NATIXIS // 2021 Universal Registration Document

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

SA – Exposures (EAD) by asset classes and risk weighting (CR5)

Risk weighting

o/w unrated

Exposure classes (in millions of euros)

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other

Total

1

100

449

6,048

545

1 Governments or central banks 5,498

Regional governments or local authorities

2

72

394 595

466

291 328

3 Public sector entities

815

9

51

1,470

4 Multilateral development banks 5 International organizations

295

295

295

6 Institutions 7 Corporates

90,644 14,107

307

26

328

105,412 105,180 3,653 3,373

651 281

17 411 145 279

1,835 35

450

450

446

8 Retail exposures

Exposures secured by mortgages on immovable property

9

155 139

294

294

3

10 Defaulted exposures

7 40

47

37

11 Particularly high risk exposures 12 Covered bonds Exposures to institutions and corporates with a short-term credit assessment Units or shares of undertakings for collective investment 13 14

99

64

26 16

205

15 Equity exposures 16 Other items

52 10

4,696

1,477 6,235 6,227 1,477124,576 117,017

17 TOTAL

98,027 14,400

1,412 566 382 279 450 7,042 91 449

D – Credit risk: internal ratings-based approach PD and LGD by geographic area (NX16)

Geographic area (in %)

PD MP

LGD MP

EAD (€M)

Africa Other

3,812

8.1% 2.4% 2.2% 0.6% 2.6% 3.3% 1.2% 2.1% 2.7%

36.9% 31.2% 37.6% 33.6% 27.4% 23.2% 16.2% 23.9% 22.3%

10,521 15,059 19,973 33,429 45,311 80,092

Asia

Europe (outside EU) European Union*

Americas

France

TOTAL AS AT 31/12/2021 Total as at 31/12/2020

208,197 183,541

As of 31/12/2021 the United Kingdom is no longer considered in the EU. *

193

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021