NATIXIS -2020 Universal Registration Document

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

Breakdown and changes in risk-weighted assets 3.3.3 Credit and counterparty risks 3.3.3.1 RWA overview (EU OV1)

Regulatory capital requirement

RWA

31/12/2020

(in millions of euros)

31/12/2020

31/12/2019

Credit risk (excluding CCR)

64,200

62,392

5,136

o/w the standardized approach

8,725

11,183

698

Of which the foundation IRB (F-IRB) approach Of which the advanced IRB (A-IRB) approach

984

914

79

37,929 16,563

33,892 16,402

3,034 1,325

o/w equity IRB under the simple risk-weighted approach or the IMA

Counterparty risk

9,763

7,704

781

3

o/w mark to market

1,592

1,496

127

o/w original exposure o/w the standardized approach o/w internal model method (IMM)

4,191

3,037

335

o/w risk exposure amount for contributions to the default fund of a CCP

152

234

12

o/w CVA

2,284

1,336

183

Settlement risk

6

32

Securitization exposures in the banking book (after the cap)*

3,384

2,684

271

o/w IMA

823 643

* * * *

66 51

o/w SEC-ERBA external rating approach

o/w standardized approach (SEC-SA)

1,589

127

o/w default approach

329

26

Market risk

13,122

11,204

1,050

o/w the standardized approach

5,975 7,147

5,378 5,826

478 572

o/w IMA

Large exposures Operational risks

12,988

13,733

1,039

o/w basic indicator approach o/w standardized approach

12,988

13,733

1,039

o/w advanced measurement approach Amounts below the thresholds for deduction (subject to 250% risk weight)

1,522

1,240

122

Floor adjustment TOTAL

104,985

98,990

8,399

Following the implementation of the new securitization framework, only subtotal securitization for 2019 is presented in this report. *

185

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020