NATIXIS - 2018 Registration document and annual financial report

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

Off-balance sheet exposures pre-CCF

Original on-balance sheet gross exposure

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

PD scale

CCF (in %)

Average PD (in %)

Number of obligors

EAD

RWA

EL Provisions

(in millions of euros)

F- IRB (excl. equity) 0.00 to <0.15

4,700

16

39% 4,706

0.1%

117

61%

144

1,289

27%

2

0.15 to <0.25

193

7

50%

196

0.2%

46

45%

294

88

45%

0.25 to <0.50

346

4

26%

347

0.4%

68

45% 1,678

220

63%

1

0.50 to <0.75

50

195

75%

195

0.5%

79

19% 1,093

72

37%

0.75 to <2.50

543

160

51%

626

1.2%

461

39% 1,378

532

85%

3

2.50 to <10.00

676

85

21%

694

3.4%

429

43%

591

875

126%

10

3

10 to <100

51

9

20%

53

12.6%

149

43%

894

95

179%

3

100.00 (default)

99

1

21%

99

100.0%

66

45% 1,556

44

TOTAL F-IRB (EXCL. EQUITY)

6,657

477

54% 6,916

2.1% 1,415

54%

434

3,170

46%

63

81

A-IRB

Off-balance sheet exposures

Original on-balance sheet gross exposure

Average maturity (in days)

RWA density (in%)

PD scale

Average PD (in %)

Number of obligors

Average LGD (in %)

pre-CCF CCF (in %)

EAD

RWA

EL Provisions

(in millions of euros)

Central governments and central banks 0.00 to <0.15

34,690

1,459

63% 35,603

0.0%

213

8%

718

110

0.15 to <0.25

159

159

0.2%

11

36%

617

54

34%

0.25 to <0.50

28

11

100%

39

0.4%

10

25% 2,187

17

44%

0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

115

36

39%

128

3.1%

18

40% 1,179

155

121%

2

10 to <100

1

1

20.9%

3

57% 2,773

3

352%

100.00 (default)

48

48

100.0%

7

104% 1,177

48

Sub-total Central governments or central banks

35,040

1,506

62% 35,978

0.1%

262

9%

722

340

1%

50

50

Institutions 0.00 to <0.15

6,328

995

61% 6,940

0.0%

364

18%

379

444

6%

1

0.15 to <0.25

434

136

61%

518

0.2%

71

30%

361

146

28%

0.25 to <0.50

137

129

87%

249

0.3%

31

43%

296

132

53%

0.50 to <0.75

118

92

20%

136

0.5%

40

64%

82

131

96%

0.75 to <2.50

17

387

26%

116

1.4%

60

50%

492

153

132%

1

2.50 to <10.00

50

226

21%

98

3.1%

240

89%

500

282

288%

3

10 to <100 100.00 (default)

28

28

100.0%

8

86%

519

28

Sub-total Institutions

7,113

1,964

49% 8,085

0.5%

814

22%

374

1,288

16%

33

44

Corporates 0.00 to <0.15

18,452

23,659

49% 30,305

0.1% 1,210

28% 1,149

4,198

14%

4

0.15 to <0.25

4,872

6,158

60% 8,582

0.2%

332

27% 1,129

2,377

28%

4

0.25 to <0.50

7,833

8,860

54% 12,587

0.3% 1,829

23% 1,087

3,637

29%

9

0.50 to <0.75

8,002

6,581

56% 11,693

0.5%

769

22% 1,211

4,512

39%

14

0.75 to <2.50

12,209

10,045

52% 17,437

1.3% 3,607

22% 1,375

8,858

51%

48

2.50 to <10.00

4,830

4,056

59% 7,232

3.9% 7,520

28% 1,364

6,414

89%

75

10 to <100

391

569

56%

712

13.7% 1,648

27% 1,277

952

134%

25

100.00 (default)

2,485

127

54% 2,554

100.0%

849

38%

951

1,860

73% 1,506

Subtotal Corporates

59,074

60,055

53% 91,101

3.6% 17,764

26% 1,202

32,808

36% 1,685

1,766

Corporates – SME 0.00 to <0.15

120

24

24%

125

0.1%

225

25% 2,072

21

17%

0.15 to <0.25

33

1

100%

34

0.2%

38

15% 2,133

7

21%

0.25 to <0.50

131

73

92%

198

0.4% 1,101

27% 1,446

68

34%

0.50 to <0.75

154

26

68%

171

0.6%

221

31% 1,145

84

49%

0.75 to <2.50

736

161

98%

894

1.3% 2,131

26% 1,822

493

55%

3

2.50 to <10.00

874

145

94% 1,009

4.0% 2,872

25% 1,801

725

72%

10

10 to <100

98

26

71%

117

15.5%

752

21% 2,165

110

94%

3

100.00 (default)

151

5

64%

154

100.0%

520

24% 2,057

182

119%

45

Sub-total Corporates – SME

2,297

460

88% 2,702

8.4% 7,860

25% 1,787

1,690

63%

62

82

197

Natixis Registration Document 2018