, % to < ,644 1,516 74% 3, % % 2, % to < ,873 2,593 64% 6, % % 2,078 1,758 27% to < % 1, % % 2, % 8 10 to < % % 11 34% 2, % (default) % % 75 62% Sub-total Corporates Specialized lending 12,885 6,481 72% 17, % 1,717 13% 2,151 4,189 24% Corporates - Other 0.00 to < ,508 23,544 49% 24, % 3,391 30% 1,031 4,119 17% to < ,473 4,372 60% 6, % % 991 2,131 35% to < ,144 7,221 53% 8, % 2,357 24% 928 2,952 33% to < ,802 5,197 48% 8, % 1,715 29% 792 4,053 49% to < ,380 6,836 53% 9, % 3,787 28% 939 6,587 66% 39 NATIXIS Risk & Pillar III Report second update as of June 30,

22 2.50 to < ,063 3,458 55% 5, % 7,729 26% 1,147 5,015 85% to < % % 5,163 29% 1,126 1, % (default) 2, % 2, % % 1,257 2,581 88% 1,450 Sub-total Corporates Others 41,521 51,649 52% 67, % 25,709 29% ,688 42% 1,610 1,727 Retail 0.00 to < % % 3 33% 184 2% 0.15 to < % % 3 33% % 0.25 to < % % 5,903 22% 1, % 0.50 to < % % 5,681 23% 1, % 0.75 to < % % 8,434 24% 1, % to < % % 5,737 27% % 2 10 to < % % 4,917 22% 1, % (default) % 1,626 41% % 58 Sub-total Retail % % 32,304 27% 1, % Retail Qualifying revolving 0.00 to < % % 3 33% 184 2% 0.15 to < % % 3 33% % 0.25 to < % % 3 33% 184 6% 0.50 to < % % 3 33% % 0.75 to < % % 10 33% % 2.50 to < % % 14 33% % 1 10 to < % % 16 33% % (default) % 6 66% % 23 Sub-total Retail qualifying revolving (QRRE) % % 58 39% % Corporates 0.00 to < to < to < % 5,861 22% 1, % 0.50 to < % 5,598 22% 1, % 0.75 to < % 8,301 22% 1, % 2.50 to < % 5,617 22% 1, % 1 10 to < % 4,782 22% 1, % (default) % 1,538 22% Sub-total Retail SME % 31,697 22% 1, % Retail Residential mortgage exposures 0.00 to < to < to < % 39 13% 2,416 6% 0.50 to < % % 80 15% 2, % 0.75 to < % % % 2, % 2.50 to < % % % 3, % 10 to < % % % 3, % (default) % 78 15% 2,240 6 Sub-total Retail Residential mortgage exposures % % % 2, % 7 7 Other retail items 0.00 to < 0.15 NATIXIS Risk & Pillar III Report second update as of June 30,

23 0.15 to < to < to < to < to < to < % 2 17% % (default) % 4 37% % 10 Sub-total Other retail items % 6 30% % Equities Sub-total Equities A-IRB 0.00 to < ,193 26,337 50% 84,270 6,298 16% 632 5,011 6% to < ,686 5,035 62% 7, % 1,172 28% 1,182 2,423 31% to < ,751 8,777 58% 12, % 9,251 21% 1,175 3,935 31% to < ,824 6,897 54% 12, % 10,842 24% 1,217 5,155 41% to < ,507 9,953 55% 17, % 20,982 22% 1,377 9,216 52% to < ,532 4,276 55% 8, % 22,525 26% 1,493 7,336 83% to < % 1, % 11,790 28% 1,304 1, % (default) 3, % 4, % 3,879 41% 1,126 2,863 68% 2,031 Total A-IRB 116,183 62,357 54% 149, % 86,739 20% ,502 25% 2,256 2,460 PD scale Total 0.00 to < ,730 26,642 51% 99,027 7,168 22% 554 7,631 8% to < ,929 5,061 62% 10, % 1,390 32% 949 3,362 33% to < ,596 8,783 58% 14, % 9,473 24% 1,036 5,154 35% to < ,184 7,124 55% 13, % 11,050 25% 1,191 5,496 42% to < ,345 10,177 55% 18, % 23,382 23% 1,352 10,102 54% to < ,690 4,359 55% 10, % 25,928 28% 1,365 8,905 89% to < 100 1, % 1, % 13,073 30% 1,210 1, % (default) 3, % 4, % 4,260 41% 1,086 2,863 65% 2,143 Total ,589 63,253 55% % 95,724 24% ,442 27% 2,413 2,599 NATIXIS Risk & Pillar III Report second update as of June 30,

24 Table 30 (CR10): IRB - Specialized lending and equities (excluding impact of thresholds) Specialized lending - Slotting criteria Regulatory categories Remaining maturity Balance sheet exposures (in millions of euros) Off-balance sheet exposures (in millions of euros) Risk weight EAD (in millions of euros) RWA in millions of euros EL Good Equal to or more than 2.5 years Total Total Equities Equity IRB under the simple riskweighted approach On-balance sheet and amount Off-balance sheet and amount Risk weight EAD RWA Capital requirements Exchange-traded equity exposures , Private equity exposures , Other equity exposures 2, ,512 9, Total , ,425 13,924 1,114 Total , ,637 14,368 1,149 Table 32 (NX24): EAD by type and nature of exposure (excluding impact of thresholds) (in millions of euros) Type and nature of exposure Equities Mutual fund Investments Investments Total Total Private equity held in sufficiently diversified portfolios ,096 Other equity exposures ,200 2,512 2,522 Listed equities ,019 Equity standardized approach Total 1, ,786 4,495 4,661 Table 33 (NX25): RWA by weighting (excluding impact of thresholds) (in millions of euros) Type and nature of exposure IRB approach Standardized approach Total Total Private equity held in sufficiently diversified portfolios 1,743 1,743 2,082 Other equity exposures 9,295 9,295 9,332 Listed equities 2,885 2,885 2,954 Equity standardized approach Total 13, ,995 14,393 NATIXIS Risk & Pillar III Report second update as of June 30,

25 6 COUNTERPARTY RISK 6.2 Counterparty risk exposure Table 34 (CCR1): Analysis of the CCR exposure by approach Notional Replacement cost Potential future exposure EEPE Multiplier EAD post- CRM RWA (in millions of euros) 1 Mark to Market 6,456 11,368 17,823 4,473 2 Original Exposure 3 Standardized approach Internal Model Method (for 4 derivatives and SFTs) Securities Financing 5 Transactions Derivatives & Long 6 Settlement Transaction From Contractual Cross 7 Product Netting Financial collateral 8 Simple method (for SFTs) Financial collateral 9 Comprehensive method (SFTs) 21,142 1, VaR for SFTs 11 Total 6,332 NATIXIS Risk & Pillar III Report second update as of June 30,

26 Table 35 (CCR3): SA CCR EAD by portfolio and risk weight Exposure classes 0 % 2 % 4 % 10 % Risk Weight 20 % 50 % 70 % 75 % 100 % 150 % Other Total EAD Of which unrated (*) Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organizations Institutions 2,067 16, ,541 16,820 Corporates Retail Secured by mortgages on immovable property Exposures at default Higher-risk categories Covered bonds Exposures to institutions and corporates with a short-term credit assessment Collective investment undertakings Equities Other items Total ,320 16, ,749 17,022 Total ,749 14, ,093 15,998 (*): of which 1,580 million in exposures to third-party affiliates at (*): of which 16,316 million in exposures to central counterparties at NATIXIS Risk & Pillar III Report second update as of June 30,

27 Table 36 (CCR4): IRB CCR exposures by portfolio and PD scale (in millions of euros) PD scale EAD Average PD (%) Number of obligors Average LGD (%) Average maturity RWA RWA density (%) F-IRB Institutions 0.00 to < % 1,057 21% 0.15 to < to < to < to < to < to < (default) Sub-total % 1,057 21% Corporates 0.00 to < % 1, % 0.15 to < to < to < to < to < to < (default) Sub-total % 1, % Total F-IRB 0.00 to < % 1, % 0.15 to < to < to < to < to < to < (default) Sub-total F-IRB % 1, % PD scale EAD Average PD (%) Number of obligors Average LGD (%) Average maturity RWA RWA density (%) A-IRB Central governments and central banks 0.00 to < ,348 1,134 11% % 0.15 to < to < % % 0.50 to < to < to < % 2 47% % to < (default) Sub-total 5,524 1,154 12% % Institutions 0.00 to < ,004 16,480 18% % 0.15 to < ,186 3,954 24% % 0.25 to < ,115 34% % 0.50 to < % 1,022 28% % 0.75 to < % % % 2.50 to < % % % to < % 4 104% % (default) 2 100% 25 98% 1,108 Sub-total 14,885 23,687 19% 387 2,014 14% Corporates 0.00 to < ,280 3,440 34% % 0.15 to < ,272 1,308 32% % 0.25 to < ,024 2,073 29% 1, % 0.50 to < ,406 1% 1,359 29% % 0.75 to < ,277 1% 2,542 31% % 2.50 to < % 1,650 31% 1, % to < % 1,121 37% 1, % NATIXIS Risk & Pillar III Report second update as of June 30,

28 (default) % % 2, % Sub-total 14,797 1% 13,609 33% 598 3,726 25% Corporates SME 0.00 to < % 1,246 24% 0.15 to < % % 0.25 to < % 1, % 0.50 to < % 75 44% 2, % 0.75 to < % % % 2.50 to < % % 1, % to < % % % (default) 1 100% 41 44% 2, % Sub-total 44 8% 1,106 42% 1, % Corporates Specialized Lending 0.00 to < % 3, % 0.15 to < % 3, % 0.25 to < % 3, % 0.50 to < % % 3, % 0.75 to < % % 2, % 2.50 to < % 45 22% 3, % to < (default) % 5 103% 3,471 Sub-total 1,087 5% % 3, % Corporates - Other 0.00 to < ,231 3,411 34% % 0.15 to < ,178 1,279 33% % 0.25 to < ,880 34% % 0.50 to < ,179 1% 1,147 30% % 0.75 to < % 2,149 34% % 2.50 to < % 1,363 34% % to < % % 1, % (default) % 70 35% % Sub-total 13,666 11,961 33% 396 3,170 23% Total A-IRB 0.00 to < ,632 21,054 22% 411 1,809 7% 0.15 to < ,458 5,262 27% 683 1,032 30% 0.25 to < ,428 3,206 31% 1, % 0.50 to < ,593 1% 2,381 29% % 0.75 to < ,401 1% 3,374 33% % 2.50 to < % 1,907 37% 1, % to < % 1,125 38% 1, % (default) % % 2, % Sub-total A-IRB 35,206 38,450 24% 518 5,932 17% PD scale Total 0.00 to < ,136 21,087 22% 423 1,911 7% 0.15 to < ,458 5,262 27% 683 1,032 30% 0.25 to < ,428 3,206 31% 1, % 0.50 to < ,593 1% 2,381 29% % 0.75 to < ,401 1% 3,374 33% % 2.50 to < % 1,907 37% 1, % to < % 1,125 38% 1, % (default) % % 2, % Total ( ) 35,710 38,483 24% 525 6,034 17% NATIXIS Risk & Pillar III Report second update as of June 30,

29 Table 37 (CCR6): credit derivatives exposures a b (in millions of euros) Protection bought Protection sold Notional Single-name credit default swaps 7,063 6,510 Credit-linked notes Total return swaps CDO Index credit default swaps 2,380 1,959 Other credit derivatives 7,937 6,138 Total notional 18,027 15,045 Fair values Positive fair value (asset) Negative fair value (liability) Capital requirements and risk-weighted assets Table 38 (CCR2): CVA capital charge (in millions of euros) EAD post-crm RWA Total portfolios subject to the advanced method (i) VaR component (including the 3 multiplier) (ii) Stressed VaR component (including the 3 multiplier) All portfolios subject to the standardized method 9,233 1,752 Based on Original Exposure Method Total subject to the CVA capital charge ,233 1,752 Total subject to the CVA capital charge ,129 3,736 NATIXIS Risk & Pillar III Report second update as of June 30,

30 7 SECURITIZATION 7.3 Natixis securitization exposures Table 40 (SEC1): Securitization exposures in the banking book (in millions of euros) Bank acting as originator Bank acting as sponsor Bank acting as investor Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total SPV with risk transfer RMBS Consumer ABS Consumer loans Re-securitization Total Retail 1,109 1,109 1,444 1,444 Corporate loans 1,347 1, ABS 1,905 1, CDO 1,095 1, CMBS Other Re-securitization 4 4 Total Wholesale 71 1,347 1,419 3,329 3, Total SPV with risk transfer SPV without risk transfer Consumer loans (Retail) Corporate loans (Wholesale) Total SPV without risk transfer 71 1,347 1,419 4,438 4,438 2,273 2, ,920 2,920 3,601 3,601 Table 41 (SEC2): Securitization exposures in the trading book Bank acting as originator Bank acting as sponsor Bank acting as investor (in millions of euros) Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total RMBS Consumer ABS Consumer loans Re-securitization Total Retail Corporate loans ABS CDO CMBS Other 2 2 Re-securitization 2 2 Total Wholesale NATIXIS Risk & Pillar III Report second update as of June 30,

31 Table 42 (NX31-A): EAD according to the role of Natixis in the banking book (in millions of euros) EAD RWA Capital requirements Investor 2,273 1, On-balance sheet exposure 1, Off-balance sheet exposure Originator 1, On-balance sheet exposure 1, Sponsor 4,438 1, On-balance sheet exposure Off-balance sheet exposure 1, ,383 1, Total ,130 2, Total ,439 1, Table 43 (NX31-B): Securitization positions in the trading book (in millions of euros) Role EAD RWA Capital requirements Investor Originator Sponsor Total at Total at NATIXIS Risk & Pillar III Report second update as of June 30,

32 <= 20% > 20% to 50% > 50% to 100% > 100% to 1250% 12.5 IRB RBA (including IAA) IRB SFA SA/SSFA 1250% IRB RBA (including IAA) IRB SFA SA/SSFA 1250% IRB RBA (including IAA) IRB SFA SA/SSFA 1250% 7.4 Capital requirements Table 45 (SEC3): Securitization exposures in the banking book and associated capital requirements bank acting as originator or as sponsor Exposure values (by RW bands) Exposure values (by regulatory approach) RWA (by regulatory approach) Capital requirements (in millions of euros) Traditional securitization 1, ,285 3,196 1, o/w securitization 1, ,285 3,196 1, o/w retail underlying o/w wholesale 1, ,285 2, o/w resecuritization o/w senior o/w non-senior Synthetic securitization 1,347 1, o/w securitization 1,347 1, o/w retail underlying o/w wholesale 1,347 1, o/w resecuritization o/w senior o/w non-senior Total exposures 3, ,285 3,196 1,347 1, NATIXIS Risk & Pillar III Report second update as of June 30,

33 <= 20% > 20% to 50% > 50% to 100% > 100% to 1250% 12.5 IRB RBA (including IAA) IRB SFA SA/SSFA 1250% IRB RBA (including IAA) IRB SFA SA/SSFA 1250% IRB RBA (including IAA) IRB SFA SA/SSFA 1250% Table 46 (SEC4): Securitization exposures in the banking book and associated capital requirements bank acting as investor Exposure values (by RW bands) Exposure values (by regulatory approach) RWA (by regulatory approach) Capital requirements (in millions of euros) Traditional securitization 1, , o/w securitization 1, , o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior Total exposures 1, , NATIXIS Risk & Pillar III Report second update as of June 30,

34 8 MARKET RISK 8.4 Detailed quantitative disclosures Table 47 (EU MR1): Market risk under the standardized approach (in millions of euros) Nature of risk RWA Capital requirements SA/SSFA 5, Interest rate risk (general and specific) 1, Equity risk (general and specific) Foreign exchange risk 2, Commodity risk Options Simplified approach Delta-plus method Scenario approach Securitization Total ( ) 6, Total ( ) 5, Table 48 (MR3): VaR, stressed VaR and IRC on the regulatory scope (in millions of euros) Period from June 30, 2016 to June 30, 2017 VaR (10 days, 99%) Maximum value 34.2 Average value 19.6 Minimum value 13.3 Value at end of period 16.2 Stressed VaR (10 days, 99%) Maximum value 86.5 Average value 49.5 Minimum value 35.2 Value at end of period 40.6 Incremental Risk Charge (99.9%) Maximum value 90.2 Average value 47.6 Minimum value 29.1 Value at end of period 57.3 Table 49 (MR4): Backtesting on the regulatory scope The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated exante by VaR, with hypothetical and actual P&L impacts) on the regulatory scope, and can be used to verify the solidity of the VaR indicator: For the period from June 30, 2016 to June 30, 2017, no backtesting exceptions were observed for the regulatory scope (see results for the period below): NATIXIS Risk & Pillar III Report second update as of June 30,

35 Table 50 (EU MR2-A): Exposure to market risk using the internal models approach (in millions of euros) RWA Capital requirements 1 Value at risk (Maximum of both values a and b) 1, a Previous day s VaR (Article 365(1)) (VaR t-1) b Average of daily VaR (Article 365(1)) over the preceding 60 business days (VaRavg) x the multiplication factor (mc) (in accordance with Article 366) 1, Stressed VaR (SVaR) 2, a Latest SVaR (Article 365(2) (svart-1)) b Average SVaR (Article 365(2)) over the preceding 60 business days (svaravg) x the multiplication factor (ms) (Article 366) 2, Incremental risk charge a Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 articles 370/371) b Average IRC over the preceding 12 weeks Comprehensive risk measure a Most recent risk number for the correlation trading portfolio (article 377) b c 5 Average of the risk number for the correlation trading portfolio over the preceding 12 weeks 8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio (Article 338(4)) Total , Total , NATIXIS Risk & Pillar III Report second update as of June 30,

36 9 OVERALL INTEREST RATE, LIQUIDITY, STRUCTURAL FOREIGN EXCHANGE RISKS 9.1 Governance and organization In order to meet the requirements of the French Law on the Separation and Regulation of Banking Activities, the Treasury Department, which previously came under Global Markets, Corporate & Investment Banking, was placed under the oversight of the Finance Department from April 1, The governance remains unchanged. 9.2 Management of liquidity and funding risk Monitoring system On April 1, 2017, the Group implemented its allocation of overall limits to Natixis through observation thresholds which are applied at the less than one year and more than one year stage Funding principles and structure Funding strategy Updated charts are shown below, prepared using management data. GROSS WEIGHT OF THE BANK S ON-BALANCE SHEET FUNDING SOURCES, BY MAJOR CATEGORY OF VEHICLE AND/OR BY CUSTOMER SEGMENT AT NATIXIS Risk & Pillar III Report second update as of June 30,