NATIXIS - Universal registration document and financial report 2019

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

Credit risk exposures: standardized approach – SA – CR exposure and CRM effects (EU CR4)

Exposures before CCF and CRM

Exposures post-CCF and CRM

RWA and RWA density

Off- balance sheet amount

On-balance sheet amount

Off- balance sheet EAD

On-balance sheet EAD

RWA density

(in millions of euros)

RWA

Central governments and central banks Regional governments or local authorities

5,891

5,891

1,031

18% 16%

260 600

255 600

41 50

Public sector entities

231

115

7%

Multilateral Development Banks International Organizations

690

690

3

Institutions* Corporates

43,091

9,839 1,139

43,091

5,132

314

1%

4,745 1,332

4,709

366

3,621

71% 69% 41%

Retail

120

742 217

31

536

Secured by mortgages on immovable property

217 261

9 2

5 1

91

Defaulted exposures

96

101

105%

Items associated with particularly high risk Covered Bonds Claims on institutions and corporates undergoing a short-term credit assessment

99

6

99

1

46

46%

Collective investments undertakings Equities Other assets

6,150

6,150

5,352

87% 16%

TOTAL AT 31/12/2019

63,336

11,345

62,540

5,651 100% 5,988

11,183

* O/w exposures related to affiliates

96%

100%

96%

TOTAL AT 31/12/2018

57,166

24,797

56,001

19,383

31%

SA – exposures (EAD) by asset classes and risk weights (CR5)

Of which unrated*

Risk Weight

Total

Exposure classes (in millions of euros) Central governments and central banks Regional governments or local authorities

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other Deducted

5,475

6

410

5,891

5,463

51

205 215

256 715

205

Public sector entities

490

6

4

36

Multilateral Development Banks International Organizations

690

690

690

Institutions Corporates

46,457 1,293

215

25

233

48,223

47,983

474

13 324 1,419 267

2,494

85

5,075

3,496

Retail

774

774

773

Secured by mortgages on immovable property

129

92

221

221

Defaulted exposures

88

9

97

96

Items associated with particularly high risk Covered Bonds Claims on institutions and corporates undergoing a short-term credit assessment

57

26

7

10

100

Collective investments undertakings Equities Other assets TOTAL (31/12/2019) TOTAL (31/12/2018)

51

4,424

1,675

6,150

6,141

53,688 1,293 37,192 1,594

706 453 1,568 267

774 7,256 104 410

1,675 1,823

68,192 65,103 61,989 54,506

1

41 1,386 485 3,770 197 2,378 11,994 620 509

Of which €46,912 million in exposure to BPCE Group affiliates and excluding exposures to the French Government at 31/12/2019. *

185

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019