NATIXIS // 2021 Universal Registration Document

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

Breakdown and changes in risk-weighted assets 3.3.3 Exposure to credit and counterparty risks 3.3.3.1 RWA overview (EU OV1)

Total Risk Exposure Amount (TREA)

Total capital requirements

31/12/2021

31/12/2021

30/06/2021 *

67,078

68,128

5,366

(in millions of euros)

9,968 1,161

9,850 1,091

797

2 3 4 5 6 7 8

o/w standardized approach o/w NI simple approach (F-IRB)

93

o/w referencing approach EU 4a o/w equity under the simple risk-weighted approach

15,875 37,589 11,416

15,603 39,348 12,770

1,270 3,007

Including NI Advanced Approach (A-IRB) Counterparty credit risk – CCR o/w standardized approach o/w internal model method (IMM)

913 162 347

2,019 4,334

3,054 4,723

407

398

33

EU 8a o/w exposures on a CCP

EU 8b o/w credit valuation adjustment – CVA

2,296 2,361

2,618 1,978

184 189

9

o/w other CCRs

15 Settlement risk

9

29

1

16 Securitization exposures in non-trading book (after cap)

2,529

3,309

202

387 213

995 417

31 17

17 o/w SEC A-IRB approach 18 o/w SEC-ERBA (including IAA)

19 o/w SEC-SA approach EU 19a o/w 1,250%/deduction

1,593

1,545

127

336

352

27

20 Position, currency and commodity risks (Market risk)

13,343

10,702

1,067

21 o/w standardized approach 22 o/w internal models approach

7,772 5,571

6,446 4,256

622 446

EU 22a Major risks 23 Operational risk

13,882

12,988

1,111

EU 23a Of which elementary approach EU 23b o/w standardized approach

13,882

12,988

1,111

EU 23c Of which advanced measurement approach 24 Amount below the deduction thresholds (subject to a weighting of 250%)

3,609

3,407

289

29 TOTAL

108,257

107,926

8,661

The data provided in line 24 are for information purposes only since the amounts indicated here are also included in line 1. * However, €2,485 million of equities excluding the simple weighting method subject to a weighting of 250% could not be placed among the sub-totals defined for credit risk excluding CCR although included in the total in line 1.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021