NATIXIS -2020 Universal Registration Document

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

NI – CCR exposures by portfolio and PD scale (CCR4)

Average PD (in %)

Number of obligors

Average LGD (in %)

PD scale (in millions of euros)

Average maturity (in days)

RWA density (in %)

EAD

RWA

F-IRB Institutions 0.00 to < 0.15

64

0.1% 0.2% 0.3%

27

45% 45% 45%

86

9 2

15% 32% 78%

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 10.00 to <100.00 100.00 (default) Sub-total

7

1 3

2

1,268

6

2.7%

2

45%

2

8

130%

77

0.3%

33

45%

74

20

26%

Corporates 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

3

762

0.1% 0.2% 0.3% 0.6% 1.0%

40

45% 45% 45% 45% 45%

1,123

167

22% 25% 59% 55% 70%

26 17

7 2 1 1

132

6

3,358

10

5 5

65

46

2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total

870

0.1%

51

45%

1,054

230

26%

Total F-IRB 0.00 to < 0.15

827

0.1% 0.2% 0.3% 0.6% 1.0% 2.7%

69

45% 45% 45% 45% 45% 45%

1,045

177

21% 27% 59% 55% 70%

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 10.00 to <100.00 100.00 (default) Sub-total F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total 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 10.00 to <100.00 100.00 (default) Institutions 0.00 to < 0.15

33 17

8 5 1 1 2

104

9

3,342

10

5 5 2

65

46

6

8

130%

949

0.2%

86

45%

976

249

26%

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

8,437

61

17% 37% 47%

620

25 60 16

0%

299

0.2% 0.4%

3 3

14

20% 90%

17

835

36

3.2%

2

47%

1,368

58

162%

8,790

69

18%

603

158

2%

12,201

326

19% 28% 27% 33% 52% 58%

440 548 978 427 413 787

785 226 247

6%

952 663 134 102

0.2% 0.3% 0.5% 1.2% 2.9%

78 75 46 32 45

24% 37% 53%

71

117

115% 174%

28

49

1

100.0%

2

98% 20%

300

Sub-total

14,081

0.1%

604

473

1,495

11%

Corporates 0.00 to < 0.15

9,317 1,197

686 167 202 359 674 645 515

36% 29% 26% 27% 32% 38% 34% 46% 34%

327

697 309 307 618 799 108 150

8%

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 10.00 to <100.00

0.2% 0.3% 0.6% 1.4% 4.0%

1,518 1,727 1,922 1,272

26% 31% 45% 70%

983

1,386 2,701

1,877

717

717

111% 166% 158%

65 95

14.5%

1,110 1,947

100.00 (default)

100.0%

43

Sub-total

16,461

1.1%

3,291

816

4,863

30%

209

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020