NATIXIS -2020 Universal Registration Document

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

Cross-reference table 3.3.7

Cross-reference table between Articles of the CRR, Basel Committee/EBA tables and statements, and the Pillar III report

CRR Article

Basel Committee/EBA tables and statements

Page

124 -128

Article 435 (a) Article 435 (a) Article 435 (a) Article 435 (a) Article 436 (b) Article 436 (b) Article 436 (b)

(EBA) EU OVA – Bank risk management approach (EBA) CRA – General information about credit risk

129

129-130 140-144

(EBA) CCRA – Qualitative disclosure related to counterparty credit risk (EBA) MRA – Qualitative disclosure requirements related to market risk

EU LI1 – Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories

172 174

EU LI3 – Differences between consolidation scopes (entity by entity)

EU LIA – Explanations of differences between accounting and regulatory exposure amounts

171-174

179 183

Article 458 Article 451 Article 451

(BCBS March 2016) CCyB1 – Geographical distribution of credit exposures used in the countercyclical buffer

(BCBS March 2016) LR1 – Comparison of accounting exposures and leverage exposures

(BCBS March 2016) LR2 – Leverage ratio

183

Article 438 (c) (f)

(EBA) EU OV1 – Overview of RWA

185 206 137 138 138 186 186 135 187 191 192 193 194 200 200 117 203 187 208 211 202 208 212 208 208 211 211 212 213 214 215 215 213 216 217 216 216 148 158 158 180 221 180 195 196 196 194

Article 438 last paragraph Art. 438 (c), (d), (e) and (f)

(EBA) EU CR10 – IRB – Specialized lending and equities under the simple risk-weighted approach

NX01 – EAD, RWA and EFP by approach and by Basel exposure class

Art. 442 (c)

NX03 – Exposures and EAD and by Basel exposure class

NX05 – EAD by geography and by exposure class

Art. 442 (d), (e) and (f) Art. 444 (a), (b) and (c)

NX11BIS – EAD by exposure class and by agency – Standardized approach

Art. 453 (d)

NX17 – Secured exposure by rating and by type of guarantor

Article 442 (a) and (b)

CRBA – Additional disclosure related to the credit quality of assets

280-300 188-190

(EBA) EU CR1 – Credit quality of assets

Article 442 (c), (g) and (h)

Article 453 (a) (e)

(EBA) EU CRC – Qualitative disclosure requirements related to credit risk mitigation techniques

Article 453 (f) and (g)

(EBA) EU CR3 – Credit risk mitigation techniques – Overview (EBA) EU CRB-B – Total and average net amount of exposures

Article 442 (c) Article 442 (d) Article 442 (e)

(EBA) EU CRB-C – Geographical breakdown of exposures

(EBA) EU CRB-D – Concentration of exposures by industry or counterparty type

Article 442 (f)

(EBA) EU CRB-E – Maturity of exposures

Article 444 (a) (d)

(EBA) EU CRD – Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk

198-199

Article 453 (f) and (g)

(EBA) EU CR4 – Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects

Article 444 (e)

(EBA) EU CR5 – EAD by asset class and risk weight

Article 452 (a) (c)

(EBA) EU CRE – Qualitative disclosures related to IRB models

(EBA) EU CR6 – IRB – Credit risk exposures by portfolio and PD range

Article 452 (e) (h) and (j)

Article 453 (g)

(EBA) EU CR7 – Internal rating – Effect on RWA of credit derivatives used as CRM techniques (EBA) EU CR8 – RWA flow statements of credit risk exposures under IRB (EBA) EU CCR7 – RWA flow statements of CCR exposures under the IMM NX16 – Average weighted PD and average weighted LGD by geography (EBA) EU CCR1 – Analysis of counterparty credit risk (CCR) exposure by approach

Article 92 (3) and 438 (d)

Art. 452 (j)

Article 439 (e), (f) and (i)

Article 439 (e) and (f)

(EBA) EU CCR2 – Credit valuation adjustment (CVA) capital charge

Article 444 (e) Article 452 (e)

(EBA) EU CCR3 – Standardized approach of CCR exposures by regulatory portfolio and risk weight

(EBA) EU CCR4 – CCR exposures by portfolio and PD scale

(EBA) EU CCR6 – Credit derivative exposures

Article 439 (g) and (h) Article 439 (e) and (f)

(EBA) EU CCR8 – Exposures to CCPs

Article 449

(BCBS) SECA – Qualitative disclosure requirements related to securitization exposures

(BCBS) SEC1 – Securitization exposures in the banking book (BCBS) SEC2 – Securitization exposures in the trading book

(BCBS) SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor

Article 449

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

Article 449 (k)

NX33BIS – Banking book EAD by agency

Article 445

(EBA) EU MR1 – Market risk own funds requirements

Article 105 and Article 455 (c)

(EBA) EU MRB A – Qualitative disclosures for banks using the Internal Models Approach (IMA) (EBA) EU MRB B – Qualitative disclosures for banks using the Internal Models Approach (IMA)

130-134 130-134

Article 455 (a) and (b)

Article 455 (e) Article 455 (d) Article 455 (g)

(EBA) EU MR2 – A – Market risk under internal models approach

(EBA) EU MR3 – IMA values for trading books

(EBA) EU MR4 – Comparison of VaR estimates with gains/losses

Article 446

(BCBS) ORA – General qualitative data on operational risk management

(BCBS) Table A – IRRBB management policies and objectives

Article 448

(BCBS) Table B – NII sensitivity

Article 49 (1) and (4)

(EBA) EU INS1 – Non-deducted holdings in insurance undertakings

Article 4

(BCBS) REMA – Remuneration policy

Article 377 (6) and Article 105

(BCBS) PV1 – Prudential valuation adjustments

Article 99 (5) and Article 415 (3)

(EBA) GOV – Sovereign exposures

Article 16(3) (EBA) NPL 1 – Credit quality of forborne exposures

(EBA) NPL 3: Credit quality of performing and non-performing exposures by days past due

Article 16 (3)

(EBA) NPL 4: Performing and non-performing exposures and corresponding provisions

222

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020