NATIXIS // 2021 Universal Registration Document

3 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) Corporates – Specialized lending

PD scale

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

1,118

653

1.00% 1,664

0.06%

54

10.98%

4

132

7.93%

0

(0)

1,118

653

1.00% 1,664

0.06%

54

10.98%

4

132

7.93%

0

(0)

844

857

0.99% 1,385

0.16%

50

7.71%

3

119

8.59%

0

(0)

1,747

1,754

0.89% 2,506

0.30%

121

11.14%

3

419

16.71%

1

(1)

3,080

2,784

0.81% 3,663

0.52%

220

11.83%

4

760

20.76%

2

(2)

6,233

4,425

0.82% 6,927

1.28%

314

14.17%

3

2,486

35.89%

13

(32)

4,102

3,803

0.81% 5,109

1.02%

236

13.33%

3

1,556

30.46%

7

(14)

2,130

622

0.87% 1,818

2.00%

78

16.53%

4

930

51.16%

6

(18)

1,608

506

0.99% 1,323

4.07%

121

15.00%

3

645

48.72%

8

(36)

1,017

352

0.99%

785

2.94%

73

16.54%

3

383

48.81%

4

(14)

591

154

1.00%

538

5.71%

48

12.76%

3

261

48.59%

4

(22)

841

10

0.78%

692 100.00%

38

52.68%

2 3

325

46.94%

102 126

(102) (172)

15,471 10,990

0.86% 18,160

4.76%

918 14.02%

4,886 26.90%

Corporates – Other

11,459

20,574

0.70% 23,035

0.05%

505

36.69%

2

3,636

15.78%

5

(5)

11,415

20,493

0.71% 22,945

0.05%

496

36.70%

2

3,614

15.75%

4

(5)

45

82

0.65%

90

0.13%

9

33.15%

2

21

23.42%

0

(0)

4,284

8,778

0.69% 7,711

0.16%

214

28.92%

3

1,929

25.02%

3

(2)

5,852

8,712

0.60% 9,636

0.25%

219

33.76%

2

3,276

34.00%

8

(5)

5,192

9,843

0.55% 9,493

0.49%

228

31.28%

2

4,378

46.12%

15

(6)

8,732

9,532

0.61% 12,281

1.13%

436

32.07%

2

7,717

62.84%

46

(46)

6,202

7,641

0.59% 9,338

0.94%

331

31.59%

2

5,561

59.55%

29

(25)

2,530

1,891

0.70% 2,944

1.72%

105

33.60%

2

2,157

73.27%

18

(21)

4,160

4,903

0.66% 6,486

3.66%

672

30.90%

2

5,858

90.32%

75

(85)

2,678

3,790

0.63% 4,651

2.92%

534

31.22%

2

3,913

84.14%

43

(51)

1,482

1,113

0.77% 1,835

5.54%

138

30.08%

3

1,945 106.00%

32

(34)

284

272

0.68%

409 10.77%

307

29.86%

2

500 122.35%

13

(6)

261

265

0.68%

387

9.94%

297

29.77%

2

462 119.26%

12

(5)

16

3

1.00%

18 24.77%

1

30.99%

2

32 176.19%

1

(0)

8

4

0.20%

3 30.95%

9

34.37%

1

6 190.22%

0

(1)

2,561

698

0.53% 2,678 94.20%

159

42.06%

3

2,796 104.42% 1,313

(1,313)

42,524 63,312

0.64% 71,729

4.23% 2,740 33.59%

2 30,090 41.95% 1,479 (1,469)

196

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021