NATIXIS - Universal registration document and financial report 2019

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

NI – CCR exposures by portfolio and PD scale (CCR4)

PD scale (in millions of euros)

Average PD (in %)

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

Number of obligors

EAD

RWA

F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total 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 10.00 to <100.00 100.00 (default) Sub-total Total F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total 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 10.00 to <100.00 100.00 (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 10.00 to <100.00 Sub-total

517

23

45% 45% 45%

7 5

47

9%

3

0.2% 0.3%

2 3

1

32% 78%

1,161

4

2.7%

3

45%

5

5

130%

524

0.1%

31

45%

7

53

10%

3

1,169

0.1% 0.2% 0.3% 0.5%

57

45% 45% 45% 45%

891

194

17% 25% 55% 51%

12

3 4 2

51

3 4 3

7 6

2,850

5

8

2.7%

3

45%

2

9

106%

1,204

0.1%

69

45%

884

213

18%

1,690

0.1% 0.2% 0.3% 0.5%

83

45% 45% 45% 45%

624

241

14% 26% 56% 51%

15

5 7 2

43

4 4 3

8 6

2,825

5

12

2.7%

6

45%

3

14

114%

1,731

0.1%

103

45%

622

266

15%

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

3,722

60

16% 37% 47%

723 100

31

1%

24 14

0.2% 0.4%

3 2

5

21% 98%

1,038

13

45

3.2%

1

47%

1,234

70

157%

3,804

66

16%

726

119

3%

10,787

353

20% 30% 30% 36% 62% 50%

448 923 570 543 451 696

703 221 153

7%

740 382 123

0.2% 0.3% 0.5% 1.1% 2.8%

90 65 37 37 64

30% 40% 59%

73 95 67

74 44

129% 153%

1

12,149

0.1%

647

21%

483

1,311

11%

10,428

609 188 244 365 623 664 441

33% 31% 26% 27% 28% 33% 34% 34% 31%

268

725 372 281 560

7%

1,318

0.2% 0.3% 0.5% 1.2% 4.2%

1,156 1,682 1,591 1,034

28% 32% 41% 55%

894

1,372 2,273

1,243

432

942

430 103

100% 170% 194%

61 45

13.3%

1,835 2,161

100.00 (default)

100.0%

42

87

Sub-total

16,822

0.7%

3,176

652

3,802

23%

193

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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