NATIXIS -2020 Universal Registration Document

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

(in millions of euros)

Pre-credit derivatives RWA

RWA

Retail – Secured by real estate non-SME Retail – qualifying revolving Retail – SME Other retail exposures Equity IRB

18,085

18,085

Other assets TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

61,875 60,419

56,997 52,448

B – Credit risk exposures Credit quality of assets by asset class (CR1-A)

a

b

c

d

(in millions of euros)

Defaulted exposures

Non-defaulted exposures

Allowances/impairments

Net values (a + b - c)

IRB Approach Governments and central banks

49 23

41,351

52 29

41,349

Institutions

7,596

7,589

Business

4,244

105,128

2,047

107,325

o/w SME

78

1,271

52

1,298

o/w Specialized Lending

649

17,881

221

18,309

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

4

5,753

5,757

4,320 3,020

159,828 159,179

2,128 1,996

162,019 160,203

Standardized approach Governments and central banks

7,455

7,455

Regional governments or local authorities

212 770

5

207 770

Public sector entities

Multilateral Development Banks International Organizations

977

977

Institutions

54,227

54,227

Business

2,736

4

2,732

o/w SME

460

1

459

Retail

1,015

10

1,005

o/w SME

117

1

116

Secured by mortgages on immovable property

282 140

282 140

o/w SME

Defaulted exposures

168

111

57

Items associated with particularly high risk Covered Bonds Exposures to institutions and corporates with a short-term credit assessment

95

95

Collective investments undertakings Equity Other assets

6,330

6,330

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

168 263

74,098 74,419

130 185

74,137 74,497

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

4,488 3,283

233,926 233,597

2,258 2,181

236,156 234,700

188

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020