NATIXIS -2020 Universal Registration Document

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

Credit risk exposures: standardized approach SA – Credit risk exposure and crm effects (EU CR4)

Exposures before CCF and CRM

Exposures post-CCF and CRM

RWA and RWA density

On-balance sheet amount

Off-balance sheet amount

On-balance sheet EAD

Off-balance sheet EAD

RWA density

(in millions of euros)

RWA

7,366

89

7,366

44

1,065

14% 17% 11%

Central governments and central banks Regional governments or local authorities

211 546

206 546

35 75

Public sector entities

224

112

Multilateral Development Banks International Organizations

977

977

Institutions*

44,966

9,262 1,019

44,965

4,702

344

1%

Business

1,716

1,539

351

1,186

63% 65% 40%

Retail

907 276 151

107

492 276

22

333 112

Secured by mortgages on immovable property

5

3 8

Defaulted exposures

17

36

53

120%

Items associated with particularly high risk Covered Bonds Exposures to institutions and corporates with a short-term credit assessment Collective investments undertakings Equity Other assets

90

5

86

1

51

58%

6,330

6,330

5,470 8,725

86% 13%

TOTAL AT 31/12/2020

63,538

10,729

62,820

5,242 100% 5,651 100%

* o/w affiliates

96%

100%

96%

TOTAL AT 31/12/2019

63,336

11,345

62,540

11,183

16%

* o/w affiliates

96%

100%

96%

SA – exposures (EAD) by asset classes and risk weights (CR5)

Un- rated*

Total

Risk Weight

Exposure classes (in millions of euros) Central governments and central banks Regional governments or local authorities

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other Deducted

6,980

8

423

7,410 6,343

30

176 255

206 658

176

28

Public sector entities

357

43

3

Multilateral Development Banks International Organizations

977

977

977

349

253 886

49,667 49,318

Institutions

47,986 1,079

Business

352

11

396

81

154

8

1,890 1,776

Retail

514

514

514

Secured by mortgages on immovable property

181

98

279

279

Defaulted exposures

27

17

44

35

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

39

21

16

11

87

Collective investments undertakings Equity Other assets TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

23

4

4,709

1,593

6,330 6,321

56,706 1,083 53,688 1,293

830 577 244 706 453 1,568

154 267

514 5,902 774 7,256

36

423 410

1,593 1,675

68,062 65,767 68,192 65,103

104

Of which €48,293 million in exposure to Groupe BPCE affiliates and excluding exposures to the French Government at 31/12/2020. *

200

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020