NATIXIS // 2021 Universal Registration Document

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

Cross-reference table 3.3.7

Cross-reference table between Articles of the CRR, Basel Committee/EBA tables and statements, and the Pillar III report

Universal registration document page

CRR Article

Basel Committee/EBA tables and statements

184

Article 438 (d)

EU OV1 – Overview of total risk-weighted asset exposures

Article 447 (a) to (g) Article 438 (b)

EU KM1 – Model for key indicators

186 177

Article 438 (f) Article 436 (c) Article 436 (b)

EU INS1 – Insurance holdings

EU LI1 – Differences between accounting and regulatory scopes of consolidation and the mapping of the financial statements with regulatory risk categories

165-166

EU LI3 – Summary of the differences between consolidation scopes (entity by entity)

167 165 165 177

Article 436 (b) and (d)

EU LIA – Explanation of differences between accounting and regulatory exposure amounts

Article 436 (f), (g) and (h)

EU LIB – Other qualitative information on the scope

Article 436 (e)

EU PV1 – Value adjustments for conservative valuation purposes (PVA)

EU CC1 – Composition of regulatory capital

169 to 172

Article 437 (a), (d), (e) and (f)

Article 437 (a) Article 440 (a) Article 440 (b)

EU CC2 – Reconciliation between regulatory capital and the balance sheet in the audited financial statements EU CCyB1 – Geographical distribution of relevant credit exposures used in the countercyclical capital buffer

173-174

176 176 180 181 183 180 229 228 230 190 188 190 189 189 191 191 192 192 193 194 203 187 218 194 203 213 219 213 214 216 217 217 219 220 221 222 223 223 222 187

EU CCyB2- Amount of the institution-specific countercyclical capital buffer

EU LR1 – LRSum – Summary of the reconciliation between accounting assets and exposures for leverage ratio purposes

Article 451 (1) (b)

Article 451 (a) and (b) Article 451(3)

EU LR2 – LRCom – Leverage ratio – common disclosure

Article 451 (1) (b)

EU LR3- LRSpl – Breakdown of on-balance sheet exposures (excluding derivatives, SFTs and exempt exposures)

EU LRA – Publication of qualitative information on the leverage ratio

Article 451 (1) (d) and (e)

Article 435 (a)(4) Article 451 (1) Article 451 (a)(2) Article 451 (a)(2) Article 451 (a)(3)

EU LIQA – Management of liquidity risk

148 to 151

EU LIQ1- Quantitative information on the liquidity coverage ratio (LCR)

EU LIQUB on the qualitative information on the LCR ratio complementing the EU LIQ1 model

EU LIQ2 – Net Stable Funding Ratio

Article 442 (c) and (f)

EU CR1: performing and non-performing exposures and corresponding provisions

Article 442 (g)

EU CR1-A – Exposure maturity

Article 442 CRR (f)

EU CR2 – changes in the stock of non-performing loans and advances

Article 442 (c) Article 442 (d)

EU CQ1- Credit quality of forborne exposures

EU CQ3- Credit quality of performing and non-performing exposures by number of days past due

Article 442 (c) and (e) Article 442 (c) and (e)

EU CQ4- Quality of non-performing exposures by geography

EU CQ5- Credit quality of loans and advances granted to non-financial companies by industry

Article 442 (c)

EU CQ7- Collateral obtained by taking possession and execution processes

Article 453 (a) to (e)

EU CRC – Requirements to publish qualitative information on CRM techniques

122 to 131

Article 453 (f)

EU CR3 – Overview of CRM Techniques: disclosure of the use of CRM (Credit Risk Mitigation) techniques

Article 444 (a) to (d)

EU CRD – Requirements to publish qualitative information on the standardized approach

122 to 131

Article 453 CRR (g), (h) and (i) Article 444 (e)

EU CR4 – Standardized approach – Credit risk exposure and Credit Risk Mitigation (CRM) effects

Article 444 (e)

EU CR5 – Standardized approach

Article 452 (g) (i)-(v)

EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range

Article 452 (b)

EU CR6-A – Scope of IRB and SA approaches

Article 453 (j)

EU CR7 – IRB approach – Effect on RWEA of credit derivatives used as CRM techniques

Article 453 (g) Article 438 (h) Article 452 (h) Article 438 (e)

EU CR7-A – IRB approach – Information to be published on the degree of use of CRM techniques

EU CR8 – RWA flow statements of CCR exposures under the IRB approach

EU CR9 – IRB approach – Post-exposure control of DPs by exposure category

EU CR10 – Specialized lending and equity exposures subject to the simple risk-weighted asset method

209 to 211 122 to 131

Article 439 (a) to (d)

EU CCRA – Qualitative disclosures related to counterparty credit risk

Article 439 (f), (g) and (k)

EU CCR1 – Analysis of CCR exposures by approach

Article 439 (h) Article 439 (l) Article 439 (l) Article 439 (e)

EU CCR2 – Transactions subject to capital requirement for CVA risk

EU CCR3 – Standardized approach – CCR exposures by regulatory exposure categories and weighting

EU CCR4 – IRB approach – Credit risk exposures by exposure class and PD range

EU CCR5 – Composition of collateral for CCR exposures

Article 439 (j)

EU CCR6 – Credit derivative exposures

Article 438 (h)

EU CCR7 – Statements of RWEA flows relating to CCR exposures under the IMM (internal model method)

Article 439 (i)

EU CCR8 – Exposures on a CCP

Article 449 (a) to (i)

EU-SECA – Qualitative disclosure requirements for securitization exposures

Article 449 (j) Article 449 (j)

EU-SEC1 – Securitization exposures in the non-trading book

EU-SEC2 – Securitization exposures in the trading book

Article 449 (k) (i) Article 449 (k) (ii)

EU-SEC3 – Securitization exposures in the non-trading book and associated regulatory capital requirements – institution acting as an originator or as a sponsor

EU-SEC4 – Securitization exposures in the non-trading book and associated regulatory capital requirements – institution acting as an investor

Article 449 (1)

EU-SEC5 – Exposures securitized by the institution – Exposures in default and specific credit risk adjustments

EU MRA: Requirements to publish qualitative information on market risk

136 to 139

Article 435(1) (a) to (g)

Article 445

EU MR1 – Market risk under the standardized approach

224

EU MRB: qualitative disclosure requirements for institutions using internal market risk models

136 to 139

Article 455 (a), (b), (c) and (f)

232

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021