NATIXIS // 2021 Universal Registration Document

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

Number of obligors at the end of the previous year

o/w number of obligors

Average annual historic default rate observed (%)

Average default rate observed (%)

Average weighted PD (%)

who defaulted during the year

Average PD (%)

PD scale

Exposure classes

171 171

0.0% 0.0%

0.1% 0.1%

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 < 2.5 2.50 to < 10.00

24 19 21 37 24 13 70 58 12

0.2% 0.3% 0.2% 0.4% 0.1% 0.9% 0.9% 0.8% 2.0% 0.3% 0.3% 0.1% 0.1% 0.2% 0.2% 0.4% 0.6% 1.3% 1.2% 2.2% 3.4% 3.3% 6.0%

0.2% 0.3% 0.5% 1.3% 1.0% 1.9% 3.4% 3.0% 5.2%

2.5 to < 5 5 to < 10

10.00 to < 100.00

10 to < 20

20 to < 30 30.00 to < 100.00 100.00 (default) 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 < 2.5 2.50 to < 10.00 30.00 to < 100.00 100.00 (default) 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 < 2.5 2.50 to < 10.00 10.00 to < 100.00 10 to < 20 20 to < 30 30.00 to < 100.00 100.00 (default) 2.5 to < 5 5 to < 10 2.5 to < 5 5 to < 10 10.00 to < 100.00 10 to < 20 20 to < 30

4

36.2%

100.0%

Corporates – SMEs

10 10

0.1% 0.1%

0.2% 0.4%

11 18 33 81 76

0.2% 0.4% 0.6% 1.5% 1.4% 2.1% 4.3% 3.7% 7.2%

0.2% 0.3% 0.4% 0.4% 1.5% 1.3% 2.4% 3.5% 3.0% 9.4%

1 1

1.2% 1.3%

5

152 126

1

0.7%

26 51 47

1 2 1

3.9% 3.9% 2.1%

11.7% 11.7%

13.1% 11.7% 21.5% 31.0%

1 3

1

33.3%

31.0%

10.2%

42 55 55

100.0%

100.0%

Corporates – Specialized Lending

0.1% 0.1%

0.1% 0.1%

46 86

0.2% 0.3% 0.5% 1.3% 1.0% 2.0% 4.1% 2.9% 5.7%

0.2% 0.3% 0.5% 1.3% 1.0% 1.9% 3.3% 2.9% 5.4%

198 243 173

0.1% 1.7% 1.1% 2.9% 5.2% 4.3% 8.2%

2 1 1 2 2

0.8% 0.6% 1.4% 3.0% 3.6%

70 66 56 10

34

100.0%

100.0%

204

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021