NATIXIS // 2021 Universal Registration Document

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

CR10.4

Specialized lending: commodities 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

50% 70% 70% 90%

Less than 2.5 years

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

3

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.

CR10.5

Equity financing exposures subject to the simple weighting method

Off-balance sheet exposures

Risk-weighted exposure amount

Amount of expected losses

Risk weighting

Exposure at default

On-balance sheet exposures

Classes (in millions of euros) Private Equity exposures Listed share exposures Other equity exposures TOTAL AS AT 31/12/2021

715 816

167

190% 290% 370%

882 816

1,676 2,365

7 7

3,198 4,729

3,198 4,896

11,834 15,875

77 90

167

Breakdown of equity exposures by main Natixis business line (NX23)

31/12/2021

31/12/2020

Fair value

EAD

Fair value

EAD

Division (in millions of euros)

247

232

235

235

Corporate & Investment Banking Asset & Wealth Management

2,434 2,559

2,601 2,559

2,171 2,374

2,352 2,374

Insurance Payments

1

1

13

13

Corporate Center Coface activities

216 189

308 189

177 605

177 605

TOTAL

5,646

5,890

5,575

5,757

211

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021