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

Offbalance sheet exposures before CCF

Exposures after CCF and after ARC

Average PD, weighted (%)

Average LGD, weighted (%)

Weighted average maturity (%)

Density of weighted exposure amount

Value

(in millions of euros) IRB-F Govern ments or central banks

Onbalance sheet exposures

Average weighted CCF

Amount of expected losses

adjust ment and provisions

Number of obligors

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

2

2

1

45.00%

2

2

2

1

45.00%

2

724

724

0.38%

3

45.00%

2

470

64.85%

1

(4)

726

726

0.38%

4 45.00%

2

470 64.63%

1

(4)

Ins titutions

9

0.50%

5

0.07%

11

45.00%

2

2

32.87%

0

(0)

9

0.50%

5

0.07%

11

45.00%

2

2

32.87%

0

(0)

1

0.50%

1

0.20%

2

45.00%

2

0

49.65%

0

(0)

108

0.75%

81

0.36%

5

11.58%

2

13

16.34%

0

(0)

86

0.75%

64

0.60%

1

11.25%

2

13

20.03%

0

(0)

0

0

0.50%

0

1.68%

5

45.00%

2

0 144.21%

0

(0)

0

0.50%

0

1.48%

1

45.00%

2

0 140.20%

0

(0)

0

0

0.50%

0

2.16%

4

45.00%

2

0 154.08%

0

(0)

1

0

0.50%

1

2.96%

2

45.00%

2

2 165.85%

0

(0)

1

0

0.50%

1

2.96%

2

45.00%

2

2 165.85%

0

(0)

1

205

0.74%

151

0.47%

26 12.87%

2

30 19.79%

0

(0)

200

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021