NATIXIS // 2021 Universal Registration Document

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

EAD by rating source – Standardized approach (NX11 bis)

Exposure class (in millions of euros)

Fitch

Moody’s

STP

BDF

Total

Corporates Institutions

5 1

218 114

55

278 232

117

479

4,467 4,219

1,359

65

6,371 5,054

Governments and central banks Governments and central banks

40

795

International organizations Multilateral development banks Regional governments or local authorities

61

15

99

175

Public sector entities

378

233

465

65

1,141

Retail

4 4

4 4

3

SMEs included in Retail category

Other exposures included in Retail category Exposures secured by mortgages on immovable property SMEs treated in the category of exposures guaranteed by a mortgage on real estate Other exposures secured by mortgages on immovable property Defaulted exposures Exposures to institutions and corporates with a short-term credit assessment

9

9

11

40

151

3

205

TOTAL AS AT 31/12/2021 TOTAL AS AT 31/12/2020

497 548

4,624

1,842 1,796

136 115

7,099 2,834

375

Guaranteed exposures by type and internal rating of guarantor (NX17)

Type of guarantor

Central governments and central banks

Institutions

Corporates

Retail

S&P equivalent internal rating (in %)

AAA

1.9%

11.5% 80.1%

17.8% 70.8%

88.6%

AA+, AA, AA-

A+, A, A-

0.7% 8.5% 0.1%

BBB+, BBB, BBB-

8.3%

8.1% 1.9% 0.2%

BB+, BB, BB-

B+, B, B-

C Not rated*

1.3%

0.1%

TOTAL AS AT 31/12/2021

100.0%

100.0%

100.0%

Unrated: excluding exposures guaranteed by Groupe BPCE affiliates. *

185

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021