NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

The system is a true risk management tool, with scenarios that are regularly introduced and revised. The risk division regularly works on improving the methods used and adding to the scopes defined for the stress scenarios, with particular attention paid to the market stress requirements. New scenarios were reviewed in 2020 and presented to the Global Risk Committee as well as to the Senior Management Committee. These internal credit stress test scenarios are based on macroeconomic assumptions prepared in collaboration with economic research, country risk analysts and Groupe BPCE, and comprise three scenarios covering the period between 2021 and 2023:

a baseline scenario based on the most probable macroeconomic V and financial context. This referencescenario is supplementedthis year by an “enhanced” version due to the uncertainty of the evolution of the economic context. The baseline scenario corresponds to the bank’s policy regarding provisions; two “Adverse” credit scenarios correspondingto (i) the assumption V of a European sovereign debt crisis and (ii) the assumption of a crisis caused by a second lockdown linked to the COVID-19 pandemic.

Quantitative information 3.2.3.10 EAD, RWA and capital requirements by Basel approach and exposure class (NX01) (Data certified by the Statutory Auditors in accordancewith IFRS 7)

3

31/12/2020

31/12/2019

Capital requirement

Capital requirement

EAD

RWA

(in millions of euros)

EAD

RWA

Credit risk Internal approach

142,975

58,714

4,697

136,517

53,854

4,308

Equity

5,757

18,085

1,447

5,621

17,642

1,411

40,949

563

45

29,616

511

41

Governments and central banks

Other assets Retail Business

86,975

37,242

2,979

89,071

33,108

2,649

Institutions

6,115 3,179

1,108 1,717

89

7,816 4,394

1,187 1,406

95

Securitization

137

112

Standardized approach

78,149

10,279

822

74,182

12,420

994

Governments and central banks

9,252 6,330

1,175 5,470

94

7,551 6,150

1,122 5,352

90

Other assets

438

428

Retail

514

333

27 95 28

774

536

43

Business

1,890

1,186

5,075

3,621

290

Institutions

49,667

344

48,223

314 101

25

Defaulted exposures

44

53

4

97

8

Exposures secured by mortgages on immovable property Exposures to institutions and corporates with a short-term credit assessment

279

112

9

221

91

7

87

51

4

100

46

4

Securitization

10,087

1,554

124

5,990

1,237

99

Sub-total credit risk Counterparty risk Internal approach

221,125

68,993

5,519

210,699

66,274

5,302

40,565

6,845

548

34,888

5,531

442

Governments and central banks

8,791

158

13

3,807

120

10

Business

17,331 14,158

5,093 1,515

407 121

18,026 12,673

4,015

321 109

Institutions

1365

Securitization

285

78

6

382

32

3

Standardized approach

15,737

595

48

18,872

645

52

Governments and central banks

1,478

234

19

1,282

254

20

Retail Business

417

54

4

525

33

3

Institutions

13,523

224

18

16,870

274

22

Defaulted exposures

1

2

7

10

1

Exposures to institutions and corporates with a short-term credit assessment

79

46 35

4 3

122

64 10

5 1

Securitization

239

66

CCP default fund exposure Sub-total counterparty risk

297

152

12

347

234

19

56,599

7,592

607

54,106

6,410

513

Market risk Internal approach

7,147 5,975

572 478

5,826 5,378

466 430

Standardized approach

Equity risk

421

34

462

37

Foreign exchange risk

2,971 1,179 1,404

238

2,685

215

Commodities risk

94

708

57

Interest rate risk

112

1,523

122

Sub-total market risk

13,122

1,050

11,204

896 107

CVA

7,877

2,284

183

7,671

1,336

Settlement-delivery risk

6

32

3

137

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020