NATIXIS - 2018 Registration document and annual financial report

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

NI – CCR EXPOSURES BY PORTFOLIO AND PD SCALE (CCR4) R

F-IRB

Average maturity (in days)

PD scale (in millions of euros) Institutions 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total Corporates 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total Total F-IRB 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total F-IRB

Average PD (in %)

Number of obligors

Average LGD (in %)

RWA density (in %)

EAD

RWA

148

0.1% 0.2%

17

45% 45%

7 6

26

18% 32%

1

2

3

2.7%

1

45%

5

4

130%

152

0.1%

20

45%

7

31

21%

1,607

0.1% 0.2% 0.3% 0.5%

48

45% 45% 45% 45%

158

214

13% 24% 37% 51%

2

2 2 1

1

26 29

14

9

1

14

2.7%

1

45%

5

106%

1,663

0.1%

54

45%

153

239

14%

1,754

0.1% 0.2% 0.3% 0.5%

65

45% 45% 45% 45%

145

241

14% 28% 37% 51%

3

4 2 1

3

1 9

26 29

14

1

14

3

2.7%

2

45%

5

4

130%

1,815

0.1%

74

45%

140

270

15%

A-IRB

Average maturity (in days)

PD scale (in millions of euros)

RWA density (in %)

Average PD (in %)

Number of obligors

Average LGD (in %)

RWA

EAD

Central governments and central banks 0.00 to <0.15

7,459

58

13% 37% 47%

353

28

0%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total Institutions 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default)

24

0.2% 0.4%

2 2

26

5 5

20% 74%

7

842

95

3.2%

4

47%

1,405

156

165%

7,584

66

14%

366

193

3%

9,095

377

20% 28% 30% 33% 59% 84%

413 977 479 774 459 184

611 263 104 223 114

7%

833 283 328

0.2% 0.3% 0.5% 1.1% 2.9%

97 67 53 39 48

32% 37% 68%

90 31

126% 225%

70

202

Natixis Registration Document 2018

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