NATIXIS - 2018 Registration document and annual financial report

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

Average maturity (in days)

PD scale (in millions of euros)

RWA density (in %)

Average PD (in %)

Number of obligors

Average LGD (in %)

RWA 1,386

EAD

Sub-total

10,661

0.1%

681

22%

470

13%

Corporates 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Total A-IRB 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total A-IRB Sub-total Corporates – SME 0.00 to <0.15 Sub-total Sub-total Corporates – Other 0.00 to <0.15 Sub-total

8,096 1,222

758 189 293 344 650 639 408

33% 30% 30% 28% 31% 31% 35% 44% 32% 44% 44% 44% 44% 43% 44% 44% 44% 44% 16% 11% 16% 16% 19% 18% 33% 33% 34% 34% 35% 33% 34% 35% 33% 22% 29% 30% 29% 33% 36% 35% 44% 24% 51% 17%

357

674 289 326 380 893 470

8%

0.2% 0.3% 0.5% 1.1% 3.9%

1,009 1,223 1,415 1,125 1,083 1,665 2,358

24% 36% 42% 64% 93%

913 910

1,396

3

506

37 20

12.6% 100.0%

62 29

169% 149%

34

13,099

0.6% 3,315

668

3,124

24%

1

2 5

3,641

22% 30% 52% 58% 84%

0.2% 0.4% 0.6% 1.2% 3.5%

371

4

23 16 81

1,137

2

18

538

11

5

1,062 1,854 2,198 3,085 1,329 3,462 2,226 3,203 3,284 2,829 3,181

4

12

117 105

16 13

132% 198%

6 1

11.8% 100.0%

9

1

45% 96%

48

5.3%

358

46

Corporates – Specialized Lending 0.00 to <0.15

68

0.1% 0.2% 0.3% 0.5% 1.2% 4.0%

18 29 71

10 19 54

15% 12% 25% 32% 51% 63%

161 215 316 331

117 152

100 170

86

18

54

11

100.0%

4

3,540 3,004

22

201%

1,188

1.8%

409

429

36%

8,027 1,061

738 155 199 211 417 504 303

331 824 612 418 593 615

664 271 270 269 719 400

8%

0.2% 0.3% 0.5% 1.1% 3.8%

26% 39% 47% 68% 98%

695 576

1,060

407

30

12.8% 100.0%

1,550

49

163%

8

21

620 432

7

91% 22%

11,863

0.4% 2,548

2,648

24,650

1,193

377 985

1,313

5%

2,079 1,203 1,238 1,486

0.2% 0.3% 0.5% 1.1% 3.7%

288 362 397 689 691 408

557 435 603

27% 36% 49% 68%

1,046 1,245 1,085 1,087 1,665 2,358

1,007

631

696

110% 169% 149%

37 20

12.6% 100.0%

62 29

34

31,344

0.3% 4,062

528

4,702

15%

203

Natixis Registration Document 2018