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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) Cor porates – SMEs

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

0

0

0.39%

1

45.00%

2

0

56.10%

0

3

151

80

0.23%

169

4.25%

201

43.80%

2

177 105.02%

3

(1)

116

62

0.23%

130

3.56%

141

43.69%

2

132 101.63%

2

(1)

35

18

0.20%

38

6.57%

60

44.16%

2

45 116.52%

1

(0)

40

16

0.33%

46 14.92%

107

44.67%

2

76 165.90%

3

(1)

36

16

0.33%

41 12.58%

93

44.67%

2

67 164.65%

2

(0)

1

0

0.20%

1 24.77%

2

44.92%

2

2 198.98%

0

(0)

4

1

0.33%

4 36.76%

12

44.56%

2

7 170.45%

1

(0)

58

4

0.21% 0.25%

59 100.00% 274 26.67%

69

44.74%

2 2

26 33

(25) (27)

249

100

378 44.15%

253 92.58%

Cor porates – Spe cialized Lending

201

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021