NATIXIS // 2021 Universal Registration Document

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

Scope of NA and SA approaches (EU CR6-A)

Percentage of total exposure

Total exposure at default of exposures under standardized and IRB approaches

Percentage of total exposure

Exposure at default within the meaning of Article 166 of the CRR for IRB exposures

at default subject to permanent partial use of SA (%)

Percentage of total exposure at default subject to IRB approach (%)

at default subject to deployment plan (%)

(in millions of euros)

74,102

82,962

9.99%

90.01%

1 Governments or central banks 1,1 o/w regional or local authorities 1,2 Of which Public sector entities

530

100.00% 100.00% 68.48%

1,586

2 Institutions 3 Corporates

124,920 156,680

168,609 124,718

9.45% 0.22%

22.07% 96.78% 100.00%

3.00%

3,1 Of which Corporate – Specialized Financing, excluding referral approach 3,2 Including corporates – specialized lending as part of the referencing approach 4 Retail

24,091

3

1,585

1,453

100.00% 100.00% 100.00%

4,1 o/w Retail customers – secured by SMEs real estate 4,2 o/w Retail – secured by non-SMEs real estate

183 111

4,3 o/w Retail- Qualifying revolving exposures 4,4 o/w Retail- Other SMEs

273 886

100.00% 100.00%

4,5 o/w Retail – other non-SMEs

5 Equity

5,890 6,235

5,890 6,235

100.00%

6 Other assets not corresponding to credit obligations

99.45% 34.66%

0.55% 4.17%

7 TOTAL AS AT 31/12/2021

369,414

389,868

61.17%

Internal rating – Post-control of PD by exposure category (fixed PD scale) (EU CR9)

Equity advanced

Number of obligors at the end of the previous year

o/w number of obligors

Average annual historic default rate observed (%)

Average default rate observed (%)

Average weighted PD (%)

who defaulted during the year

Average PD (%)

PD scale

Exposure classes

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 < 2.5 2.50 to < 10.00

47 47

Governments or central banks

3 2

0.1% 0.0%

0.2% 0.4%

0.0%

0.0% 0.1% 0.2%

10 10

3.2% 3.2%

2.5 to < 5

5 to < 10 10.00 to < 100.00

6

2.8%

23.8%

4.6%

10 to < 20 20 to < 30

6

4.1%

23.8%

4.6%

30.00 to < 100.00 100.00 (default)

7

12.6%

100.0%

203

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021