NATIXIS // 2021 Universal Registration Document

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

Table index 3.3.8

Universal Registration Document page

Subject

Title of table

EU LIB – Other qualitative information on the scope

163-164

Capital management and capital adequacy

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

164-165

EU LIA – Explanation of differences between accounting and regulatory exposure amounts EU LI3 – Summary of the differences between consolidation scopes (entity by entity)

164 166

168 to 171

EU CC1 – Composition of regulatory capital

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

172-173

175 175 176 176 179 179 180 182 183 184 184 185 186 186 187 187 188 188 189 189 190 190 191 191 192 192 193 193 202 202 212 212 213 215 216 216 217 218 218 219 220 220 221

EU CCyB2 – Amount of the institution-specific countercyclical capital buffer EU PV1 – Value adjustments for conservative valuation purposes (PVA)

EU INS1 – Insurance holdings

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

EU LRA – Publication of qualitative information on the leverage ratio EU LR2 – LRCom – Leverage ratio – common disclosure

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

Breakdown and changes in risk-weighted assets

EU OV1 – Overview of total risk-weighted asset exposures EAD by rating source – Standardized approach (NX11 Bis)

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

EU KM1 – Model for key indicators

EU CR3 – Overview of CRA Techniques: disclosure of the Use of Credit Risk Mitigation Techniques EU CR7 – IRB approach – Effect on RWEA of credit derivatives used as CRM techniques

Sovereign exposures (GOV) EU CR1-A – Exposure maturity

EU CQ1 – Credit quality of forborne exposures

EU CQ3 – Credit quality of performing and non-performing exposures by number of days past due EU CR1: performing and non-performing exposures and corresponding provisions

EU CR2 – changes in the stock of non-performing loans and advances EU CQ4 – Quality of non-performing exposures by geography

EU CQ5 – Credit quality of loans and advances granted to non-financial companies by industry EU CQ7 – Collateral obtained by taking possession and execution processes EU CRC – Requirements to publish qualitative information on CRA techniques EU CRD – Requirements to publish qualitative information on the standardized approach EU CR4 – Standardized approach – Credit risk exposure and Credit Risk Mitigation (CRM) effects

121 to 130 121 to 130

EU CR5 – Standardized approach PD and LGD by geographic area (NX16)

EU CR8 – RWA flow statements of CCR exposures under the IRB approach EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range

EU CR6-A – Scope of IRB and SA approaches

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

208 to 210 121 to 130

EU CR10 – Specialized lending and equities exposures using the simple risk-weighted asset method

EU CCRA – Qualitative disclosures related to counterparty credit risk EU CCR1 – Analysis of exposure using the CCR approach

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

EU CCR6 – Credit derivative exposures

EU CCR7 – Statements of RWEA flows relating to CCR exposures under the IMM (internal model method) EU CR7-A – IRB approach – Information to be published on the degree of use of CRM techniques

EU CCR8 – Exposures on a CCP

EU CCR2 – Transactions subject to capital requirement for CVA risk EU-SECA – Qualitative disclosure requirements for securitization exposures

Banking book EAD by agency (NX33 BIS)

EU-SEC1 – Securitization exposures in the non-trading book EU-SEC2 – Securitization exposures in the trading book

EU-SEC5 – Exposures securitized by the institution – Exposures in default and specific credit risk adjustments EU-SEC3 – Securitization exposures in the non-trading book and associated regulatory capital requirements – institution acting as an originator or as a sponsor

221

222

234

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021