NATIXIS // 2021 Universal Registration Document

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

Re-securitization exposures before and after substitution (NX34)

Guarantor rating (in millions of euros)

Exposure

Protection

EAD

Sub-total Unsecured TOTAL AS AT 31/12/2021 Total as at 31/12/2020

D – Capital requirements Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or sponsor (EU SEC3)

3

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

PFE

SEC IRBA

SEC ERBA

SEC IRBA

SEC ERBA

SEC IRBA

SEC ERBA

> 100% to 1,250% = 1,250%

SEC-SA appro ach

Deault appro ach

SEC-SA appro ach

Default appro ach

SEC-SA appro ach

Default appro ach

> 50% to 100%

appro

appro

appro

appro

appro

appro

> 20% to 50%

(in millions of euros) TOTAL EXPOSURES

ach

ach

ach

ach

ach

ach

<= 20%

11,502 643

1 1 1

23 23 23

26 2,321 275 9,575 26 184 275 9,575 26 184 275 9,575

24 387 108 1,323 303

31

9 106 9 106 9 106

24 24 24

Traditional transactions 9,840 167

24 24

38 108 1,323 303 38 108 1,323 303

3 3

Securitization

9,840 167 1,953 110

2,063

338

27

Retail underlying

o/w STS Wholesale

7,887

57

1

23

26 184 275 7,512

24

38 108 984 303

3

9

79

24

o/w STS

942

942

92

7

Re-securitization Synthetic transactions

1,662 475 1,662 475

0 2,137 0 2,137

0 349 0 349

0 0

28 28

0 0

Securitization

Retail underlying Wholesale Re-securitization

1,662 475

0 2,137

0 349

0

28

0

Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (ESA4)

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

PFE

SEC IRBA

SEC ERBA

SEC IRBA

SEC ERBA

SEC IRBA

SEC ERBA

> 100% to 1,20% = 1,250%

SEC-SA appro ach

Default appro ach

SEC-SA appro ach

Default appro ach

SEC-SA appro ach

Default appro ach

> 20% to 50%

> 50% to 100%

appro

appro

appro

appro

appro

appro

(in millions of euros) TOTAL EXPOSURES

<= 20%

ach

ach

ach

ach

ach

ach

1,699

0 0 0

70 70 70 70

30 30 30 11

3 3 3 1

159 1,641 159 1,552 159 1,552 122 755

3 3 3 1

105 270 105 257 105 257 65 137

33 33 32 16

8 8 8 5

22 21 21 11

3 3 3 1

Traditional transactions 1,611

Securitization

1,611

796

Retail underlying

o/w STS

1

1

0

0

Wholesale

815

0

0

19

1

37 797

1

40 120

15

3

10

1

o/w STS Re-securitization

0

0

1

0

Synthetic transactions

88 88 88

88 88 88

13 13 13

1 1 1

Securitization

Retail underlying Wholesale Re-securitization

223

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021