NATIXIS - Universal registration document and financial report 2019

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

Credit derivatives exposures (CCR6)

31/12/2019

Protection bought

Protection sold

(in millions of euros)

Notional Single-name credit default swaps

8,052

7,909

Credit-linked notes Total return swaps

134

2,282

Collateralized debt obligations Index credit default swaps Other credit derivatives CDS Single Name Hedge CVA

4,632

2,053

178

26

3

TOTAL NOTIONAL

12,996

12,270

Fair values Positive fair value (asset) Negative fair value (liability)

7

196 (49)

(308)

RWA flow statements of CCR exposures under internal model method (IMM) (EU CCR7)

(in millions of euros)

RWA amounts Capital requirements

RWAs as at the end of the previous reporting period (31/12/2018)

2,338

187

Asset size

400 210 (15)

32 17 (1)

Credit quality of counterparties Model updates (IMM only) Methodology and policy (IMM only) Acquisitions and disposals Foreign exchange movements Other

103

8

RWAs as at the end of the current reporting period (31/12/2019)

3,037

243

Exposures to CCPs (CCR8)

(in millions of euros)

EAD post CRM

RWA

Exposures to QCCPs (total)

515 218

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

10,900

(i) OTC derivatives

1,140 5,931 3,828

23

(ii) Exchange-traded derivatives

119

(iii) SFTs

77

(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

3,069

63

Prefunded default fund contributions

347

234

Exposures to non-QCCPs (total) Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved

195

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019