NATIXIS - Universal registration document and financial report 2019

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

Retail 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) Sub-total Retail Retail – qualifying revolving

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) Sub-total Retail – qualifying revolving Retail – SME 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) Sub-total Retail – SME Retail – Residential mortgage exposures 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) Sub-total Retail – Residential mortgage exposures Other retail exposures 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) Sub-total – Other retail exposures Equities Sub-total Equity A-IRB 0.00 to <0.15

3

51,088

25,873

54% 64,962

0.0% 0.2% 0.3% 0.5% 1.3% 4.1%

1,516

19% 28% 23% 23% 23% 29% 28% 37% 22%

871 987

4,537 2,263 3,770 4,896 9,034 6,732

7%

5 4 9

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

4,899 8,179 7,891

6,118 7,576 8,531

56%

8,340

340 478 504

27% 31% 40% 52% 99%

55% 12,362 53% 12,394 48% 17,237

1,148 1,118 1,206 1,251

15 48 81 13

12,323

10,177

1,008 1,063

4,158

5,015

53% 57% 41%

6,832

10 to <100

249

198 146

361

14.2%

311 271

967 764 995

504

139%

100.00 (default)

2,793

2,853

100.0%

2,155

76% 27%

1,693

TOTAL A-IRB

91,578

63,633

53% 125,340

2.8%

5,491

33,892

1,869

1,931

189

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019