NATIXIS - 2018 Registration document and annual financial report

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

D – Regulatory capital requirements SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED CAPITAL REQUIREMENTS – BANK ACTING R AS ORIGINATOR OR AS SPONSOR (SEC3)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Capital requirements

IRB RBA (including IAA)

IRB RBA (including IAA)

IRB RBA (including IAA)

> 20% to 50%

> 50% to 100%

> 100% to 1250% = 1,250%

IRB SFA SA 1,250%

IRB SFA SA 1,250%

IRB SFA SA 1,250%

<= 20%

(in millions of euros)

Traditional securitization

2,435 2,738

767

16

142

3,031

26 3,041

898 26 1,443

72

2 115

o/w securitization

2,435 2,738

767

16

142

3,031

26 3,041

898 26 1,443

72

2 115

o/w retail underlying 240

108

309

3

2

236

15 411

62

9 288

5

1 23

o/w wholesale

2,194 2,630

457

14

140

2,795

11 2,630

836 17 1,155

67

1 92

o/w re-securitization o/w senior o/w non-senior Synthetic securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior o/w securitization

2,597

2,597

199

16

2,597

2,597

199

16

2,597

2,597

199

16

TOTAL EXPOSURES 5,031 2,738

767

16

142

3,031 2,622 3,041

898 225 1,443

72 18 115

SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED CAPITAL REQUIREMENTS – BANK ACTING R AS INVESTOR (SEC4)

Exposure values (by regulatory approach)

Exposure values (by RW bands)

RWA (by regulatory approach)

Capital requirements

IRB RBA (including IAA)

IRB RBA (including IAA)

IRB RBA (including IAA)

> 20% to 50%

> 50% to 100%

> 100% to 1250% = 1,250%

IRB SFA SA 1,250%

IRB SFA SA 1,250%

IRB SFA SA 1,250%

<= 20%

(in millions of euros)

Traditional securitization

1,106

196

58

4

109

842

631

303

176

24

14

o/w securitization

1,106

196

58

4

109

842

631

302

176

24

14

o/w retail underlying

888

98

50

4

7

416

631

92

176

7

14

o/w wholesale

218

98

8

101

426

210

17

o/w re-securitization

1

o/w senior

1

o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior

TOTAL EXPOSURES 1,106

196

58

4

109

842

631

303

176

24

14

208

Natixis Registration Document 2018