NATIXIS - Universal registration document and financial report 2019

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

IRB – credit risk exposures by portfolio and PD range (CR6)

Original on- balance sheet gross exposure

Off- balance sheet exposures pre-CCF

Average CCF (in %)

Average PD

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

PD scale (in millions of euros)

(in %) Number of obligors

Expected

EAD

RWA

loss Provisions

F-IRB Central governments and central banks 0.00 to <0.15

6

6

0.0%

1

45%

1

0.15 to <0.25 0.25 to <0.50

286

286

0.4%

2

45%

192

185

65%

0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default) Sub-total Central governments or central banks

3

292

292

0.0%

3

45%

188

185

63%

Institutions 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 Corporates 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

40

10

50% 50% 75% 75%

45

0.0% 0.2% 0.3% 0.5% 0.8% 2.7%

14

45% 45% 11% 11% 45% 45%

24

10

21% 57% 15% 19%

2

1

3 6 2 5 1

423 625

1

194

146

21 12

86

64

1,965

1

118% 163%

50%

164

10 to <100 100.00 (default) Sub-total Institutions

40

293

74%

256

0.3%

31

17%

857

44

17%

1

4

4

20%

4

0.1% 0.2%

1 1

45% 45%

320

1

29% 52%

1,040

0.6% 1.7% 4.6%

1

45% 44% 42% 44% 45% 43%

708 690 371 497

65%

193 201

72 64 30

30% 21% 21% 23% 25%

215 215 104

149 172 145

220 266 198

102% 124% 191%

2 4 6

10 to <100

98 76

12.2%

100.00 (default)

1

77

100.0%

44

1,625

34

Subtotal Corporates Corporates – SME 0.00 to <0.15

573

169

615

16.7%

513

660

685

111%

46

64

0.0% 0.2%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

1

45%

1,040

52%

0.6% 1.9% 5.1%

1

45% 43% 44% 44% 45% 44%

708 454 356 435 968 441

65% 95%

86

43 40 19

22% 22% 21% 23% 22%

96

101 134 116

91

1 3 3 8

115

124

153 103

124% 173%

10 to <100

55 18

59 18

12.5%

100.00 (default)

1

100.0%

42

Sub-total Corporates – SME

275

103

297

11.3%

395

347

117%

15

4

Corporates – Other 0.00 to <0.15

4

4

20%

4

0.1%

1

45%

320

1

29%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

107

28 23 11

43% 20% 20%

119

1.5% 4.0%

48 38 29

45% 39% 45% 45% 43%

880 391 579

129 112

108% 123% 215%

1 1 2

87 42 59

91 45 59

10 to <100

11.7%

96

100.00 (default)

100.0%

2

1,825

26

Sub-total Corporates – Other

298

67

30%

318

21.8%

118 574 574

864 183 183

338

106% 314% 314%

31 86 86

60

Equities

5,463

158

100% 100%

5,621

17,642

Sub-total Equity

5,463

158

5,621

17,642

F-IRB (excl. equity) 0.00 to <0.15

49

14

41% 50% 75% 75% 30% 21% 21% 23% 56%

55

0.0% 0.2% 0.4% 0.5% 1.7% 4.6%

16

45% 45% 34% 11% 44% 42% 44% 45% 38%

45

11

20% 56% 48% 19%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

2

1

4 8 3

503 338

1

286

194

432

207

1

86 72 64 30

65

1,961

12

193 201

215 215 104

154 173 145

690 371 497

220 266 198

102% 124% 191%

2 4 6

10 to <100

98 76

12.2%

100.00 (default)

1

77

100.0%

44

1,625

34

TOTAL IRB-F (EXCL. EQUITY)

904

462

1,163

9.0%

547

585

914

79%

46

65

187

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019