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 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 Corporates – SMEs

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

1

0.2%

0.4%

41

3

7.3%

2.2% 1.7% 2.2% 4.8% 3.6% 7.2%

2.4% 2.0% 5.8% 5.5% 4.7% 8.1% 3.9% 3.0%

2

39

3

7.7% 8.1% 5.8%

185 121

15

4.3% 3.6% 6.6%

2.5 to < 5 5 to < 10

7 8 4 1

64 64 55

12.5%

6.3% 1.8%

14.9% 12.6% 24.8% 36.8%

15.5% 11.9% 24.8% 39.1%

10.00 to < 100.00

10 to < 20 20 to < 30

1 8

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 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

37.5%

17.7%

37

100.0%

100.0%

Corporates – Specialized lending

Corporates – Other

1.7% 1.7% 2.7% 1.5% 0.7% 1.4% 1.3% 0.8% 8.7% 1.9% 0.5% 9.4% 2.4% 2.5%

18

2.2%

2.2%

18 60 35 25 20 18

2.2% 4.6% 3.5% 7.4%

2.2% 4.8% 3.6% 6.5%

4 1 3 1 1

6.7% 2.9%

2.5 to < 5 5 to < 10

12.0%

5.0% 5.6%

12.6% 11.7% 24.8% 31.1%

13.4% 12.1% 24.8%

10.00 to < 100.00

10 to < 20 20 to < 30

2

30.00 to < 100.00 100.00 (default)

8

100.0%

100.0%

208

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021