NATIXIS -2020 Universal Registration Document

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

Securitization exposures in the trading portfolio (SEC2)

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)

RMBS

94

94

Consumer ABS Consumer loans

139

139

3

3

Re-securitization RETAIL (TOTAL) – OF WHICH

236

236

Corporate loans

86 18 25

86 18 25

ABS CDO

CMBS Other Re-securitization

1

1

WHOLESALE (TOTAL)

130

130

EAD and RWA according to natixis’ role in the banking book (NX31-A)

Regulatory capital requirement

(in millions of euros)

EAD

RWA

Investor

2,337 1,103 1,234 2,687 2,687 8,766

740 514 226

59 41 18

Balance sheet

Off-balance sheet

Originator

1,262 1,262 1,382 1,382 3,384 2,684 -

101 101 111 111 271 215 -

Balance sheet

Sponsor

Balance sheet

-

Off-balance sheet

8,766

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

13,790 10,832

EAD according to Natixis’ role in the securitization trading book (NX31-B)

31/12/2019

Regulatory capital requirement

EAD

RWA

Rôle (in millions of euros)

Investor

366

140

11

Originator Sponsor TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

366 515

140 203

11 16

Re-securitization exposures before and after substitution (NX34)

Guarantor rating (in millions of euros)

Exposure

Protection

EAD

Sub-total Unsecured

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

214

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020