NATIXIS -2020 Universal Registration Document

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

Credit derivatives exposures (CCR6)

31/12/2020

Protection bought

Protection sold

(in millions of euros)

Notional CDS

8,203

11,460

Credit-linked notes TRS

2,974

CDO Index credit default swaps Other credit derivatives CDS Single Name Hedge CVA

11,041

5,602

424

234

3

TOTAL NOTIONAL

22,643

17,297

Fair values Positive fair value (asset) Negative fair value (liability)

7

437

(586)

(3)

RWA flow statements of CCR exposures under internal model method (IMM) (EU CCR7)

(in millions of euros)

RWA amounts Capital requirements

RWAs as at the end of the previous reporting period (31/12/2019)

3,037

243

Asset size

702 244

56 20

Credit quality of counterparties Model updates (IMM only) Methodology and policy (IMM only) Acquisitions and disposals Foreign exchange movements Other

14

1

195

16

RWAs as at the end of the current reporting period (31/12/2020)

4,191

335

Exposures to CCPs (CCR8)

(in millions of euros)

EAD post CRM

RWA

Exposures to QCCPs (total)

378 193

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

9,642 1,564 4,656 3,422

(i) OTC derivatives

31 93 68

(ii) Exchange-traded derivatives

(iii) SFTs

(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

1,352

33

297

152

Prefunded default fund contributions

Exposures to non-QCCPs (total) Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved

211

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020