NATIXIS - Universal registration document and financial report 2019

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

Breakdown and changes in risk-weighted assets 3.3.3 Credit and counterparty risks 3.3.3.1 RWA overview (EU OV1)

OFR

RWA

31/12/2019

(in millions of euros)

31/12/2019

31/12/2018

Credit risk (excluding CCR)

62,392

71,894

4,991

o/w the standardized approach

11,183

19,383

895

Of which the foundation IRB (F-IRB) approach Of which the advanced IRB (A-IRB) approach

914

3,193

73

33,892 16,402

34,810 14,507

2,711 1,312

o/w equity IRB under the simple risk-weighted approach or the IMA

Counterparty risk

7,704

7,556

616

o/w mark to market

1,496

1,678

120

o/w original exposure o/w the standardized approach o/w internal model method (IMM)

3,037

2,338

243

o/w risk exposure amount for contributions to the default fund of a CCP

234

185

19

o/w CVA

1,336

1,661

107

Settlement risk

32

5

3

Securitization exposures in the banking book (after the cap)

2,684

3,045

215

o/w IRB approach

918 520

1,202

73 42

o/w IRB supervisory formula approach (SFA) o/w internal assessment approach (IAA) o/w the standardized approach

224

1,246

1,619

100 896 430 466

Market risk

11,204

9,629 5,185 4,444

o/w the standardized approach

5,378 5,826

o/w IMA

Large exposures Operational risk

13,733

15,345

1,099

o/w basic indicator approach o/w standardized approach

13,733

15,345

1,099

o/w advanced measurement approach Amounts below the thresholds for deduction (subject to 250% risk weight)

1,240

1,750

99

Floor adjustment TOTAL

98,990

109,225

7,919

Note: The disposal of the retail banking business and its acquisition by BPCE S.A. deducted €11,597 million in RWA at 31/12/2019 covering credit risk only and broken down as follows:

RWA 31/12/2019

(in millions of euros, retail banking activities)

Credit risk (excluding CCR)

11,597

o/w the standardized approach

8,185

o/w the foundation IRB (F-IRB) approach o/w the advanced IRB (A-IRB) approach

701

2,691

o/w equity IRB under the simple risk-weighted approach or the IMA

20

172

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019