NATIXIS // 2021 Universal Registration Document

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

Weighted exposure amount after supple mentary factors

Offbalance sheet exposures before CCF

Exposures after CCF and after ARC

Average PD, weighted (%)

Average LGD, weighted (%)

Weighted average maturity (%)

Density of weighted exposure amount

Value

(in millions of euros) Cor porates – Other

Onbalance sheet exposures

Average weighted CCF

Amount of expected losses

adjust ment and provisions

Number of obligors

PD scale

0.00 to < 0.15 0.00 to < 0.10 0.10 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 0.75 to < 1.75 1.75 to < 2.50 2.50 to < 10.00 2.50 to < 5.00 5.00 to < 10.00 10.00 to < 100.00 10.00 to < 20.00 20.00 to < 30.00 30.00 to < 100.00 100.00 (default) Sub-total 0.00 to < 0.15 0.00 to < 0.10 0.10 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 0.75 to < 1.75 1.75 to < 2.50 2.50 to < 10.00 2.50 to < 5.00 5.00 to < 10.00 10.00 to < 100.00 10.00 to < 20.00 20.00 to < 30.00 30.00 to < 100.00 100.00 (default)

87

8

0.20%

89

2.19%

13

44.71%

2

110 123.99%

1

(1)

87

8

0.20%

89

2.19%

13

44.71%

2

110 123.99%

1

(1)

147

43

0.29%

160

4.63%

91

44.44%

2

232 145.14%

3

(1)

105

27

0.34%

114

3.54%

58

44.28%

2

154 135.10%

2

(1)

42

16

0.21%

45

7.38%

33

44.83%

2

77 170.48%

1

(0)

29

12

0.25%

31 12.58%

35

43.65%

2

67 212.36%

2

(0)

27

12

0.25%

30 11.73%

32

43.58%

2

63 209.73%

2

(0)

1

0

0.20%

1 24.77%

1

44.93%

2

2 260.75%

0

(0)

1

0

0.20%

1 31.07%

2

45.00%

2

3 263.46%

0

(0)

76

9

0.20% 0.26%

78 100.00% 357 25.48%

14

44.85%

2 2

35 41

(63) (65)

339

72

153 44.53%

408 114.24%

IRB-F

2

9

0.50%

7

0.05%

12

45.00%

2

2

21.37%

0

(0)

2

9

0.50%

7

0.05%

12

45.00%

2

2

21.37%

0

(0)

1

0.50%

1

0.20%

2

45.00%

2

0

49.65%

0

(0)

724

108

0.75%

805

0.38%

9

41.65%

2

483

59.99%

1

(4)

86

0.75%

64

0.60%

1

11.25%

2

13

20.03%

0

(0)

87

9

0.21%

89

2.19%

18

44.71%

2

110 124.04%

1

(1)

0

0.50%

0

1.48%

1

45.00%

2

0 140.20%

0

(0)

87

8

0.20%

89

2.19%

17

44.71%

2

110 124.01%

1

(1)

299

123

0.25%

329

4.43%

294

44.11%

2

411 124.65%

6

(2)

222

89

0.26%

246

3.55%

201

43.97%

2

289 117.48%

4

(2)

77

34

0.20%

84

7.01%

93

44.52%

2

122 145.71%

3

(1)

69

29

0.30%

77 13.97%

142

44.25%

2

143 184.81%

5

(1)

63

27

0.30%

71 12.22%

125

44.21%

2

130 183.68%

4

(1)

2

0

0.20%

2 24.77%

3

44.92%

2

4 222.38%

0

(0)

5

1

0.29%

5 35.64%

14

44.65%

2

9 188.80%

1

(0)

134

12

0.20%

137 100.00%

83

44.80%

2

61

(88)

TOTAL AS AT 31/12/2021

1,315

377

0.52% 1,509 11.10%

561 41.51%

2

1,161 76.95%

75

(96)

202

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021