NATIXIS - Universal registration document and financial report 2019

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

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

A-IRB PD scale Central governments and central banks 0.00 to <0.15

28,190

1,442

61% 29,073

0.0% 0.2% 0.4%

223

9%

810 323

124

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

61 42

61 49

5

37% 30%

16 24

26% 48%

7

100%

10

1,760

39

47 15

100%

86

3.2%

14

47% 57%

2,390 1,360 1,149

146

169% 320%

1 1

10 to <100

1

29%

5

20.9%

5 7

17

100.00 (default)

49

49

100.0%

104%

49

Sub-total Central governments or central banks

28,382

1,512

62% 29,324

0.2%

264

9%

816

325

1%

51

51

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 10 to <100 100.00 (default) 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

5,223

2,126

51% 29% 54% 20% 22% 20%

6,302

0.0% 0.2% 0.3% 0.5% 1.6% 3.0%

356

19% 27% 30% 43% 47% 71%

414 160 188 776 434 800

366

6%

1

401 343

55

416 435 100 116 149

56 34 29 63

82

20% 32% 85%

170 382 338 213

139

24 43

85

141 330

121% 222%

1 3

106

121

41

20% 42%

41

100.0%

8

90% 23%

971

41

Sub-total Institutions

6,180

3,283

7,560

0.7%

667

403

1,144

15%

46

45

17,675

22,305

53% 29,586

0.1% 0.2% 0.3% 0.5% 1.3% 4.2%

937 279 434 475 945 928 306 256

29% 28% 23% 23% 23% 28% 27% 35% 26% 42% 22% 40% 27% 37% 40% 44% 38% 37%

1,027 1,036 1,181 1,121 1,211 1,246

4,048 2,165 3,607 4,811 8,892 6,256

14% 28% 30% 39% 52% 95%

4 4 9

4,437 7,794 7,867

6,063 7,399 8,149 9,839 4,755

56%

7,862

55% 11,878 54% 12,293 49% 17,121

15 47 76 13

12,280

4,013

54% 59% 41%

6,597

10 to <100

248

183 146

356

14.1%

961 755

487

137%

100.00 (default)

2,703

2,763

100.0%

2,155

78% 37%

1,603

Subtotal Corporates Corporates – SME 0.00 to <0.15

57,016

58,838

53% 88,456

3.9%

4,560

1,105

32,423

1,772

1,836

40

60% 20% 91% 97% 78% 96% 31% 87% 86% 83% 82% 73% 68% 62% 47%

24

0.0% 0.2% 0.4% 0.6% 1.6% 4.8%

14

595

3 1

13% 29% 47% 50% 80%

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

2

9

1,741

45 93

32

75

28 37

682

35

114 101 134

204 391 444

1,065 1,106 1,243

101 313 597

312 315

125 205

2 9

134% 191% 140%

10 to <100

2

13 11

6

12.4%

72 54

340

11 78

100.00 (default)

46

56

100.0%

1,020

25

Sub-total Corporates – SME

815

446

1,201

7.2%

544

1,106

1,140

95%

37

31

Corporates – Specialized Lending 0.00 to <0.15

829 936

602 650

1,327 1,468 3,184 4,055 6,155

0.1% 0.2% 0.3% 0.5% 1.3% 3.4%

64 40

10% 15%

2,390 1,765 1,967 1,891 1,959 2,105

95

7%

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 10 to <100 100.00 (default)

288 435 884

20% 14% 22% 33% 81%

2,201 2,430 4,585

1,345 2,389 2,519

200 193 301

8%

1 2

11% 12% 24%

2,019

10

302

237

414

46

335

3

404

16

27%

408

100.0%

25

44% 12%

1,008

426

104%

95

Sub-total Corporates – Specialized Lending

11,688

7,760

69% 17,011

3.2%

869

1,942

4,482

26%

111

133

Corporates – Other 0.00 to <0.15

16,847

21,662

53% 28,235

0.1% 0.2% 0.3% 0.5% 1.2% 4.2%

859 230 206 245 519 677 234 177

30% 31% 28% 29% 28% 27% 27% 34% 29%

964 868 895 734 779 971 703 902

3,949 1,877 3,138 3,826 6,560 5,325

14% 29% 36% 48% 62% 93%

4 3 8

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

3,499 5,548 5,344 7,382 3,396

5,412 6,021 5,645 7,219 4,384

53% 51% 48% 53% 62% 39%

6,392 8,619 8,034

12 36 65 13

44% 10,575

5,740

1,184

10 to <100

246

169 119

351

14.1%

477

136%

100.00 (default)

2,252

2,299

100.0%

1,650

72% 38%

1,483

Sub-total Corporates – Other

44,514

50,632

51% 70,245

4.0%

3,147

26,801

1,624

1,671

188

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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