NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

EAD by geographic area (NX06)

(Data certified by the Statutory Auditors in accordance with IFRS 7) As of 31/12/2021(*)

As of 31/12/2020(*)

3 % Middle East

2 % Latin America 3 % Middle East

1 % Africa 1 % Oceania

1 % Oceania 1 % Africa

3 % Europe (outside EU)

2 % Latin America

6 % Asia

8 % Asia

15 % North America 7 % Europe (outside EU)

47 % France

54 % France

17 % North America

11 % European Union

18 % European Union

* The United Kingdom is no longer part of the EU as of 31/12/2021.

* The United Kingdom is still considered in the EU as of 31/12/2020.

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

(Data certified by the Statutory Auditors in accordance with IFRS 7) The following table shows the breakdown of exposures at risk by internal rating (S&P equivalent) for asset classes measured using the IRB approach, excluding: exposures to equities (calculated using a simple weighting); V pool-based exposures (acquired portfolios) and third parties grouped into homogeneous risk classes; V securitization positions. V

(% breakdown)

Grade

Internal rating

31/12/2021

31/12/2020

Investment Grade

AAA AA+

0.1% 6.9% 9.2%

5.0%

AA

18.7% 13.4%

AA-

16.2%

A+

7.1% 9.8%

5.6%

A

11.9% 10.1%

A-

10.1%

BBB+ BBB BBB-

5.8% 6.4% 7.1% 4.5% 3.6% 3.2% 1.7% 0.8% 0.6%

6.3% 7.4% 7.7% 4.6% 4.6% 2.9% 2.0% 1.0% 0.5%

Investment Grade

83.4%

81.3%

BB+

Non-Investment Grade

BB

BB-

B+

B

B-

CCC+ CCC CCC- CC C

Non-Investment Grade

14.3%

15.7%

Unrated Default TOTAL

Unrated

0.5% 1.7%

0.6% 2.3%

D

100.0%

100.0%

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021