NATIXIS -2020 Universal Registration Document

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

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

Retail 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 to <100

0.0%

100.00 (default) Sub-total Retail Retail – qualifying revolving 0.00 to < 0.15

0.0%

3

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 to <100 100.00 (default) Sub-total Retail – qualifying revolving 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 to <100 100.00 (default) Sub-total Retail – SME Retail – Residential mortgage exposures 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 to <100 100.00 (default) Sub-total Retail – Residential mortgage exposures Other retail exposures 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 to < 100 100.00 (default) Sub-total – Other retail exposures Equity Sub-total Equity A-IRB 0.00 to < 0.15 Retail – SME 0.00 to < 0.15

0.0%

0.0%

58,177

23,740

67% 74,071

0.0% 0.2% 0.3% 0.6% 1.4% 4.2%

1,515

18% 27% 27% 26% 27% 30% 29% 45% 23%

784 996 954

4,821 2,046 3,828 4,965

7%

5 4 9

6,450 7,148 8,120

71%

7,880

299 364 504 915

26% 34% 43% 63%

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

3,324 6,832 6,938

62% 11,274 57% 11,562 51% 16,449

1,051 1,093 1,090

18 61 89 25

10,596

11,483

10,407

4,522

51% 69% 28%

7,041

1,070

7,084

101% 148% 101%

4,714

10 to <100

309

368 426

563

15.6%

353 306

931 994 895

831

100.00 (default)

3,796

3,914

100.0%

3,948

1,701

TOTAL A-IRB

94,686

62,256

61% 132,754

3.5%

5,326

37,929

29%

1,912

2,050

205

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020