NATIXIS // 2021 Universal Registration Document

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

RWA flow statements of credit risk exposure under the IRB approach (CR8)

Risk-weighted exposure amount

(in millions of euros)

40,438

1 RISK-WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD (30/06/2021)

2 Asset size (+/-) 3 Asset quality (+/-)

40

(215)

4 Model updates (+/-) 5 Methodology and policy (+/-) 6 Acquisitions and disposals (+/-) 7 Foreign exchange movements (+/-)

122

(1,635) 38,750

8 Other (+/-)

9 RISK-WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD (31/12/2021)

€(1,139) million notes for guarantees included in Other.

IRB – internal rating – credit risk exposures by portfolio and PD range (CR6)

Weighted exposure amount after supple mentary factors

Off balance sheet exposures before CCF

Density of

Weighted average maturity (%)

On balance sheet exposures

Exposures after CCF and after ARC

Amount of expected losses

Value

Average weighted PD (%)

Average weighted LGD (%)

Average weighted CCF

Number of obligors

weighted exposure amount

adjust ment and provisions

(in millions of euros)

PD scale

A-IRB Govern ments or central banks

0.00 to < 0.15 0.00 to < 0.10 0.10 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 0.75 to < 1.75 1.75 to < 2.50 2.50 to < 10.00 2.50 to < 5.00 5.00 to < 10.00 10.00 to < 100.00 10.00 to < 20.00 20.00 to < 30.00 30.00 to < 100.00 100.00 (default) Sub-total

53,221

1,144

0.95% 54,449

56

8.82%

74

0.14%

0

(0)

53,221

1,144

0.95% 54,449

56

8.82%

74

0.14%

0

(0)

81

141

0.07%

4

18.04%

2

10

7.06%

0

(0)

31

197

1.00%

339

0.01%

2

11.97%

4

11

3.23%

0

(0)

384

8.65%

4

6

1.48%

0

(0)

1,868

0.01%

8.77%

2

21

1.11%

0

(0)

797

7.22%

2

(0)

1,071

0.02%

9.92%

2

21

1.93%

0

(0)

279

168

1.00% 1,144

0.13%

10

10.92%

3

84

7.38%

1

(1)

279

168

1.00%

698

0.21%

10

10.28%

3

72

10.27%

1

(1)

446

11.93%

4

13

2.84%

0

(0)

45

4

1.00%

72

2.81%

10

16.63%

4

27

37.87%

1

(2)

19

7.10%

3

(0)

45

4

1.00%

49

4.13%

10

21.13%

4

27

55.75%

1

(2)

4

7.10%

3

66

401 12.60%

7

21.29% 8.99%

3 0

5

1.22% 0.40%

51 53

(51) (55)

53,723

1,513

0.96% 58,797

0.09%

89

237

194

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021