NATIXIS - Universal registration document and financial report 2019

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

Credit risks 3.3.3.2 A – Credit risk mitigation techniques Credit risk mitigation techniques (CR3)

Exposures secured by financial

Exposures secured by credit

Exposures secured by collateral, of which: secured amount

Exposures unsecured –

Exposures secured by financial guarantees

Exposures secured by credit derivatives

Exposures secured by collateral

guarantees, of which: secured amount

derivatives, of which: secured amount

Carrying amount

(in millions of euros)

IRB Approach Central governments or central banks

26,689

3,445

3,365

Institutions Corporates

9,107

22

22

621

605

69,572

30,648

27,526

13,213

8,523

1,263

1,263

o/w SME

1,237

247

162

120 218

3

o/w Specialized Lending

228

18,868

17,782

Retail Secured by real estate property

o/w SME Non-SME o/w Qualifying revolving Other Retail

o/w SME Non-SME

Equities

5,621

Other assets Sub-total IRB 31/12/2019 Sub-total IRB 31/12/2018

110,989 123,244

30,671 37,351

27,548 33,758

17,280 14,878

12,494 11,299

1,263 1,202

1,263 1,202

Standardized approach Central governments or central banks Regional governments or local authorities

5,845

46

46

256 827

Public sector entities

4

1

Multilateral Development Banks International Organizations

690

Institutions Corporates

49,442

3,488 1,375

3,488 1,360

3,795

709

679

o/w SME

208 527 371

22

22

15

Retail

904 253 226 136

641 193 226 136

8

o/w SME

8

Secured by mortgages on immovable property

o/w SME

Defaulted exposures

92

7

2

1

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

103

2

2

Collective investments undertakings Equities Other assets

6,150

Sub-total SA 31/12/2019 Sub-total SA 31/12/2018

67,726 67,768 178,715 191,011

1,846 3,246

1,548 2,624

4,924

4,897 9,622

10,487 22,205 25,366

TOTAL 31/12/2019

32,517 40,598

29,096 36,382

17,391 20,921

1,263 1,202

1,263 1,202

Total 31/12/2018

IRB – Internal rating – effect on RWA of credit derivatives used as CRM techniques (CR7)

(in millions of euros)

Pre-credit derivatives RWA

RWA

Exposures under Foundation IRB

914

914

Central governments and central banks

185

185

Institutions

44

44

Corporates – SME

347

347

Corporates – Specialized Lending Corporates – Other

338

338

Exposures under Advanced IRB

41,862

33,892

Central governments and central banks

325

325

Institutions

1,144 1,140 4,482

1,144 1,140 4,482

Corporates – SME

Corporates – Specialized Lending

Corporates – Other

34,772

26,801

Retail – Secured by real estate SME Retail – Secured by real estate non-SME

174

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019