NATIXIS -2020 Universal Registration Document

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

D – Credit risk: internal ratings-based approach PD and LGD by geographic area (NX16)

EAD (in millions of euros)

Geographic area (in %)

PD MP

LGD MP

Africa

3,713 8,503

6.8% 0.9% 2.0% 2.9% 2.4% 4.5% 1.8% 2.7% 2.2%

34.4% 28.5% 28.5% 34.9% 21.9% 20.1% 18.7% 22.3% 21.7%

Europe (outside EU)

Other

10,728 13,631 42,247 42,595 62,124

Asia

European Union*

North & South America

France

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

183,541 171,405

As of 31/12/2020 the United Kingdom is still considered in the EU. *

RWA flow statements of credit risk exposure under the IRB approach (CR8)

Regulatory capital requirement

(in millions of euros)

RWA

RWA AT 31/12/2019

52,448

4,196

Asset size

4,534 2,369

363 190

Asset quality

Model updates Methodology and policy Acquisitions and disposals Foreign exchange movements

(531) (632)

(42) (51) (95)

Guarantees

Other

(1,192) 56,997

RWA AT 31/12/2020

4,560

202

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020