NATIXIS - Universal registration document and financial report 2019

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

PD scale (in millions of euros) Corporates – SME 0.00 to <0.15

Average PD (in %)

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

Number of obligors

EAD

RWA

1 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 10.00 to <100.00

0.2% 0.4% 0.6% 1.7% 4.7%

44% 44% 44% 44% 42% 44% 44% 43% 16% 12% 14% 13% 17% 27% 33% 34% 33% 35% 31% 34% 33% 33% 33% 24% 31% 27% 28% 29% 36% 34% 34% 26% 26% 31% 27% 28% 29% 36% 34% 34% 27% 35% 15%

154

31% 49% 54% 97%

6 6 4 6 3

1,107

3 4 4 8 7

24 64

106

1,498

118

810

124% 213% 165%

11.8%

99

2,334

100.00 (default)

100.0%

8

169

Sub-total

26

3.3%

325

983

24

95%

Corporates – Specialized Lending 0.00 to <0.15

106 158 345 491 548

0.1% 0.2% 0.3% 0.5% 1.2% 3.3%

18 27 75

3,347 3,243 3,244 3,200 2,977 2,226

15 22 76

15% 14% 22% 27% 45% 84%

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 – Other 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 Total A-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 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 10.00 to <100.00 100.00 (default) Sub-total 100.00 (default) Sub-total A-IRB Sub-total

149 146

131 247

67

15

56

18

100.0%

6

3,500

35

197%

1,734

1.8%

436

3,117

583

34%

10,322

590 158 161 192 413 531 342

236 871 694 698 414 706

710 349 202 426 992 366

7%

1,159

0.2% 0.3% 0.5% 1.2% 4.4%

30% 37% 49% 58%

543 874

1,721

359

102% 168% 193%

58 27

13.4%

1,808 1,270

96 52

100.0%

28

15,063

0.6%

2,415

368

3,194

21%

24,936

1,022

414

1,459

6%

2,082 1,290 1,495 2,347

0.2% 0.3% 0.5% 1.2% 4.0%

281 311 402 660 729 441

1,061 1,346 1,505 1,015

598 448 632

29% 35% 42% 57%

1,338

520

947

567 103

109% 170% 194%

61 45

13.3%

1,835 2,161

100.0%

43

87

32,775

0.4%

3,889

598

5,233

16%

26,626

1,105

427

1,700

6%

2,097 1,297 1,501 2,347

0.2% 0.3% 0.5% 1.2% 4.0%

286 318 404 660 735 441

1,053 1,355 1,499 1,015

602 452 635

29% 35% 42% 57%

1,338

532

925

581 103

109% 170% 194%

61 45

13.3%

1,835 2,161

100.00 (default)

100.0%

43

87

TOTAL AT 31/12/2019

34,506

0.4%

3,992

599

5,499

16%

194

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019