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

714 710

0.0% 0.0% 0.1% 0.2% 0.3% 0.5% 1.1% 0.9% 1.5% 3.2% 2.6% 4.7% 9.4% 9.3% 9.8%

0.1% 0.1% 0.1% 0.2% 0.3% 0.6% 1.4% 1.2% 2.0% 4.1% 3.5% 6.9%

0.0% 0.0% 0.1% 0.1% 0.1% 0.3% 0.5% 0.4% 0.8% 1.5% 1.3% 1.9% 3.7% 2.8% 3.8%

Equity advanced

0.00 to < 0.15 0.00 to < 0.10 0.0 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

4

245 273 420 749 564 185 752 605 147 192 178

4 3 1 5 5 4 3

0.5% 0.5% 0.5% 1.3% 0.8% 3.4% 2.1% 1.7%

10

3

2.5 to < 5 5 to < 10

13.1% 12.0% 23.7% 31.0%

10.00 to < 100.00

10 to < 20 20 to < 30

8 6

30.00 to < 100.00 100.00 (default)

1

16.7%

13.0% 86.0%

11.1%

244

100.0%

Simple equity

Number of obligors at the end of the previous year

o/w number of debtors

Average annual historic default rate observed (%)

Average default rate observed (%)

Average weighted PD (%)

who defaulted during the year

Average PD (%)

PD scale

Exposure classes

1 1

Governments or central banks

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 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 to < 20 20 to < 30

3

0.4%

0.4%

Institutions

10 10

0.1% 0.1%

0.1% 0.1%

3 3 4 4 4

0.2% 0.4% 0.6% 1.7% 1.5% 2.2% 3.0% 3.0%

0.2% 0.3% 0.5% 1.3% 1.3%

2 2

3.3% 3.3%

4.4% 4.4%

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)

207

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021