NATIXIS // 2021 Universal Registration Document

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

Exposures to CCPs (CCR8)

Risk-weighted exposure amount (RWEA)

(in millions of euros)

Exposure at default

1 Exposure to qualifying central counterparties (total)

407 151

2 Exposures for trades at QCCPs (excluding initial margin and default fund contributions); o/w

7,614 1,258 2,678 3,678

3 (i) OTC derivatives

25 52 74

4 (ii) Exchange-traded derivatives 5 (iii) Securities Financing Transactions

6 (iv) Netting sets for which cross-product netting has been approved 7 Segregated initial margin

2

4,640

111 145

8 Non-segregated initial margin

3

9 Pre-funded default fund contributions

364

10 Unfunded default fund contributions 11 Exposures to non-qualifying central counterparties (total)

12 Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); o/w 13 (i) OTC derivatives 14 (ii) Exchange-traded derivatives 15 (iii) Securities Financing Transactions 16 (iv) Netting sets for which cross-product netting has been approved 17 Segregated initial margin 18 Non-segregated initial margin

19 Pre-funded default fund contributions 20 Unfunded default fund contributions

B – Capital requirements and risk-weighted assets Capital requirements for credit valuation adjustments (EU CCR2)

31/12/2021

Risk-weighted exposure amount (RWEA)

Exposure at default

(in millions of euros)

1 Total transactions subject to the advanced method 2 i) VaR component (including the 3× multiplier) 3 ii) Stressed VaR component (including the 3× multiplier) 4 Transactions subject to the standardized method

5,425

1,187

65

1,122 1,110

4,305

EU-4 Transactions subject to the fall-back approach (based on the original exposure method) 5 TOTAL TRANSACTIONS SUBJECT TO CAPITAL REQUIREMENT FOR CVA RISK

9,730

2,296

219

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021