NATIXIS // 2021 Universal Registration Document

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

Securitization exposures in the trading book (SEC2)

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

93 365 81 137 57 131

458 218 188

TOTAL EXPOSURES

Retail (total)

Residential mortgages

Credit cards

0

0

Other retail exposures

24 6

30

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

12 228 11 197

240 208

30

30

0

0 1

1

Re-securitization

Exposures securitized by the institution – Default exposures and adjustments for specific credit risks (EU SEC5)

Securitized exposures by the institution – The institution acts as originator or sponsor Total nominal amount outstanding

Total amount of specific credit risk adjustments made during the period

o/w exposures in default

(in millions of euros)

TOTAL EXPOSURES

15,594

110

2

1,135

11

Retail (total)

Residential mortgages Credit cards Other retail exposures

943

1

192

10

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

14,459

99 91

2 2

6,321 6,474 1,402

7

263

Re-securitization

222

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021