NATIXIS - 2018 Registration document and annual financial report

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

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)

Corporates – Specialized Lending 0.00 to <0.15

1,010

465

86% 1,407

0.1%

59

9% 2,417

90

6%

0.15 to <0.25

719

667

89% 1,314

0.2%

63

7% 1,964

104

8%

0.25 to <0.50

1,689

1,675

78% 3,002

0.3%

218

9% 2,078

444

15%

1

0.50 to <0.75

2,691

1,970

71% 4,084

0.5%

218

10% 1,953

790

19%

2

0.75 to <2.50

5,263

3,481

60% 7,353

1.3%

408

14% 1,951

2,646

36%

14

2.50 to <10.00

306

256

64%

471

3.7%

51

26% 1,938

388

82%

4

10 to <100

2

2

12.0%

3

25% 2,415

3

129%

100.00 (default)

378

1

65%

379

100.0%

20

64% 1,129

278

73%

132

Sub-total Corporates – Specialized Lending Corporates – Other 0.00 to <0.15

12,059

8,515

70% 18,012

2.9% 1,040

13% 1,992

4,744

26%

153

170

17,323

23,171

48% 28,773

0.1%

926

29% 1,083

4,088

14%

4

0.15 to <0.25

4,120

5,490

57% 7,234

0.2%

231

31%

973

2,265

31%

4

0.25 to <0.50

6,013

7,112

47% 9,386

0.3%

510

27%

763

3,125

33%

8

0.50 to <0.75

5,157

4,586

50% 7,437

0.5%

330

29%

806

3,638

49%

12

0.75 to <2.50

6,210

6,403

47% 9,190

1.2% 1,068

28%

871

5,718

62%

31

2.50 to <10.00

3,650

3,655

58% 5,752

3.9% 4,597

28% 1,240

5,301

92%

61

10 to <100

290

543

56%

592

13.3%

893

28% 1,098

839

142%

21

100.00 (default)

1,956

121

54% 2,021

100.0%

309

34%

834

1,400

69% 1,329

Sub-total Corporates – Other

44,718

51,080

50% 70,386

3.6% 8,864

29%

978

26,374

37% 1,470

1,515

Retail 0.00 to <0.15

3

42%

1

0.1%

4

33%

197

2%

0.15 to <0.25

11

35

51%

28

0.2%

934

29%

569

2

5%

0.25 to <0.50

122

62%

122

0.4% 6,056

22% 1,341

13

11%

0.50 to <0.75

12

17

26%

17

0.7%

281

27%

719

2

11%

0.75 to <2.50

152

25

45%

163

1.4% 7,402

23% 1,237

32

20%

1

2.50 to <10.00

139

8

79%

146

5.3% 4,990

26%

926

49

34%

2

10 to <100

154

5

71%

158

23.6% 4,697

22% 1,569

69

44%

8

100.00 (default)

58

21%

58

100.0% 1,186

40%

743

14

24%

22

Sub-total Retail

647

94

48%

693

15.3% 25,550

25% 1,182

181

26%

33

50

Retail – Qualifying revolving 0.00 to <0.15

3

42%

1

0.1%

2

33%

181

2%

0.15 to <0.25

35

51%

18

0.2%

2

33%

181

1

4%

0.25 to <0.50

62%

0.4%

1

33%

181

6%

0.50 to <0.75

6

17

26%

10

0.7%

2

33%

181

1

11%

0.75 to <2.50

16

24

44%

27

1.8%

7

33%

181

6

21%

2.50 to <10.00

57

8

77%

62

5.3%

9

33%

181

28

45%

1

10 to <100

13

2

28%

14

30.6%

10

33%

181

12

86%

1

100.00 (default)

19

21%

19

100.0%

4

67%

181

2

8%

13

Sub-total Retail – qualifying revolving

111

89

46%

152

17.9%

37

38%

181

49

32%

15

16

Retail – SME 0.00 to <0.15

0.1%

2

23%

706

5%

0.15 to <0.25

10

10

0.2%

931

22% 1,193

1

8%

0.25 to <0.50

116

116

0.4% 5,998

22% 1,294

13

11%

0.50 to <0.75

3

3

0.6%

226

22% 1,322

14%

0.75 to <2.50

124

124

1.3% 7,305

22% 1,308

24

20%

2.50 to <10.00

76

76

5.2% 4,931

22% 1,324

20

27%

1

10 to <100

99

100%

100

21.3% 4,551

23% 1,392

42

42%

5

100.00 (default)

12

12

100.0% 1,113

22% 1,167

2

Sub-total Retail – SME

441

100%

441

8.9% 25,057

22% 1,320

101

23%

9

11

Retail – Residential mortgage exposures

0.00 to <0.15 0.15 to <0.25

0.2%

1

12% 2,866

4%

0.25 to <0.50

5

5

0.4%

57

15% 2,385

7%

0.50 to <0.75

3

3

0.6%

53

13% 1,724

8%

0.75 to <2.50

11

100%

12

1.4%

83

16% 2,928

2

14%

2.50 to <10.00

7

1

100%

8

5.6%

50

15% 3,015

1

18%

10 to <100

29

3

100%

32

21.3%

134

16% 3,276

10

30%

1

100.00 (default)

9

9

100.0%

65

15% 2,526

1

Sub-total Retail – Residential mortgage exposures

65

4

100%

69

23.6%

443

15% 2,948

13

19%

2

2

198

Natixis Registration Document 2018