NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Quantitative information 3.2.4.11 EAD, RWA and CR by Basel approach and exposure class (NX01)

31/12/2021

31/12/2020

EAD

RWA

CR

(in millions of euros) Credit risk Internal approach

EAD

RWA

CR

167,129

57,934 18,360

4,635 1,469

142,975

58,714 18,085

4,697 1,447

Equity

5,890

5,757

59,524

707

57

40,949

563

45

Governments and central banks

Other assets Retail Corporates Institutions Securitization

91,738

36,458

2,917

86,975

37,242

2,979

7,566 2,412

1,585

127

6,115 3,179

1,108 1,717

89

824

66

137 822

Standardized approach

116,614

11,592

927 104 445

78,149

10,279

7,184 6,235

1,306 5,562

9,252 6,330

1,175 5,470

94

Governments and central banks

Other assets

438

Retail

450

316

25

514

333

27 95 28

Corporates Institutions

3,263

2,135

171

1,890

1,186

87,656

415

33

49,667

344

Defaulted exposures

45

64

5

44

53

4

Exposures secured by mortgages on immovable property

294

124

10

279

112

9

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

55

47

4

87

51

4

Securitization

11,432

1,624

130

10,087

1,554

124

Sub-total credit risk Counterparty risk Internal approach

283,743

69,526

5,562

221,125

68,993

5,519

41,067

8,449

676

40,565

6,845

548

Governments and central banks

9,335

247

20

8,791

158

13

Corporates Institutions

16,498 15,115

4,593 3,533

367 283

17,331 14,158

5,093 1,515

407 121

Securitization

120

76

6

285

78

6

Standardized approach

19,428

608 170

49 14

15,737

595 234

48 19

Governments and central banks

1,096

1,478

Retail Corporates Institutions

391

105 270

8

417

54

4

17,756

22

13,523

224

18

Defaulted exposures

2

3

1

2

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

149

55

4

79

46 35

4 3

Securitization

34

5

239 297

CCP default fund contribution Sub-total counterparty risk

364

145

12

152

12

60,859

9,202

736

56,599

7,592

607

Market risk Internal approach

5,571 7,772

446 622

7,147 5,975

572 478

Standardized approach

Equity risk

527

42

421

34

Foreign exchange risk

3,003 1,725 2,518

240 138 201

2,971 1,179 1,404

238

Commodity risk Interest rate risk

94

112

Sub-total market risk

13,343

1,067

13,122

1,050

CVA

9,730

2,296

184

7,877

2,284

183

Settlement-delivery risk

9

1

6

13,882 108,257

1,111 8,661

12,988 104,985

1,039 8,399

Operational risk (standardized approach)

Total

132

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021