NATIXIS - 2018 Registration document and annual financial report

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

GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES USED IN THE COUNTERCYCLICAL BUFFER (CCYB1) R

Value of exposures and/or RWA used to determine the CCyB

Breakdown by country (in millions of euros) CZ – CZECH REPUBLIC GB – UNITED KINGDOM

Countercyclical capital buffer rate

CCyB rate specific to Natixis

CCyB requirement specific to Natixis

Value of exposures

RWA

1.0% 1.0% 1.9% 1.3% 0.5% 2.0% 2.0% 1.3%

6

4

5,768 2,475

2,567

HK – HONG KONG

923

IS – ICELAND

3

LT – LITHUANIA NO – NORWAY SE – SWEDEN SK – SLOVAKIA

57

3

375 240

187 122

73

22

Sub-total

8,994

3,828

Other countries with a 0% risk weight

181,790

73,775

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

190,783 201,605

77,603 79,133

0.0638% 0.0142%

70 16

PRUDENTIAL VALUATION ADJUSTMENTS (PV1) R

o/w: in trading portfolio

Interest rates

o/w: in bank portfolio

Equity

Forex

Credit Commodities

Total

(in millions of euros)

Uncertainty with respect to liquidation o/w:

181

23

3 1 2

15

222

210

12

Average value

52 91 37

7

7 5 2

67

61

7

Cost of liquidation

16

114

114

Concentration

1

40

36

4

Early termination Model risk Operational risk

78 14

2 2

3 1

83 18

67 18

16

Investment and financing costs

7

7

Unearned credit spreads

17 37

17 18

Future administrative expenses

9

11

1

16

19

Other TOTAL ADJUSTMENTS

282

37

5

35

1

383

337

46

177

Natixis Registration Document 2018