NATIXIS -2020 Universal Registration Document

3 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

PD scale TOTAL 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

58,180

23,750

67% 74,079

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

1,526

18% 27% 28% 26% 27% 31% 30% 45% 23%

784 996 967

4,822 2,046 4,202 4,980

7%

5 4

3,324 7,382 6,938

6,452 7,303 8,211

71%

7,881

304 372 510 981

26% 35% 43% 64%

62% 11,940 57% 11,630 51% 16,601

10 18 62 94 27

1,053 1,091 1,064

10,741

11,511

10,584

4,964

4,590

51% 67% 28%

7,305

1,354

7,424

102% 150%

10 to <100

347

382 436

603

15.4%

479 370

895

906

100.00 (default)

3,880

4,000

100.0%

1,005

3,948

99% 29%

1,740

TOTAL AT 31/12/2020*

95,756

62,634

61% 134,039

3.6%

5,896

896

38,912

1,960

2,128

*

Total excluding other assets and specialized lending slotting criteria.

IRB – Specialized lending and equities under the simple risk weight method (excluding impact of thresholds) (CR10)

On-balance sheet exposure

Off-balance sheet exposure

Regulatory categories (in millions of euros)

Residual maturity Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years

Total risk weight

EAD

RWA

EL

Category 1

50

70

Category 2

Category 4

90

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019 Simple risk-weighted approach on specialized lending only applied by the SFS entities sold in BPCE in early 2019. *

CR10 Table – Equities

Equities under the simple risk-weighted approach (in millions of euros)

Regulatory capital requirement

On-balance sheet exposure

Off-balance sheet exposure

Total risk weight

EAD

RWA

Private Equity exposures

560

181

190 290 370

741

1,407 4,174

113 334 879

Exchange-traded equity exposures

1,439 2,968 4,967 4,967

1,439 2,968 5,148 5,125

Other equity exposures TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

10,981 16,563 16,402

181 158

1,325 1,312

206

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020