NATIXIS // 2021 Universal Registration Document

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

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 Retail – qualifying revolving

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

3.7% 7.7%

2.5 to < 5

5 to < 10 10.00 to < 100.00

10 to < 20 20 to < 30

30.00 to < 100.00 100.00 (default) 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 30.00 to < 100.00 100.00 (default) 0.00 to < 0.15 0.00 to < 0.10 0.0 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 2.5 to < 5 5 to < 10 10.00 to < 100.00 10 to < 20 20 to < 30 30.00 to < 100.00 100.00 (default) 2.5 to < 5 5 to < 10 10.00 to < 100.00 10 to < 20 20 to < 30

Retail – other SMEs

0.1% 0.3% 0.4% 0.3% 0.6% 1.1% 0.8% 1.4% 4.6% 3.6% 3.7%

11.7%

Retail – other non-SMEs

14.3%

14.3%

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021