NATIXIS - 2018 Registration document and annual financial report

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

Counterparty risks 3.3.3.3 A – Counterparty risk exposure ANALYSIS OF EXPOSURE USING COUNTERPARTY CREDIT RISK APPROACH (CCR1) R

Potential future exposure

EEPE

Multiplier EAD post-CRM RWA

Notional

Replacement cost

(in millions of euros) Mark to market

271

4,610

4,881 1,433

Original Exposure Standardized approach Internal Model Method (for derivatives and SFTs)

3

8,245

1.4

11,543 2,327

Securities Financing Transactions Derivatives & Long

Settlement Transaction From Contractual Cross Product Netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (SFTs)

20,583 1,627

VaR for SFTs TOTAL 31/12/2018

5,387

SA – CCR EAD BY REGULATORY PORTFOLIO AND RISK WEIGHT (CCR3) R

Risk Weight

Exposure class

Of which unrated

0%

2% 4% 10% 20% 50% 70% 75% 100% 150% Other

Total EAD

(in millions of euros)

Central governments or central banks Regional governments or local authorities

115

115

115

133

186

318

249

Public sector entities

46

217

226

21

510

88

Multilateral development banks

International Organizations

130

130

130

Banks

2,430

15,938

147

1

1

18,517

18,515

Corporates

1

11

80

2

94

79

Retail

1

1

1

Secured by mortgages on immovable property Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and

1

2

1

corporates with a short-term credit assessment

25

41

59

125

Collective Investment undertakings (CIU) Equity Other items

TOTAL 31/12/2018

2,855

15,938

575

279

1

161

3

19,811

19,178

TOTAL 31/12/2017

2,014

18,175

668

229

1

44

2

21,132

19,144

201

Natixis Registration Document 2018