NATIXIS -2020 Universal Registration Document

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

Table index 3.3.8

Subject

Title of table

Page

Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (EU LI 1)

172-173

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

174 176 177 179 179 180 180 180 181 182 137 185 138 138 139 186 186 139 187 187 191 192 193 194 195 196 196 197 198 200 200 201 131 202 146 134 202 203 206 207 207 207 209 208 209 211 211 211 212 213 213 214 214 214 214 215 215 216 216 216 217

Transition from shareholder’s equity to prudential capital after applying phase-in arrangements

Regulatory capital Appendix VI

Total capital ratio

Geographical distribution of credit exposures used in the countercyclical buffer (CCYB1)

Prudential valuation adjustments (PV1)

Changes in prudential capital after applying phase-in arrangements for the period

Non-deducted participations in insurance undertakings (EU INS1)

Risk-weighted assets at December 31, 2020

Capital management and capital adequacy

Basel 3 RWA by main Natixis business line (NX02)

EAD, RWA and capital requirement by approach and by Basel exposure category (NX01)

3

RWA overview (EU OV1)

Exposure and EAD by Basel category of exposure (NX03)

EAD by geographic area and by asset class (NX05)

NX06: EAD by geography

EAD by category and by agency – standardized approach (NX11 BIS) Guaranteed exposures by type and internal rating of guarantor (NX17)

Credit risk and counterparty risk

EAD by internal rating (S&P equivalent) (NX12)

Credit risk mitigation techniques (EU CR3)

IRB – Effect on RWA of credit derivatives used as CRM techniques (EU CR7)

Credit quality of assets (EU CR1)

188-190

Total and average amount of net exposures (EU CRB – B)

Geographic breakdown of exposures (EU CRB – C)

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

Maturity of exposures (EU CRB – E)

Sovereign exposures (GOV)

Credit quality of forborne exposures (NPL1)

Credit quality of performing and non-performing exposures by days past due (NPL3) Performing and non-performing exposures and corresponding provisions (NPL4) Risk weights used under SA by category of exposure and by rating grade (CRD-D)

Credit risk exposure and credit risk mitigation under S.A. (EU CR4) S.A. – exposures (EAD) by asset classes and risk weights (CR5)

Detailed exposures under roll-out plan (EU CRE-E)

Indicative correspondences between internal ratings based on expert judgment and external agency ratings (corporates, banks, Specialized Financing institutions)

PD and LGD by geographic area (NX16)

Backtesting of LGDs and PDs by exposure class

Main internal models: PD, LGD, CCF and volatility discounts (EU CRE) Statements of credit risk exposure under the IRB approach (EU CR8)

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

IRB – specialized lending and equities using the simple risk-weighted asset method (excluding impact of thresholds) (EU CR10)

Breakdown of equity exposures by main Natixis business line (NX23)

Equity EAD by type and nature of exposure (NX24)

RWA by weighting (excluding impact of thresholds) (NX25)

Analysis of exposure using counterparty credit risk approach (EU CCR1)

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

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

Credit derivatives exposures (CCR6) RWA flow statements of CCR exposures under Internal Model Method (IMM) (EU CCR7)

Exposures to CCPs (CCR8)

Credit risk

Capital requirements for credit valuation adjustments (EU CCR2)

Banking book EAD by agency (NX33 BIS)

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

On and off-balance sheet EAD according to the role of Natixis in the banking book (NX31-A)

EAD according to the role of Natixis in the trading book (NX31-B) Re-securitization exposures before and after substitution (NX34)

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

Securitization

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

Market risk under the standardized approach (EU MR1)

VaR, stressed VaR and IRC within the regulatory scope (MR3)

Backtesting within the regulatory scope (MR4)

Market risk

Market risk under the IMA (EU MR2-A)

223

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020