NATIXIS // 2021 Universal Registration Document

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

Equity approach (in millions of euros) Equity approach

Risk-weighted exposure amount (RWEA)

Density of weighted exposure amounts

Weighted average maturity (%)

Average PD, weighted (%)

Average LGD, weighted (%)

Exposure at default

Number of obligors

PD scale

31,369

0.04% 0.18% 0.31% 0.54% 1.33% 4.33%

1,159

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

1 2 3 3 2 2

3,246 1,122

10% 33% 45% 42% 69%

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

3,372 1,611 1,102 2,655

274 282 442 853 714

729 468

1,823

748

855

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

40,948

0.37%

4,002

34%

1

8,373

20%

Composition of collateral for exposures (CCR5)

Collateral used in derivative transactions

Collateral used in OFTs

Fair value of collateral received

Fair value of collateral provided

Fair value of collateral received

Fair value of collateral provided

Non segregated initial margin

Non segregated initial margin

Non segregated initial margin

Non segregated initial margin

Segregated initial margin

Segregated initial margin

Segregated initial margin

Segregated initial margin

Security type (in millions of euros)

1 Cash-national currency 2 Cash – other currencies 3 National sovereign debt 4 Other sovereign debt 5 General government debt

11,611

11,250

1,462 5,485

1,083 1,642

1,541

2,873

1

27

1,865

194 487 244

78

101,904 19,727 13,802

103,925 32,042 12,241 55,946

723 952 670

575 229

6 Corporate bonds

7 Equity

9,034

8 Other collateral 9 TOTAL AS AT 31/12/2021

4,210

14,078

15,005

151,415

206,907

216

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021