NATIXIS // 2021 Universal Registration Document

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

Banking book EAD by agency (NX33 bis)

EAD (in millions of euros)

Standardized approach

IRB approach

Total

Rating agencies

Moody’s

140

5,571

5,711

DBRS

13 84 65

603 212 288

616 296 353

Fitch IBCA

Standard & Poor’s

Unrated

2,229

4,791

7,020

Transparency Regulatory method TOTAL AS AT 31/12/2021

3

2,531

11,466

13,997

C – Natixis’ securitization exposures Securitization exposures in the banking book (SEC1)

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Traditional

Synthetic

Traditional

Traditional

STS Non-STS

Sub total

Sub total

Sub total

o/w TRS

o/w TRS

o/w TRS

Non

Synthe

Non

Synthe

(in millions of euros)

STS

STS

tic

STS

STS

tic

TOTAL EXPOSURES

333 333 2,137 2,137 2,470 942 8,783

9,725 1 1,713 2,063 1 877 1,867 1 605

88 1,802 88 966

2,063 1,867

Retail (total)

Residential mortgages Credit cards Other retail exposures

606

196

196 0 272

88 360

Re-securitization Wholesale (total) Loans to corporates Commercial mortgages Leases and receivables Other wholesale exposures

333 333 2,137 2,137 2,470 942 6,720

7,662 5,499

836

836 546

17 17 2,127 2,127 2,145

5,499

5,460

315 315

9

9 325

1

1

942 809

1,751

19

19

412

412

270

270

Re-securitization

0

0

221

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021