NATIXIS - Universal registration document and financial report 2019

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

Detailed exposures under roll-out plan (EU CRE-E)

31/12/2019

% of RWA

% of exposure class involved in roll-out plan

SA

FI

IA

Total

Exposure class

Central governments or central banks

68.7%

11.4%

19.9%

100% 100% 100% 100% 100% 100% 100% 100% 100% 100%

0.0% 0.0% 0.4% 0.1% 0.0% 0.0%

Retail

100.0%

0%

0.0%

Corporates Institutions

9.9%

1.9% 2.9%

88.3% 76.1%

20.9% 100%

Defaulted exposures

0% 0%

0%

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

100.0%

0.0%

100% 46.8%

0%

0%

19.0%

Securitization

29.8% 100% 31.8%

23.4%

0.0% 0.0% 0.3%

Equities TOTAL

0%

0%

11.6%

56.6%

D – Credit risk: internal ratings-based approach PD and LGD by geographic area (NX16)

EAD (in millions of euros)

Geographic area (% breakdown)

PD MP

LGD MP

Africa

4,190 6,875 8,556

6.3% 0.7% 0.7% 1.0% 1.8% 3.3% 1.9% 2.2% 2.0%

27.2% 26.3% 25.5% 27.0% 21.7% 20.1% 19.8% 21.7% 21.5%

Europe (outside EU)

Other

Asia

15,604 38,358 48,361 49,460

European Union

North & South America

France

TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

171,405 188,466

RWA flow statements of credit risk exposure under the IRB approach (CR8)

(in millions of euros)

RWA

OFR

RWA 31/12/2018

54,260

4,341

Asset size

2,231 (101)

179

Asset quality Model updates

(8)

0 0

0 0

Methodology and policy Acquisitions and disposals Foreign exchange movements

(2,807)

(225)

117

9

Guarantees

(412) (841)

(33) (67)

Other

RWA AT 31/12/2019

52,448

4,196

186

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019