NATIXIS -2020 Universal Registration Document

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

Counterparty risks 3.3.3.3 A – Counterparty risk exposure Analysis of exposure using counterparty credit risk approach (CCR1)

Repla- cement cost

Potential future exposure

EAD post-CRM RWA

(in millions of euros) Mark to market

Notional

EEPE Multiplier

657

3,762

4,419 1,445

Original Exposure Standardized approach – Counterparty risk Internal Model Method (for derivatives and SFTs) Securities Financing Transactions Derivatives & Long Settlement Transaction From Contractual Cross Product Netting Financial collateral Simple method (SFTs) Financial collateral Comprehensive method (SFTs)

12,28

1.4

17,260 4,181

23,125 1,475

VaR for SFTs TOTAL AT 31/12/2020

7,101

SA – CCR EAD by regulatory portfolio and risk weight (CCR3)

Risk Weight

Total EAD Unrated*

0%

2% 4% 10% 20% 50% 70% 75% 100% 150% Other

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

7

278 552

286

135 392

Public sector entities

496

4

66

1,117

Multilateral Development Banks International Organizations

74

74

74

Institutions *

2,780

10,694

50

13,523

13,506

Corporates

98

268

4

47

417

412

Retail Secured by mortgages on immovable property Defaulted exposures Items associated with particularly high risk Covered Bonds Exposures to institutions and corporates with a short-term credit assessment Collective Investment undertakings (CIU) Equity Other assets TOTAL AT 31/12/2020

1

1

1

6

55

18

79

3,456 10,962 3,930 13,960

887 467

63

130

1 6

15,498 14,520 18,806 17,945

TOTAL AT 31/12/2019

378

65

Of which €2,776 million in exposure to Groupe BPCE affiliates at December 31, 2020. *

208

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020