NATIXIS // 2021 Universal Registration Document

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

Counterparty risks 3.3.3.3 Counterparty risk management methodologies are described iNnote 3.2.4 “Credit and counterparty risk management”.

A – Counterparty risk exposure Analysis of exposure using counterparty credit risk approach (CCR1)

Alpha used for

Risk weighted exposure amount (RWEA)

Potential future exposure (PFE)

computing regulatory exposure value

Repla cement cost (RC)

Exposure at default pre-CRM

Exposure at default post-CRM

Exposure at default

(in million of euros)

EEPE

1.4 1.4 1.4

EU-1 EU – Original exposure method (for derivatives) EU-2 EU – simplified SA-CCR (for derivatives)

3

1 SA-CCR (for derivatives)

1,103

3,078

23,835

5,853

5,853

2,019 4,334

2 IMM (for derivatives and SFTs)

11,981

411

16,773

16,773

2a o/w securities financing transaction netting sets

o/w derivative & long settlement transaction netting sets

2b

11,981

411

16,773

16,773

4,334

2c o/w from contractual cross-product netting sets 3 Financial collateral simple method (for SFTs)

26,360

24,923

24,923

2,145

Financial collateral comprehensive method (for SFTs)

4

5 VaR for SFTs 6 TOTAL

50,607

47,549

47,549

8,498

SA – CCR EAD by regulatory portfolio and risk weight (CCR3)

Risk weighting

Total exposure value

(in millions of euros)

0% 2% 4% 10% 20% 50% 70% 75% 100% 150% Other

1 Governments or central banks

Regional governments or local authorities

2

10

219 379

229 856

3 Public sector entities

425

3

49

4 Multilateral development banks 5 International organizations

10

10

6 Institutions 7 Corporates

5,822 11,806

102

26

17,756

2 281

9

0

98

391

8 Retail

0

0

Institutions and corporates with a short-term credit assessment

9

82

57

10

149

10 Other items

2

2

TOTAL EXPOSURE VALUE AT 31/12/2021

11

6,270 12,087

791

86

0 157

2

19,394

213

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021