NATIXIS - Universal registration document and financial report 2019

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Quantitative information 3.2.3.10 EAD, RWA and capital requirements by Basel approach and exposure class (NX01) (Data certified by the Statutory Auditors in accordance with IFRS 7)

31/12/2019

31/12/2018

EAD

RWA

OFR

(in millions of euros)

EAD

RWA

OFR

Credit Risk Internal approach

136,517

53,854

4,308

154,895

55,647

4,452

Equities

5,621

17,642

1,411

5,269

16,257

1,301

Central governments or central banks

29,616

511

41

36,350

531 204 181

42 16 15

Other assets

754 692

Retail

Corporates Institutions

89,071

33,108

2,649

97,358

35,711

2,857

7,816 4,394

1,187 1,406

95

8,388 6,084

1,376 1,387

110 111

Securitization

112

Standardized approach

74,182

12,420

994

65,642

20,999

1,680

Central governments or central banks

7,551 6,150

1,122 5,352

90

4,469 8,144 2,377 8,569

1,525 6,872 1,716 6,693

122 550 137 535

Other assets

428

Retail

774

536

43

Corporates Institutions

5,075

3,621

290

48,223

314 101

25

36,011

824 782

66 63

Defaulted exposures

97

8

580

Exposures secured by mortgages on immovable property Claims on institutions and corporates undergoing a short-term credit assessment

221

91

7

1,195

559

45

100

46

4

643

413

33

Securitization

5,990

1,237

99

3,654

1,615

129

Sub-total credit risk Counterparty risk Internal approach

210,699

66,274

5,302

220,537

76,646

6,132

34,888

5,531

442

33,571

5,012

401

Central governments or central banks

3,807

120

10

7,584

193

16

Corporates Institutions

18,026 12,673

4,015 1,365

321 109

14,762 10,813

3,362 1,417

269 113

Securitization

382

32

3

412

40

3

Standardized approach

18,872

645

52

19,829

742

59

Central governments or central banks

1,282

254

20

1,073

214

17

Retail

1

Corporates Institutions

525

33

3

94

88

7

16,870

274

22

18,517

349

28

Defaulted exposures

7

10

1

2

2

Claims on institutions and corporates undergoing a short-term credit assessment

122

64 10

5 1

124

85

7

Securitization

66

18

4

CCP default fund exposure Sub-total counterparty risk

347

234

19

273

185

15

54,106

6,410

513

53,673

5,939

475

Market risk Internal approach

5,826 5,378

466 430

4,444 5,185

355 415

Standardized approach

Equity risk

462

37

612

49

Foreign exchange risk

2,685

215

2,436

195

Commodities risk

708

57

612

49

Interest rate risk

1,523

122

1,525

122

Sub-total market risk

11,204

896 107

9,629 1,661

770 133

CVA

7,671

1,336

7,168

Settlement-delivery risk

32

3

5

Operational risk (standardized approach)

13,733 98,990

1,099 7,919

15,345

1,228 8,738

Total

109,225

124

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019