NATIXIS - Universal registration document and financial report 2019

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

Banking book EAD by agency (NX33 BIS)

EAD (in millions of euros)

IRB Approach

Standardized approach

Total

Rating agencies

Moody’s

397 602 475 372 211

135

532

DBRS

1,368

1,970

Fitch IBCA

87

561

Standard & Poor’s

857

1,229 2,730 1,090 2,719

Not rated

2,519 1,090

Transparency

Regulatory method

2,719 4,775

3

TOTAL

6,056

10,832

C – Natixis’ securitization exposures Securitization exposures in the banking book (SEC1)

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Sub- total

Sub- total

Sub- total

Tradi- tional

Syn- thetic

Tradi- tional

Syn- thetic

Tradi- tional

Syn- thetic

(in millions of euros)

SPV with risk transfer RMBS

190 344

190 344

Consumer ABS Consumer loans Re-securitization

939

939

4

4

Total Retail

939

939

537

537

Corporate loans

2,680

2,680

ABS

202

202

237

237

ABCP

3,070 2,052

3,070 2,052

Collateralized debt obligations

18

18

165

165

CMBS Other

312

312

40

40

7

7

146

146

427

427

Re-securitization Wholesale (total) – of which: TOTAL UNCONSOLIDATED SPV Consolidated SPV Consumer loans (Retail) Corporate loans (Wholesale) TOTAL CONSOLIDATED SPV

336 2,680 3,016 5,470 336 2,680 3,016 6,409

5,470

869

869

6,409 1,406

1,406

1,516 1,516

1,516 1,516

197

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019