NATIXIS -2020 Universal Registration Document

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

EAD by rating source – Standardized approach (NX11 Bis)

Exposure class (in millions of euros)

Fitch

Moody’s

STP

BDF

Total

Business

85

26

111 366

Institutions

16

117 213

234

Governments and central banks Governments and central banks

521

1,368

78

2,180

3

30

611

644

International Organizations Multilateral Development Banks Regional governments or local authorities

113 405

4

64

181

Public sector entities

179

693

78

1,355

Retail

1 1

1 1

SMEs included in Retail category

Other exposures included in Retail category Exposures secured by mortgages on immovable property SMEs treated in the category of exposures guaranteed by a mortgage on property Other exposures secured by mortgages on immovable property Defaulted exposures

9

9

Exposures to institutions and corporates with a short-term credit assessment

11

45

109

1

166

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

548 310

375 436

1,796

115 443

2,834 2,142

954

Guaranteed exposures by type and internal rating of guarantor (NX17)

Type of guarantor

Central governments and central banks

Internal Rating Of Guarantor (S&P Equivalent) (in%)

Institutions

Business

Retail

AAA

1.8%

30.5% 66.1%

24.0% 60.5%

82.5%

AA+, AA, AA-

5.7% 9.8% 0.2%

A+, A, A-

BBB+, BBB, BBB-

3.2% 0.2%

9.1% 3.3% 0.7%

BB+, BB, BB-

B+, B, B-

C Not rated*

2.5%

TOTAL AT 31/12/2020

100.0%

100.0%

100.0%

* Unrated: excludind exposures guaranted by BPCE Group affiliates.

186

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020