NATIXIS - 2018 Registration document and annual financial report

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

Large exposures ratio 3.3.2.3 Large exposures ratio

an overall limit and an alert threshold applied to Natixis’ a leverage ratio, proposed by the ALM Committee and approved by the Risk Committee. In accordance with the operational oversight established by the Financial Management Department in partnership with the business lines, Natixis successfully achieved its target leverage ratio. This target ratio is higher than the regulatory requirement, which will enter into force in Europe on a still-unknown date. As such, Natixis maintained a leverage ratio of above 4% in 2018. As in 2017, management and oversight of this ratio were achieved by setting constraints for activities (such as repos and securities lending transactions, derivative contracts, etc.) that are not RWA-intensive but are balance sheet-intensive.

Regulations on the monitoring of large exposures were revised in 2014 and are now part of the CRR. They aim to prevent an excessive concentration of risks for sets of counterparties that are related in such a way that if one encountered financial problems, the others would also be likely to experience funding or repayment problems. The standard is based on a standing obligation: all risks associated with a single counterparty may not exceed 25% of the bank's total capital. Natixis complied with this requirement in 2018.

BREAKDOWN AND CHANGES IN RISK-WEIGHTED ASSETS 3.3.3

Credit and counterparty risks 3.3.3.1 OVERVIEW OF RWA (EU OV1) R

RWA

Capital requirements

31/12/2018

31/12/2017

31/12/2018

(in millions of euros)

Credit risk (excluding CCR)

71,894 19,383

73,837 16,164

5,751 1,551

o/w the standardized approach

o/w the foundation IRB (F-IRB) approach o/w the advanced IRB (A-IRB) approach

3,193

7,316

255

34,810

35,845

2,785

o/w equity IRB under the simple risk-weighted approach or the IMA

14,507

14,513

1,161

Counterparty risk

7,556 1,678

7,823 4,697

605 134

o/w mark to market

o/w original exposure o/w the standardized approach o/w internal model method (IMM)

2,338

187

o/w risk exposure amount for contributions to the default fund of a CCP

185

256

15

o/w CVA

1,661

1,198

133

Settlement risk

5

10

Securitization exposures in the banking book (after the cap)

3,045 1,202

2,488

244

o/w IRB approach

898 221

96 18

o/w IRB supervisory formula approach (SFA) o/w internal assessment approach (IAA) o/w the standardized approach

224

1,619 9,629 5,185 4,444

1,368 9,720 5,491 4,229

130 770 415 356

Market risk

o/w the standardized approach

o/w IMA

Large exposures Operational risk

15,345

14,784

1,228

o/w basic indicator approach o/w standardized approach

15,345

14,784

1,228

o/w advanced measurement approach Amounts below the thresholds for deduction (subject to 250% risk weight)

1,750

2,035

140

Floor adjustment TOTAL

109,225

110,697

8,738

182

Natixis Registration Document 2018