NATIXIS -2020 Universal Registration Document

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

Banking book EAD by agency (NX33 BIS)

EAD (in millions of euros)

Standardized approach

IRB Approach

Total

Rating agencies

Moody’s

91 63 21

5,192

5,282

DBRS

355 212 117

417 233 955

Fitch IBCA

Standard & Poor’s

838

Unrated*

2,452

4,450

6,903

Transparency Regulatory method TOTAL

3,464

10,326

13,790

3

Includes securitization positions that do no require external valuation to calculate RWA. *

C – Natixis’ securitization exposures Securitization exposures in the banking book (SEC1)

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Sub- total

Sub- total

Sub- total

Tradi- tional

Syn- thetic

Tradi- tional

Syn- thetic

Tradi- tional

Syn thetic

(in millions of euros)

SPV with risk transfer RMBS

597 379 142

597 379 142

Consumer ABS Consumer loans Re-securitization

Total Retail

1,118

1,118

Corporate loans

18 2,372 2,390

5,061

5,061

630 201

630 201

ABS

ABCP

3,456

3,456

CDO

250

250

355

355

CMBS

297

297

32

32

Other Re-securitization Wholesale (total)

315 2,372 2,687 315 2,372 2,687

8,766 8,766

8,766 8,766

1,218 2,337

1,218 2,337

TOTAL UNCONSOLIDATED SPV Consolidated SPV Consumer loans (Retail) Corporate loans (Wholesale) TOTAL CONSOLIDATED SPV

213

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020