NATIXIS -2020 Universal Registration Document

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

Average PD (in %)

Number of obligors

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

PD scale (in millions of euros) Corporates – SME 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 10.00 to <100.00 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) Corporates – Other 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 10.00 to <100.00 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 A-IRB 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 10.00 to <100.00 Sub-total 100.00 (default) Sub-total Total A-IRB 0.00 to < 0.15 100.00 (default) Sub-total

EAD

RWA

4 2 3

44% 44% 44% 44% 43% 24% 44% 38% 36% 16% 11% 13% 14% 16% 14% 36% 34% 36% 43% 40% 40% 33% 36% 37% 24% 30% 27% 28% 33% 39% 34% 47% 25% 24% 30% 27% 28% 33% 39% 34% 47% 26% 66% 15%

1,383

1 3 5 7

0.2% 0.4% 0.6% 1.4% 3.9%

409 643 920 439

27% 50% 67% 80% 70%

1 4 6

27 68 85 89 11

14

1,192

10 13

7 4

12.0%

1,,606

207% 203% 103%

100.0%

381

7

40

12.6%

289

964

41

Corporates – Specialized Lending 0.00 to < 0.15

225 255 414 754 852

0.1% 0.2% 0.3% 0.5% 1.3% 3.1%

22 34 53

3,460 3,108 2,933 3,001 2,781 2,835

36 32 85

16% 13% 21% 28% 42% 49%

152 198

211 361

56

23

27

32

100.0%

5

3,180

47

150%

2,588

1.9%

487

2,967

799

31%

9,091

660 131 146 180 408 537 426

249

661 276 220 403

7%

941 567 626

0.2% 0.3% 0.6% 1.4% 4.0%

1,088

29% 39% 64% 82%

852 631 578 522

1,842

1,511

647

761

118% 161% 160%

59 60

14.8%

1,055 1,387

94 95

100.0%

27

13,833

0.9%

2,515

413

4,023

29%

29,955

1,073

455 957

1,506

5%

2,448 1,664 1,520 2,803

0.2% 0.3% 0.6% 1.3% 3.9%

248 280 405 706 692 515

595 569 690 906 108 150 603 580 690 914 108 150

24% 34% 45% 71%

1,419 1,791 1,241

1,994

782

749

116% 166% 157%

65 95

14.5%

1,110 1,936

100.0%

45

39,332

0.5%

3,964

645

6,517

17%

30,782

1,142

471 946

1,683

6%

2,481 1,681 1,520 2,869

0.2% 0.3% 0.6% 1.3% 3.9%

256 285 406 707 694 515

24% 35% 45% 71%

1,439 1,790 1,213

2,040

788

743

116% 166% 157%

65 95

14.5%

1,110 1,936

100.00 (default)

100.0%

45

TOTAL AT 31/12/2020

40,280

0.5%

4,050

653

6,767

17%

210

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020