NATIXIS -2020 Universal Registration Document

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

IRB – credit risk exposures by portfolio and PD range (CR6)

Original on- balance sheet gross exposure

Off -balance sheet exposures pre-CCF

Average PD (in %)

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

CCF (in %)

PD scale (in millions of euros)

Number of obligors

Expected

EAD

RWA

loss Provisions

F-IRB Central governments and central banks 0.00 to < 0.15

3

3

0.0%

1

45%

1

0.15 to <0.25 0.25 to <0.50

550

550

0.4%

3

45%

1,366

357

65%

1

0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default) Sub-total Central governments or central banks

3

553

553

0.0%

4

45%

1,358

357

64%

1

Institutions 0.00 to < 0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 Corporate 0.00 to < 0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

10

50% 50% 75% 74% 50% 50%

5 1

0.1% 0.2% 0.3% 0.5% 1.3% 2.7%

10

45% 45% 11% 13% 45% 45%

181 410 377

1 1

29% 57% 15% 22%

2

4 5 5 4 3

155

116

17 15

91

67

1,569

313 689

135% 163%

3

2

2

10 to <100 100.00 (default) Sub-total Institutions

2

259

73%

192

0.4%

31

13%

792

38

20%

1

0.0% 0.2%

1

45%

674

52%

0.6% 2.2% 4.5%

1

45% 44% 44% 44% 45% 44%

342 815 371 401

65%

145 248

27 69 14 10

23% 21% 20% 20% 21%

151 262

62

177 337

117% 129% 187%

1 5 2

281 126

10 to <100

38 84

41 86

12.6%

76

100.00 (default)

100.0%

64

1,485

39

Subtotal Corporates Corporates – SME 0.00 to < 0.15

515

120

540

19.7%

535

675

589

109%

48

78

0.0% 0.2%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

1

45%

674

52%

0.6% 2.2% 4.8%

1

45% 42% 44% 44% 45% 44%

342 579 308 404 757 408

65% 93%

28

14 51 11

25% 20% 20% 20% 21%

32

42

29

135

208

156

116% 172%

3 1

124

10 to <100

21 23

23 23

12.9%

92 51

40

100.00 (default)

2

100.0%

10

Sub-total Corporates – SME

197

77

213

15.8%

395

225

106%

15

11

Corporates – Other 0.00 to < 0.15

0.0%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

117 123

14 18

21% 24% 20% 20% 22%

119 128

2.2% 4.2%

20 73 34 13

44% 44% 44% 45% 44%

878 436 396

147 181

123% 142% 208%

1 2 1

10 to <100

17 61

3 9

17 63

12.1%

36

100.00 (default)

100.0%

1,757

28

Sub-total Corporates – Other

318

43

327

22.3%

140

849

364

111% 314% 314%

33

67

Equity

5,576

181

100% 100%

5,757

455

160

18,085

89

Sub-total Equity

5,576

181

5,757

455

160

18,085

89

F-IRB (excl. equity) 0.00 to < 0.15

3

10

50% 50% 75% 74% 24% 21% 20% 20% 57%

8 1

0.0% 0.2% 0.4% 0.5% 2.2% 4.5%

11

45% 45% 39% 13% 44% 44% 44% 45% 40%

110 434

1 1

17% 57% 56% 22%

5 8 6

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

2

550

155

666

1,194 1,567

374

1

67

15

91 28 69 14 10

145 250

151 264

66

815 373 401

177 340

117% 129% 187%

1 5 2

284 126

10 to <100

38 84

41 86

12.6%

76

100.00 (default)

100.0%

64

1,485

39

TOTAL IRB-F (EXCL. EQUITY)

1,070

379

1,285

8.5%

570

987

984

77%

49

79

203

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020