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

Retail – other non SMEs

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)

3

A-IRB

70,790

23,489

0.71% 84,686

0.02%

861

18.49%

1

4,467

5.27%

6

(6)

70,745

23,408

0.72% 84,596

0.02%

851

18.47%

1

4,446

5.26%

6

(6)

45

82

0.65%

90

0.13%

10

33.15%

2

21

23.42%

0

(0)

5,350

9,670

0.71% 9,421

0.16%

321

25.77%

3

2,111

22.41%

4

(3)

7,818

10,861

0.65% 12,813

0.26%

410

29.17%

2

3,882

30.30%

10

(6)

8,501

13,093

0.60% 14,226

0.48%

531

25.91%

3

5,452

38.32%

19

(9)

15,433

14,781

0.66% 22,280

1.07%

924

24.64%

2

10,832

48.62%

63

(80)

10,723

11,658

0.66% 16,121

0.91%

713

24.92%

2

7,555

46.86%

38

(41)

4,710

3,123

0.64% 6,158

1.47%

211

23.92%

3

3,277

53.21%

25

(40)

6,345

5,978

0.68% 9,566

3.19% 1,089

26.95%

2

7,167

74.93%

90

(129)

4,247

4,669

0.66% 6,699

2.56%

866

28.13%

2

4,881

72.86%

53

(72)

2,098

1,310

0.78% 2,866

4.67%

223

24.19%

3

2,286

79.74%

36

(57)

330

284

0.67%

490

9.44%

367

28.20%

2

532 108.65%

15

(8)

262

272

0.67%

415

9.32%

345

29.09%

2

467 112.42%

12

(5)

61

7

1.00%

67

9.75%

11

23.81%

3

59

88.55%

3

(2)

8

5

0.20%

8 12.97%

11

18.53%

2

6

79.73%

0

(1)

3,507

716

0.53% 3,838 85.99%

256

41.77%

3

3,146

81.97% 1,493

(1,493)

TOTAL AS AT 31/12/2021

118,074 78,873

0.67% 157,318

2.56% 4,759 22.45%

2 37,589 23.89% 1,698 (1,733)

199

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021