NATIXIS - 2018 Registration document and annual financial report

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

The following changes in Basel 3/CRR regulatory capital were recorded in 2018, after applying phase-in arrangements: Common Equity Tier 1 (CET1) capital totaled €12 billion at December 31, 2018, up €0.1 billion over the year. Over the course of the year, the increase stemmed notably from the net income net of dividend forecast at €0.6 billion, the impact of which was partially offset by the increase in regulatory deductions relating to goodwill and intangible assets (impact of -€0.3 billion), prudential value adjustments (-€0.1 billion), and deferred tax assets on losses carried forward (-€0.1 billion).

Tier 1 capital declined by €0.1 billion, primarily as a result of the early redemption of two issuances for -€0.3 billion. The balance was primarily due to the change in the phase-in rate applied on items deducted from AT1 capital, as well as the items subject to these provisions. Tier 2 capital was stable at €2.4 billion, the €0.3 billion issuance in the fourth quarter having been offset by the change in the excess of provisions over expected losses (-€0.1 billion) and the impact of phase-in arrangements over the period. At €109.2 billion, risk-weighted assets decreased by €1.5 billion in 2018.

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TABLE 7 – RISK-WEIGHTED ASSETS AT DECEMBER 31, 2018 R

Credit risk

CVA Market risk Operational risk

Total RWA

(in billions of euros)

BASEL 3 AT 31/12/2017 Changes in exchange rates Changes in business activity Improvement in risk parameters

85.0

1.2

9.7

14.8

110.7

0.7 3.8

0.7 3.8

(0.5)

0.6

(4.7)

1.0

(0.1)

(3.8)

Acquisitions and disposals of financial investments Impact of guarantees

(2.1)

(2.1)

BASEL 3 AT 31/12/2018

82.6

1.7

9.6

15.3

109.2

The €2.4 billion decrease in credit risk over the period was primarily due to the following factors: the impact of the dollar’s appreciation (+€0.7 billion); a an increase in outstandings (+€3.8 billion) concentrated in a Corporate & Investment Banking and Specialized Financial Services; the impact of risk inputs (-€4.7 billion), mainly due to changes a in weightings and exposure maturities. a guarantee effect of -€2.1 billion. a

The €0.5 billion increase in CVA can primarily be attributed to changes in risk inputs, these being offset by lower exposures at end 2018. Market risk was down by a slight €0.1 billion at €9.6 billion at December 31, 2018. Operational risk was up €0.6 billion, as the benchmark indicator for fiscal year 2018 was replaced with that of fiscal year 2015 (standard practice is to calculate operational risk using the average indicator for the previous three years).

BASEL 3 RWA BY MAIN NATIXIS BUSINESS LINE (NX02) R

Basel 3 RWA

Division (in millions of euros)

Market (b)

Operational

Total

Credit (a)

Corporate & Investment Banking (c) Asset & Wealth Management

60,079 12,041

43,572

8,933

7,574 5,000

7,041 7,252

Insurance

7,252

Specialized Financial Services

16,239 13,614 109,225 110,697

13,874 10,846 82,585 84,985

2,365

Corporate Center

2,362

406

TOTAL AT 31/12/2018 Total at 31/12/2017

11,295 10,928

15,345 14,784

Including counterparty risk. (a) Including settlement-delivery risk of €1,661 million in CVA RWA. (b) Including Treasury & Collateral Management. (c)

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Natixis Registration Document 2018