NATIXIS - Universal registration document and financial report 2019

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

Securitization exposures in the trading book (SEC2)

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)

RMBS

63

63

Consumer ABS Consumer loans Re-securitization

339

339

1

1

RETAIL (TOTAL) – OF WHICH

403

403

Corporate loans ABS

15 84

15 84

Collateralized debt obligations

CMBS Other

11

11

Re-securitization

1

1

WHOLESALE (TOTAL)

112

112

EAD and RWA according to natixis’ role in the banking book (NX31-A)

(in millions of euros)

EAD

RWA

OFR

Investor

1,406

447 365

36 29

Balance sheet

841 565

Off-balance sheet

82

7

Originator

3,016 3,016 6,409 1,656 4,753

1,120 1,120 1,117

90 90 89 17 72

Balance sheet

Sponsor

Balance sheet

212 905

Off-balance sheet

TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

10,832 10,167

2,684 3,045

215 244

EAD according to Natixis’ role in the securitization trading book (NX31-B)

31/12/2019

EAD

RWA

OFR

Role (in millions of euros)

Investor

515

203

16

Originator Sponsor TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

515 202

203 196

16 16

Re-securitization exposures before and after substitution (NX34)

Guarantor rating (in millions of euros)

Exposure

Protection

EAD

Sub-total Sub-total

TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

198

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019