NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

EAD by geographic area (NX06)

(Data certified by the Statutory Auditors in accordance with IFRS 7) At 31/12/2020(*)

At 31/12/2019

3 % Middle East

2 % Middle East

1 % Africa 1 % Oceania

1 % Oceania 2 % Africa

3 % Europe (outside EU)

3 % Europe (outside EU)

2 % Latin America

3 % Latin America

8 % Asia

8 % Asia

47 % France

46 % France

3

17 % North America

18 % North America

17 % European Union

18 % European Union

(*): As of 31/12/2020 the United Kingdom is still considered itnhe EU

EAD by internal rating (S&P equivalent) (NX12)

(Data certified by the Statutory Auditors in accordance with IFRS 7) The following table shows the breakdown of exposures at risk by internal rating (S&P equivalent) for asset classes measured using the IRB approach, excluding: exposures to equities (calculated using a simple weighting); V pool-based exposures (acquired portfolios) and third partiegsrouped into homogeneous risk classes; V securitization positions. V

(% breakdown)

Grade

Internal rating

31/12/2020

31/12/2019

Investment Grade

AAA AA+

0.1% 6.9% 9.2%

0.5% 7.2% 7.0%

AA

AA-

16.2%

13.6%

A+

5.6%

6.4%

A

11.9% 10.1%

12.5%

A-

9.4% 6.9% 8.6% 8.9% 5.1% 4.6% 3.4% 2.4% 0.9% 0.2% 0.1%

BBB+

6.3% 7.4% 7.7% 4.6% 4.6% 2.9% 2.0% 1.0% 0.5%

BBB

BBB-

Investment Grade

81.3%

81.0%

Non-Investment Grade

BB+

BB

BB-

B+

B

B-

CCC+ CCC CCC- CC C

Non-Investment Grade

15.7%

16.7%

Non-rated

Non-rated

0.6% 2.3%

0.5% 1.8%

Default TOTAL

D

100.0%

100.0%

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020