NATIXIS - Universal registration document and financial report 2019

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

Cross-reference table 3.3.7

Cross-reference table between articles of the CRR, Basel committee/eba tables and statements, and the Pillar III report

CRR Article

Basel Committee/EBA tables and statements

Page

Article 435 (a) Article 435 (a) Article 435 (a) Article 435 (a) Article 436 (b) Article 436 (b) Article 436 (b)

(EBA) EU OVA – Bank risk management approach (EBA) CRA – General information about credit risk

108 to 115

115-116 116-117

(EBA) CCRA – Qualitative disclosure related to counterparty credit risk (EBA) MRA – Qualitative disclosure requirements related to market risk

127 to 130

EU LI1 – Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories

158-159 160-161

EU LI3 – Differences between consolidation scopes (entity by entity)

EU LIA – Explanations of differences between accounting and regulatory exposure amounts

157 to 161

Article 458

(BCBS March 2016) CCyB1 – Geographical distribution of credit exposures used in the countercyclical buffer

160 170

(BCBS March 2016) LR1 – Comparison of accounting exposures and leverage exposures

Article 451

(BCBS March 2016) LR2 – Leverage ratio

170-171

Article 438 (c) (f)

(EBA) EU OV1 – Overview of RWA

172 190 124 125 125 173 173 175 122 174 176 177 178 186 187 174 186 195 186 192 196 192 193 195 195 196 197 198 199 199 197 183 185

Article 438 last paragraph Art. 438 (c), (d), (e) and (f)

(EBA) EU CR10 – IRB – Specialized lending and equities under the simple risk-weighted approach

NX01 – EAD, RWA and EFP by approach and by Basel exposure class

Art. 442 (c)

NX03 – Exposures and EAD and by Basel exposure class

Art. 442 (d), (e) and (f) Art. 444 (a), (b) and (c)

NX05 – EAD by geography and by exposure class

NX11BIS – EAD by exposure class and by agency – Standardized approach

Art. 453 (d)

NX17 – Secured exposure by rating and by type of guarantor

Article 442 (a) and (b)

CRBA – Additional disclosure related to the credit quality of assets

263 to 282

Article 442 (c), (g) and (h)

(EBA) EU CR1 – Credit quality of assets

Article 453 (a) (e)

(EBA) EU CRC – Qualitative disclosure requirements related to credit risk mitigation techniques

Article 453 (f) and (g)

(EBA) EU CR3 – Credit risk mitigation techniques – Overview (EBA) EU CRB-B – Total and average net amount of exposures

Article 442 (c) Article 442 (d) Article 442 (e)

(EBA) EU CRB-C – Geographical breakdown of exposures

(EBA) EU CRB-D – Concentration of exposures by industry or counterparty type

Article 442 (f)

(EBA) EU CRB-E – Maturity of exposures

179

Article 444 (a) (d)

(EBA) EU CRD – Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk

Article 453 (f) and (g)

(EBA) EU CR4 – Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects

Article 444 (e)

(EBA) EU CR5 – EAD by asset class and risk weight

185

Article 452 (a) (c)

(EBA) EU CRE – Qualitative disclosures related to IRB models

Article 452 (e) (h) and (j)

(EBA) EU CR6 – IRB – Credit risk exposures by portfolio and PD range

Article 453 (g)

(EBA) EU CR7 – Internal rating – Effect on RWA of credit derivatives used as CRM techniques (EBA) EU CR8 – RWA flow statements of credit risk exposures under IRB (EBA) EU CCR7 – RWA flow statements of CCR exposures under the IMM NX16 – Average weighted PD and average weighted LGD by geography (EBA) EU CCR1 – Analysis of counterparty credit risk (CCR) exposure by approach

Article 92 (3) and 438 (d)

Art. 452 (j)

Article 439 (e), (f) and (i)

Article 439 (e) and (f)

(EBA) EU CCR2 – Credit valuation adjustment (CVA) capital charge

Article 444 (e) Article 452 (e)

(EBA) EU CCR3 – Standardized approach of CCR exposures by regulatory portfolio and risk weight

(EBA) EU CCR4 – CCR exposures by portfolio and PD scale

Article 439 (g) and (h) Article 439 (e) and (f)

(EBA) EU CCR6 – Credit derivative exposures

(EBA) EU CCR8 – Exposures to CCPs

(BCBS) SECA – Qualitative disclosure requirements related to securitization exposures

Article 449

(BCBS) SEC1 – Securitization exposures in the banking book (BCBS) SEC2 – Securitization exposures in the trading book

(BCBS) SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor

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

Art. 449 (k)

NX33BIS – Banking book EAD by agency

206

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019