NATIXIS // 2021 Universal Registration Document

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

NI – CCR exposures by portfolio and PD scale (CCR4)

Risk-weighted exposure amount (RWEA)

Density of weighted exposure amounts

Average weighted PD (%)

Average weighted LGD (%)

Weighted average maturity (%)

IRB-F (in millions of euros) Governments or central banks

Exposure at default

Number of obligors

0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < .50 2.50 to < 10.00 10.00 to < 100.00 100.00 (default) Sub-total 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 100.00 (default) Sub-total 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 100.00 (default) Sub-total 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 100.00 (default)

1

2

45%

2

1

2

45% 45% 45%

2 1 1

Institutions

246

0.05% 0.16%

23

30

12% 27%

9

5

2

254 746

0.05% 0.07% 0.16% 0.30% 0.53% 2.00% 2.74% 0.11% 0.06% 0.16% 0.30% 0.53% 2.00% 2.74%

28 57

45% 44% 45% 45% 45% 45% 45% 44% 44% 45% 45% 45% 45% 45%

1 2 1 2 1

33

13% 21% 37% 53% 54% 95%

Corporates

160

0

3 3 2 1 3

0 7 1 1

13

2 1

10

2

14

133%

772 993

69 82

2 2 1 2 1

183 191

24% 19% 28% 53% 54% 95%

IRB-F

9

8 3 2 1 3

2 7 1 1

13

2 1

10

2

14

133%

TOTAL AS AT 31/12/2021

1,028

0.10%

99

45%

2

216

21%

214

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021