NATIXIS - 2018 Registration document and annual financial report

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

TABLE INDEX 3.3.7

Registration document page number

Subject

Title of table

Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (EU LI 1)

167-168

Differences between consolidation scopes (entity by entity) (EU LI3)

169-170

Transition from the accounting balance sheet to the regulatory balance sheet at December 31, 2018

172

Regulatory capital Appendix VI

173 to 176

Total capital ratio

176

Capital management and capital adequacy

Geographical distribution of credit exposures used in the countercyclical buffer (CCYB1)

177

Prudential valuation adjustments (PV1)

177

Changes in regulatory capital after application of phase-in arrangements over the period

178

Non-deducted participations in insurance undertakings (EU INS1)

178

Risk-weighted assets at December 31, 2018

179

Basel 3 RWA by main Natixis business line (NX02)

179

EAD, RWA and capital requirement by approach and by Basel exposure category (NX01)

132

RWA (EU OV1)

182

Exposure and EAD by Basel category of exposure (NX03)

133

EAD by geographic area and by asset class (NX05)

133

Credit risk and Contreparty risk

NX06: EAD by geography

134

EAD by category and by agency – standardized approach (NX11 BIS)

183

Guaranteed exposures by type and internal rating of guarantor (NX17)

183

EAD by internal rating (S&P equivalent) (NX12)

134

Credit risk mitigation techniques (EU CR3)

184

IRB – Effect on RWA of credit derivatives used as CRM techniques (EU CR7)

185

Credit quality of assets (EU CR1)

186

Total and average amount of net exposures (EU CRB – B)

187

Geographic breakdown of exposures (EU CRB – C)

188

Concentration of exposures by industry or counterparty type (EU CRB – D)

189

Maturity of exposures (EU CRB – E)

190

Risk weights used under SA by category of exposure and by rating grade (CRD-D)

192-193

Credit risk exposure and credit risk mitigation under SA (EU CR4)

194

EAD by asset classes and risk weights under SA (CR5)

194

Detailed exposures under Roll-Out plan (EU CRE-E)

195

Indicative correspondences between internal ratings based on expert judgment and external agency ratings (corporates, banks, specialized financing institutions)

126

PD and LGD by geographic area (NX16)

195

Backtesting of LGDs and PDs by exposure class

128

Credit risk

Main internal models: PD, LGD, CCF and volatility discounts (EU CRE)

129

Statements of credit risk exposure under the IRB approach (EU CR8)

195

IRB – Credit risk exposures by portfolio and PD range (EU CR6)

196 to 199

IRB – specialized lending and equities using the simple risk-weighted asset method (excluding impact of thresholds) (EU CR10)

199

Breakdown of equity exposures by main Natixis business line (NX23)

200

Equity EAD by type and nature of exposure (NX24)

200

RWA by weighting (excluding impact of thresholds) (NX25)

200

Analysis of exposure using counterparty credit risk approach (EU CCR1)

201

Standardized approach – CCR exposures by regulatory portfolio and risk weight (EU CCR3)

201

NI – CCR exposures by portfolio and PD scale (EU CCR4)

202 to 204

Credit derivatives exposures (CCR6) RWA flow statements of CCR exposures under Internal Model Method (IMM) (EU CCR7)

204 204

Exposures to CCPs (CCR8)

205

Capital requirements for credit valuation adjustments (EU CCR2)

205

216

Natixis Registration Document 2018