NATIXIS - 2018 Registration document and annual financial report

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

DETAILED EXPOSURES UNDER ROLL-OUT PLAN (EU CRE-E) R

% of RWA

% of exposure class involved in Roll-Out plan

SA

FI

IA

Total 100% 100% 100% 100% 100%

Exposure class

Central governments or central banks

74.2% 91.1% 15.8% 37.4% 100%

9.3%

16.5%

0.0% 0.0% 0.0% 0.0% 0.0%

Retail

0%

8.9%

Corporates Institutions

6.8% 4.0%

77.4% 58.6%

Exposures in default

0%

0%

3

Exposures secured by mortgages on immovable property Claims on institutions and corporates with a short-term credit assessment

97.7%

0%

2.3%

100%

0.0%

100% 53.8%

0%

0%

100% 100% 100%

20.1%

Securitization

39.6% 100%

6.6%

0.0% 0.0%

Equities

0%

0%

TOTAL 31/12/2018

20.3%

29.6%

50.0%

100%

0.1%

D – Credit risk: internal ratings-based approach PD AND LGD BY GEOGRAPHIC AREA (NX16) R

Geographic areas (% breakdown)

EAD (in millions of euros)

PD MP

LGD MP

Africa

4,383 5,940 8,926

5.5% 1.0% 0.5% 1.3% 2.0% 2.9% 1.6% 2.0% 2.5%

26.1% 26.6% 23.9% 26.8% 26.7% 19.0% 17.9% 21.5% 23.2%

Europe outside EU

Other

Asia

14,179 41,215 44,810 69,014 188,466 210,776

European Union

Americas

France

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

RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURE UNDER THE IRB APPROACH (CR8) R

RWA

Capital requirements

(in millions of euros)

RWA 31/12/2017

59,708

4,777

Asset size

278

21

Asset quality Model updates

(1,765)

(140)

(572)

(45)

Methodology and policy

(2,798)

(224)

Acquisitions and disposals Foreign exchange movements

537

43

Guarantees

(209) (919)

(17) (74)

Other

RWA 31/12/2018

54,260

4,341

195

Natixis Registration Document 2018