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 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

11 11

0.1% 0.1%

0.1% 0.1%

1.4% 1.3% 2.4% 1.2% 0.5% 0.9% 1.8% 1.3% 6.8% 4.1% 3.0% 8.5% 3.5% 2.9%

Simple equity

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

4 6 4

0.2% 0.4% 0.6% 2.2% 1.5% 2.2% 4.4% 3.6% 7.0%

0.2% 0.3% 0.5% 2.1% 1.4% 2.2% 4.8% 3.6% 7.0%

63

3

4.8%

6

57

3

5.3% 7.7% 5.1%

247 158

19

3

2.5 to < 5 5 to < 10

8

89 84 73

11

12.4%

5 2

6.0% 2.7%

14.0% 12.2% 24.8% 35.6%

15.0% 11.9% 24.8% 39.1%

10.00 to < 100.00

10 to < 20 20 to < 30

3 8

3

37.5%

16.9%

30.00 to < 100.00 100.00 (default)

45

100.0%

100.0%

Internal rating – Specialized lending and equities under the simple risk weighting method (excluding impact of thresholds) (CR10.1 to CR10.5)

CR10.1

Specialized lending: Project financing (referencing approach)

Risk weighted exposure amount

On-balance sheet exposures

Off-balance sheet exposures

Amount of expected losses

Risk weighting

Exposure at default

Regulatory categories (in millions of euros)

Residual maturity

Less than 2.5 years

50% 70% 70% 90%

Class 1

Equal to or more than 2.5 years

Less than 2.5 years

Class 2

Equal to or more than 2.5 years

Less than 2.5 years

115% 115% 250% 250%

Class 3

Equal to or more than 2.5 years

Less than 2.5 years

Class 4

Equal to or more than 2.5 years

Less than 2.5 years

- -

Class 5

Equal to or more than 2.5 years

Less than 2.5 years Equal to or more than 2.5 years

TOTAL AS AT 31/12/2021

Total as at 31/12/2020 Less than 2.5 years Equal to or more than 2.5 years Simple risk-weighted approach on specialized lending only applied by the SFS entities sold to BPCE in early 2019.

209

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021