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

PD scale Total 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

51,137

25,887

54% 65,017

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

1,532

19% 28% 24% 23% 23% 30% 31% 37% 22%

870 987

4,548 2,263 3,977 4,909 9,254 6,998

7%

5 4

4,899 8,465 7,891

6,120 7,770 8,617

56%

8,341

344 486 507

27% 31% 39% 53% 99%

56% 12,793 53% 12,458 48% 17,452

1,121 1,123 1,199 1,224

10 15 50 85 19

12,516

10,248

1,162 1,236

4,359

5,079

53% 52% 41%

7,047

10 to <100

346

228 146

465

13.8%

456 315

862 787 991

702

151%

100.00 (default)

2,869

2,930

100.0%

2,155

74% 28%

1,727

TOTAL AT 31/12/2019*

92,483

64,096

53% 126,503

2.9%

6,038

34,806

1,915

1,996

*

Total excluding other assets and specialized lending slotting criteria.

IRB – Specialized lending and equities under the simple risk weight method (excluding impact of thresholds) (CR10)

On-balance sheet exposure

Off-balance sheet exposure

Regulatory categories (in millions of euros)

Residual maturity Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years

Total risk weight

EAD

RWA

EL

Category 1

50

Category 2

70

Category 4

90

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

15

15

12

Simple risk-weighted approach on specialized lending only applied by the SFS entities sold in BPCE in early 2019. *

CR10 Table – Equities

Equities under the simple risk-weighted approach (in millions of euros)

On-balance sheet exposure

Off-balance sheet exposure

Total risk weight

EAD

RWA

OFR

Private Equity exposures

599

158

190 290 370

757

1,439 4,337

115 347 850

Exchange-traded equity exposures

1,495 2,872 4,967 4,399

1,495 2,872 5,125 4,569

Other equity exposures TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

10,627 16,402 14,507

158 170

1,312 1,161

190

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019