NATIXIS // 2021 Universal Registration Document

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

CR10.2

Specialized lending: Revenue-generating properties and high-volatility commercial properties (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

Equal to or more than 2.5 years

Class 5

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.

CR10.3

Specialized lending: Object 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%

Equal to or more than 2.5 years

Class 1

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.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021