NATIXIS - Universal registration document and financial report 2019

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

Counterparty risks 3.3.3.3 A – Counterparty risk exposure Analysis of exposure using counterparty credit risk approach (CCR1)

Repla- cement cost

Potential future exposure

EAD post-CRM RWA

(in millions of euros) Mark to market

Notional

EEPE Multiplier

94

5,000

5,094

1,299

Original Exposure Standardized approach Internal Model Method (for derivatives and SFTs) Securities Financing Transactions Derivatives & Long Settlement Transaction From Contractual Cross Product Netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (SFTs)

9,605

1.4

13,447

3,029

20,813

1,525

VaR for SFTs TOTAL AT 31/12/2019

5,853

SA – CCR EAD by regulatory portfolio and risk weight (CCR3)

Total EAD

Of which unrated*

Risk Weight

Exposure classes (in millions of euros)

0%

2% 4% 10% 20% 50% 70% 75% 100% 50% Other

Central governments or central banks Regional governments or local authorities

12

245 199

257 787

139 174

Public sector entities

285

277

26

Multilateral Development Banks International Organizations

237

237

237

Institutions Corporates

3,395

13,461

10

1 4

3

16,870

16,868

1

499

21

525

521

Retail Secured by mortgages on immovable property Defaulted exposures Items associated with particularly high risk Covered Bonds Claims on institutions and corporates undergoing a short-term credit assessment

1

6

7

6

13

96

14

122

Collective Investment undertakings (CIU) Equities Other assets TOTAL AT 31/12/2019

3,930 13,960 2,855 15,938

467 575

378 279

65

6 3

18,806 17,945 19,811 19,178

TOTAL AT 31/12/2018

1

161

Of which €13,969 million relating to clearing houses (2% flat weighting in accordance with applicable regulation) and €3,237 million relating to BPCE Group affiliates at December 31, 2019 *

192

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019