NATIXIS -2020 Universal Registration Document

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

Credit risks 3.3.3.2 A – Credit risk mitigation techniques Credit risk mitigation techniques (CR3)

Exposures secured by financial

Exposures secured by credit

Exposures secured by collateral, of which: secured amount

Exposures unsecured –

Exposures secured by financial guarantees

Exposures secured by credit derivatives

Exposures secured by collateral

guarantees, of which: secured amount

derivatives, of which: secured amount

Carrying amount

(in millions of euros)

IRB Approach Governments and central banks

36,267

5,082

5,014

Institutions

6,943

8

8

638

618

Business

65,439

29,018

26,481

11,681

7,524

1,187

1,187

o/w SME

963 786

216

136

118 274

o/w Specialized Lending

17,248

16,727

44

3

Retail Secured by real estate property

o/w SME Non-SME o/w Qualifying revolving Other Retail o/w SME o/w Non-SME Equity Other assets Sub-total IRB 31/12/2020 Sub-total IRB 31/12/2019

5,757

114,406 110,989

29,025 30,671

26,488 27,548

17,402 17,280

13,155 12,494

1,187 1,263

1,187 1,263

Standardized approach Governments and central banks

7,274

180

180

Regional governments or local authorities

206 746

1

1

Public sector entities

24

23

Multilateral Development Banks International Organizations

977

Institutions

50,190

4,037

4,037

Business

1,785

836 129 748

795 102 469

111

78

o/w SME

297 249

32

Retail

8

o/w SME

79

29

16

8

Secured by mortgages on immovable property

282 140

282 140

o/w SME

Defaulted exposures

45 89

10

5 4

2 1

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

4

1

Collective investments undertakings Equity Other assets

6,330

Sub-total SA 31/12/2020 Sub-total SA 31/12/2019 TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

67,892 67,726 182,298 178,715

1,880 1,846

1,554 1,548

4,364 4,924

4,320 4,897

30,905 32,517

28,042 29,096

21,766 22,205

17,475 17,391

1,187 1,263

1,187 1,263

IRB – internal rating – effect on RWA of credit derivatives used as CRM techniques (CR7)

(in millions of euros)

Pre-credit derivatives RWA

RWA

Exposures under Foundation IRB

984

984

Central governments and central banks

357

357

Institutions

38

38

Corporates – SME

225

225

Corporates – Specialized Lending Corporates – Other

364

364

Exposures under Advanced IRB

42,807

37,929

Central governments and central banks

206

206

Institutions

1,070

1,070

Corporates – SME

872

872

4,181

4,181

Corporates – Specialized Lending

Corporates – Other

36,478

31,600

Retail – Secured by real estate SME

187

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020