NATIXIS -2020 Universal Registration Document

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

D – Regulatory capital requirements Securitization exposures in the banking book and associated capital requirements – Bank acting as originator or as sponsor (SEC3)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Regulatory capital requirement

IRB RBA (inclu- ding

IRB RBA (inclu- ding

IRB RBA (inclu- ding

> 100% à 1,250% = 1,250%

> 20% à 50%

> 50% à 100%

(in millions of euros)

IAA) IRB SFA

SA 1,250%

IAA) IRB SFA

SA 1,250%

IAA) IRB SFA

SA 1,250%

<= 20%

Traditional securitization

8,323

550

153

29

26

153

445 8,459 445 8,459

25

34

285 1,228 285 1,228

308

3

23

98

25

o/w securitization

8,323

550

153

29

26

153

25

34

308

3

23

98

25

o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior Synthetic securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES o/w securitization

550

153

29

26

153

445 8,459

25

34

285 1,228

308

3

23

98

25

8,323

3

1,526

846

2,372

789

63

1,526

846

2,372

789

63

1,526

846

2,372

789

63

9,849

550

999

29

26 2,525

445 8,459

25

823

285 1,228

308

66

23

98

25

Securitization exposures in the banking book and associated capital requirements – Bank acting as investor (SEC4)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Regulatory capital requirement

IRB RBA (inclu- ding

IRB RBA (inclu- ding

IRB RBA (inclu ding

> 100% à 1,250% = 1,250%

> 20% à 50%

> 50% à 100%

(in millions of euros)

<= 20%

IAA) IRB SFA

SA 1,250%

IAA) IRB SFA

SA 1,250%

IAA) IRB SFA

SA 1,250%

Traditional securitization

1,772

333 333 281

100

131

1

468 1,867 468 1,867

1

358

361 361 200 162

21

29

29 29 16 13

2

100

131

1

1

358

19

29

1

o/w securitization

1,772

o/w retail underlying

755

2

80 51

289

829

83

1

7

o/w wholesale

1,016

51

98

1

179 1,038

1

275

18

22

1

o/w re-securitization

2 2

o/w senior debt

o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES

1,772

333

100

131

1

468 1,867

1

358

361

21

29

29

2

215

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020