NATIXIS // 2021 Universal Registration Document

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

Risk-weighted exposure amount (RWEA)

Density of weighted exposure amounts

A-IRB (in millions of euros)

Weighted average maturity (%)

Average PD, weighted (%)

Exposure at default

Number of obligors

Average LGD, weighted (%)

PD scale

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 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

8,357

87

16% 33% 18%

1

22

0%

Governments or central banks

840

0.21% 0.10%

7 4

145

17% 25%

98

5

24

38

3.19%

1

47%

3

56

149%

9,333

0.03% 0.06% 0.19% 0.35% 0.58% 1.35% 3.14% 0.10% 0.05% 0.16% 0.31% 0.54% 1.33% 4.43%

99

18% 41% 47% 49% 48% 62% 80% 42% 37% 31% 30% 23% 31% 36% 35% 40% 34%

1 1 2 2 2 1

247

3%

3

Institutions

12,899

302

2,271

18% 48% 73% 96%

1,296

87 68 32 36 18

624 320

437

89

85

131

179

137% 229%

9

21

14,861

543 688 172 207 408 816 692

1 1 2 3 3 2 2 3 2 1

3,500

24%

Corporates

9,120 1,227 1,063 1,011 2,523

762 351 378 381

8%

29% 36% 38% 65%

1,643

691

763

110%

44 47

13.15% 100.00%

237

77 54

177% 113%

41

15,725

0.84%

3,261

4,410

28%

Retail

A-IRB

30,376

0.04% 0.18% 0.31% 0.54% 1.33% 4.35%

1,077

33% 38% 34% 25% 33% 37%

1 2 3 3 2 2

3,055 1,120

10% 33% 45% 42% 69%

3,363 1,598 1,100 2,653

266 279 440 852 711

722 467

1,822

738

841

114%

10.00 to < 100.00

44 47

13.15% 100.00%

237

35% 40%

3 2

77 54

177% 113%

100.00 (default)

41

TOTAL AS AT 31/12/2021

39,919

0.38%

3,903

33%

1

8,157

20%

215

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021