NATIXIS - 2018 Registration document and annual financial report

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

Total

Average maturity (in days)

PD scale (in millions of euros) 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)

RWA density (in %)

Average PD (in %)

Number of obligors

Average LGD (in %)

RWA 1,553

EAD

26,404

1,258

24% 29% 30% 30% 33% 36% 35% 44%

361 983

6%

2,082 1,229 1,267 1,486

0.2% 0.3% 0.5% 1.1% 3.7%

292 364 398 689 693 408

558 445 617

27% 36% 49% 68%

1,024 1,217 1,085 1,082 1,665 2,358

1,007

635

700

110% 169% 149%

37 20

12.6% 100.0%

62 29

34

TOTAL AT 31/12/2018

33,159

0.3% 4,136

25%

507

4,972

15%

CREDIT DERIVATIVES EXPOSURES (CCR6) R

31/12/2018

Protection bought

Protection sold

(in millions of euros)

Notional Single-name credit default swaps

6,026

4,837

Credit-linked notes Total return swaps

1,477

Collateralized debt obligations Index credit default swaps

1,768 3,649

1,145 2,900

Other credit derivatives

Total notional

11,443

10,360

Fair values Positive fair value (asset) Negative fair value (liability)

65

50

(121)

(107)

RWA FLOW STATEMENTS OF CCR EXPOSURES UNDER INTERNAL MODEL METHOD (EU CCR7) R

RWA amounts Capital requirements

(in millions of euros)

RWAs as at the end of the previous reporting period (31/12/2017)

0

0

Asset size Credit quality of counterparties Model updates (IMM only)

2,177

174

Methodology and policy (IMM only) Acquisitions and disposals Foreign exchange movements Other RWAs as at the end of the current reporting period (31/12/2018)

2,177

174

204

Natixis Registration Document 2018