NATIXIS // 2021 Universal Registration Document

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

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

Institutions

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 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

4,987

1,086

0.59% 5,524

0.04%

230

40.20%

1

625

11.31%

1

(0)

4,987

1,086

0.59% 5,524

0.04%

230

40.20%

1

625

11.31%

1

(0)

140

28

0.20%

183

0.16%

38

35.80%

1

53

29.12%

0

(0)

149

165

0.42%

260

0.30%

42

51.08%

1

147

56.72%

0

(0)

82

285

0.20%

386

0.24%

27

39.55%

2

179

46.40%

1

(0)

3

19

666

0.20%

676

0.44%

52

30.60%

1

244

36.06%

1

(1)

5

61

0.20%

385

0.11%

29

34.61%

1

82

21.26%

0

(0)

14

605

0.20%

292

0.88%

23

25.30%

1

162

55.60%

1

(1)

30

262

0.20%

327

0.92%

68

39.88%

2

300

91.82%

3

(3)

25

224

0.20%

291

0.78%

57

39.83%

2

246

84.55%

2

(2)

5

38

0.20%

36

2.04%

11

40.25%

3

54 150.23%

1

(1)

0

8

0.28%

1

44.35%

1

2

30.13%

0

(0)

0

8

0.28%

1

44.35%

1

2

30.13%

0

(0)

18

0

0.20%

50 36.18%

5

39.70%

2 1

4

7.15%

18 24

(18) (22)

5,426

2,492

0.38% 7,414

0.38%

463 39.55%

1,555 20.97%

Corporates – SMEs

5

32

0.32%

15

0.06%

16

7.27%

4

1

3.84%

0

(0)

5

32

0.32%

15

0.06%

15

7.27%

4

1

3.84%

0

(0)

0

0

0.15%

1

43.76%

0

14.24%

0

0

7

0.20%

0

0.19%

15

43.76%

1

0

24.96%

0

(0)

38

34

0.99%

72

0.39%

26

44.09%

1

29

40.47%

0

(0)

147

181

0.93%

300

0.59%

56

32.31%

3

129

42.91%

1

(0)

449

157

0.89%

527

1.30%

122

37.88%

2

363

68.93%

2

(2)

413

153

0.89%

493

1.24%

117

39.85%

2

356

72.20%

2

(2)

36

5

1.00%

34

2.19%

5

9.53%

4

7

21.83%

0

(0)

268

140

0.89%

286

3.42%

218

41.94%

2

280

97.82%

4

(4)

247

135

0.90%

274

3.31%

192

41.92%

2

267

97.52%

4

(4)

21

4

0.81%

12

5.95%

26

42.40%

2

12 104.83%

0

(0)

1

8

0.22%

2 11.73%

49

43.76%

1

3 154.44%

0

(0)

1

7

0.22%

2 11.73%

47

43.76%

1

3 154.44%

0

(0)

0

1

0.20%

0 30.95%

2

43.76%

0 199.69%

0

21

7

0.31%

17 100.00%

46

41.54%

3 2

16

98.55%

9

(9)

929

566

0.85% 1,218

2.92%

548 37.52%

821 67.37%

16

(15)

195

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021