NATIXIS - Universal registration document and financial report 2019

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

D – Regulatory capital requirements Securitization exposures in the banking book and associated capital requirements – Bank acting as originator or as sponsor (SEC3)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

OFR

> 50% to 100%

> 100% to 1,250% = 1,250%

IRB RBA (including

IRB RBA (including

IRB RBA (including

> 20% to 50%

(in millions of euros)

<= 20%

IAA) IRB SFA SA 1,250%

IAA) IRB SFA SA 1,250%

IAA) IRB SFA SA 1,250%

Traditional securitization

1,854

360

153

17

69

1,437

40 969

8

498

23 320

105

40

2 26

8

o/w retail underlying

182

182

16

1

o/w wholesale

1,672

360

153

17

69

1,255

40 969

8

482

23 320

105

39

2 26

8

o/w re-securitization o/w senior debt o/w non-senior Synthetic securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES

3

1,504 1,062

114

2,680

497

40

1,504 1,062

114

2,680

497

40

3,358 1,422

267

17

69

1,437 2,719 969

8

498

520 320

105

40

42 26

8

Securitization exposures in the banking book and associated capital requirements – bank acting as investor (SEC4)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

OFR

> 50% to 100%

> 100% to 1,250%

IRB RBA (including

IRB RBA (including

IRB RBA (including

> 20% to 50%

= 1,250%

(in millions of euros)

<= 20%

IAA) IRB SFA SA 1,250%

IAA) IRB SFA SA 1,250%

IAA) IRB SFA SA 1,250%

Traditional securitization

428 428 383

222

26

2 2 2

106

441 441 389

245

97

82 82 67 15

116

108

7 7 5 1

9 9 1 8

9

o/w securitization

222

26

106

245

97

116

107

9

o/w retail underlying

33

5

30

3

10

1

o/w wholesale

45

189

26

100

52

214

93

106

106

8

o/w re-securitization o/w senior debt o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES

428

222

26

2

106

441

245

97

82

116

108

7

9

9

199

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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