NATIXIS // 2021 Universal Registration Document

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

Credit derivatives exposures (CCR6)

(in millions of euros)

Protection bought

Protection sold

Notional 1 Single-name credit default swaps

6,568 9,356

10,426

2 Index credit default swaps

5,345

3 Total swaps

947

4 Credit options 5 Other credit derivatives 6 TOTAL NOTIONAL AMOUNTS Fair values 7 Positive fair value (asset) 8 Negative fair value (liability)

16,871

15,771

92

398 (63)

3

(449)

RWA flow statements of CCR exposures under Internal Model Method (IMM) (EU CCR7)

Risk-weighted exposure amount (RWEA)

(in millions of euros)

1 RWEA at end of previous reporting period (30/06/2021)

4,736

278

2 Asset size

3 Counterparty credit quality 4 Model updates (MMI only)

(169)

(32)

5 Methodology and policy (IMM only) 6 Acquisitions and disposals 7 Foreign exchange movements 8 Other

23

(480) 4,357

9 RWEA at the end of the current reporting period (31/12/2021)

217

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021