NATIXIS // 2021 Universal Registration Document

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 Corporates – Other

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

431 427

0.1% 0.1% 0.1% 0.2% 0.3% 0.5% 1.1% 0.9% 1.7% 3.7% 2.9% 5.5%

0.1% 0.1% 0.1% 0.2% 0.3% 0.6% 1.5% 1.2% 2.2% 4.4% 3.6% 7.1%

0.0%

4

0.3% 0.2%

161 148 168 388 291

0.4% 0.6% 0.6% 0.9% 1.6% 1.4% 3.9% 2.4% 2.4% 6.9% 5.0%

1 1

0.3% 0.3%

97

454 355

7 3 4 2 2

1.5% 0.9% 4.0% 1.5% 1.5%

3

2.5 to < 5 5 to < 10

99

135 131

10.8%

12.6% 12.1% 24.8% 31.0%

10.00 to < 100.00

10 to < 20 20 to < 30

9.9%

1 3

24.8% 31.0% 94.2%

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 2.5 to < 5 5 to < 10 10.00 to < 100.00 2.5 to < 5 5 to < 10 10.00 to < 100.00 10 to < 20 20 to < 30

157

100.0%

Retail customers – guaranteed by SME real estate collateral

2.0% 2.1% 1.7% 3.0% 5.4% 5.1% 5.9% 2.9% 3.5% 2.8%

Retail customers – guaranteed by non-SMEs real estate collateral

10 to < 20 20 to < 30

30.00 to < 100.00 100.00 (default)

205

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021