NATIXIS - 2018 Registration document and annual financial report

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

Credit risk exposures: standardized approach

SA – CR EXPOSURE AND CRM EFFECTS (EU CR4) R

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

(in millions of euros)

Central governments or central banks

2,928

2,928

1,390

47%

Regional governments or local authorities

257

253

51

20%

Public sector entities

582

248

581

124

84

12%

Multilateral Development Banks International Organizations

582

582

Institutions*

31,053

9,994

31,053

4,958

824

2%

Corporates

8,120

2,578

7,798

770

6,694

78%

Retail

2,785

11,776

2,334

44

1,716

72%

Secured by mortgages on immovable property

1,111

169

1,111

84

559

47%

Exposures in default

943

18

575

5

782

135%

Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment

660

14

640

3

413

64%

Collective investments undertakings (CIU) Equity exposures Other items

8,144

8,144

6,872

84%

TOTAL 31/12/2018

57,166

24,797

56,001

5,988

19,383

31%

* o/w exposures related to affiliates

91%

100%

91%

100%

Total 31/12/2017

60,855

23,376

60,045

3,403

16,164

25%

SA – EXPOSURES (EAD) BY ASSET CLASSES AND RISK WEIGHTS (CR5) R

Risk Weight

Exposure class

o/w unrated*

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Other

Deducted

Total

(in millions of euros)

Central governments and central banks Regional governments or local authorities

2,299

1

1

3

112

1

509

2,928

1,101

254

254

207

Public sector entities

401

261

22

20

1

705

356

Multilateral development banks

International Organizations

582

582

582

Institutions

33,133 1,571

619

41

648

36,011

35,357

Corporates

328

23

137 333 2,334 197

5,024

194

8,569

4,921

Retail

2,378

2,378

2,325

Secured by mortgages on immovable property

152 1,043

1,195

1,043

Defaulted exposures

178

402

580

506

Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investment undertakings Equity Other items

101

312

209

22

643

448

41

14

16

5,803

1,823

8,144

8,108

TOTAL 31/12/2018 37,192 1,594 1 41 1,386 485 3,770 197 2,378 11,994 620 509

1,823

61,989

54,506

Total 31/12/2017

45,697 1,136

13 680 328 1,391 139 2,631 7,360

320

563

3,191

63,448

39,147

Of which €33,901 million in exposure to BPCE Group affiliates and excluding exposures to the French Government at 31/12/2018. *

194

Natixis Registration Document 2018