NATIXIS // 2021 Universal Registration Document

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

Universal registration document page

CRR Article

Basel Committee/EBA tables and statements

225 225 224 141

Article 455 (e) Article 438 (h) Article 455 (d) Article 455 (g) Article 435 (1) Article 446 Article 454

EU MR2- A – Market risk under the Internal Models Approach (IMA)

EU MR2-B – RWA flow statements of CCR exposures under Internal Model Method (IMM)

EU MR3 – VaR, stressed VaR, IRC on the regulatory scope (EU MR3)

EU MR4 – Comparison of VaR estimates with gains/losses

143 to 147

EU ORA – General qualitative data on operational risk management

Article 446 Article 454 Article 443 Article 443 Article 443 Article 443

EU OR1 – Capital requirements for operational risk and weighted exposure amounts

226 226 227 227 226 185 185 188 193 221 231 231 231 231 231 231

EU AE1 – Encumbered and non-encumbered assets EU AE2 – Collateral and own debt securities issued

EU AE3 – Sources of expenses on assets

EU AE4 – Additional information

Article 444 (a), (b) and (c)

EAD by rating source – Standardized approach (NX11 Bis)

Article 453 (d)

Guaranteed exposures by type and internal rating of guarantor (NX17)

3

Article 99 (5) and Article 415 (3)

Sovereign exposures (GOV)

Article 452 (j)

PD and LGD by geographic area (NX16) Banking book EAD by agency (NX33 BIS)

Article 449 (k)

Article 450 (1) (a), (b), (c), (d), (e), (f), (j) and (k) Article 450 (2) (a), (b), (c), (d), (e), (f), (j) and (k)

EU REMA – Compensation policy

Article 450 (1) (h) (i)-(ii)

EU REM1 – Compensation granted for the fiscal year

Article 450 (1) (h) (v)-(vii) Article 450 (1) (h) (iii)-(iv)

EU REM2 – Special payments to staff whose professional activities have a significant impact on the institution’s risk profile (identified staff)

EU REM3 – Deferred compensation

Article 450 (i)

EU REM4 – Compensation of EUR 1 million or more per fiscal year

Article 450(1) (g)

EU REM5 – Special payments to staff whose professional activities have a significant impact on the institution’s risk profile (identified staff)

233

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021