NATIXIS // 2021 Universal Registration Document

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

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

General credit exposures

Relevant credit exposure – market risk

Capital requirements

Sum of long and short exposure positions in the trading book for the standar dized approach

Relevant credit exposure – securi tization positions in the non trading

Securi tization exposures Non trading book exposure at default

Value of trading book exposures for internal models

Exposure at default under the standar dized approach

Exposure at default under the IRB approach

Relevant credit risk exposures – credit risk

Relevant credit exposure – market risk

Capital requi rement weightings (%)

Risk weighted exposure amount

Counter

Total exposure value

cyclical buffer rate (%)

(in millions of euros)

book Total

010 Breakdown by country: Bulgaria

2

2 0

0

0 0

1 0.00% 0.50% 0 0.00% 0.50% 1,051 1.44% 1.00% 3,067 4.20% 0.50% 125 0.17% 1.00% 1 0.00% 1.00%

Czechia

0

0 0 3 0 0 4

Hong Kong Luxembourg

2 2,825

25

2,852

84

84

78 6,125 41,074

176

47,454

242

245

Norway Slovakia Sub-total

0 0

360

2

362

10

10

29

30

0

0

81 9,313 41,101

205

50,699

336

340

4,245 5.82%

Other countries with a 0% risk weighting

10,804 105,373

7,764 14,626 13,997 152,564

5,099 5,434

198 202

202 5,499 68,740 94.18% 202 5,839 72,984 100.00%

020 TOTAL

10,884 114,685 48,864 14,832 13,997 203,263

Amount of institution-specific countercyclical capital buffer (CCYB2)

(in millions of euros)

1 2 3

TOTAL RISK EXPOSURE AMOUNT

108,257 0.037%

INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER RATE INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER REQUIREMENT

40

176

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021