NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

Risk factors 3.1

The main types of risk to which Natixis is exposed are presented below. At present, they are identified as material risks which, by Natixis’ estimations, could adversely affect the viability of its activities, and are generally measured in terms of the impact these risks could have on Natixis’ solvency ratio or net income. The risk factors presented below have been updated to reflect the impact of the COVID-19 health crisis. The risks to which Natixis is exposed across all its business lines may arise from several risk factors related to, among other things, macroeconomic and regulatory changes to its operating environment, or relating to implementingits strategy and conducting its business. Pursuant to Article 16 of Regulation (EU) 2017/1129, known as “Prospectus 3”, of June 14, 2017, whose provisions with respect to risk factors came into effect on July 21, 2019, the intrinsic risks of Natixis’ business are presented as six main categories: credit and counterparty risk; V financial risk; V non-financial risk; V strategic and business risk; V risk related to Insurance activities; V risk related to holding Natixis securities. V The presentation of the risk factors below is to be assessed based on the structure of Natixis on the filing date of the Universal Registration Document. On February 9, 2021, Groupe BPCE announced its intention to file a takeover bid for around 29.3% of the share capital of Natixis that it does not hold (based on the issued and fully paid-up share capital as of December 31, 2020) at a price of €4 per Natixis share (dividend attached). BPCE has announced its intention to implement a squeeze-out procedure for all the shares not held by it in the event that the minority shareholdersdo not hold more than 10% of the Company's share capital and voting rights following the offer. This proposed offer would be part of an ambitious industrial project for the development of Natixis' business lines and the simplification of its functional channels, which Groupe BPCE intends to review. On February 10, 2021, BPCE S.A. filed an information document (which includes, in particular, the projected timetable of the transaction) with the French Financial Markets Authority (Autorité des Marchés Financiers), which can be consulted at the following address: https://groupebpce.com/en/content/download/24062/file/Communi qu%C3%A9%20norm%C3%A9%20du%20d%C3%A9p%C3%B4t%20du %20projet%20de%20note%20d%27information%20-%20ENG.pdf

Credit and counterparty risk is one of the major risks identified by Natixis and represented 73% of total RWA at December 31, 2020. At 31/12/2020,therefore, Natixis’ exposureto credit and counterparty risk (Exposure at Default excl. CVA) totaled €277.7 billion, split primarily between companies (38%), banks and similar items (30%) and sovereigns (21%). At 47%, exposure to credit and counterparty risks was concentrated in France, followed by the rest of Europe (EU and non-EU) at 21%, North America at 17% and Asia at 8%. Should one or more of its counterparties fail to honor their contractual obligations, Natixis could suffer varying degrees of financial loss dependingon the concentrationof its exposure to said counterparties. Moreover, should the ratings of counterparties belonging to a single group or single business sector deteriorate significantly, or should a country’s economic situation were to worsen, Natixis’ credit risk exposure may be compounded. Natixis’ ability to carry out its financing, structuring, trading and settlement transactions also depends, among other factors, on the stability and financial soundness of other financial institutions and market participants. This is because financial institutions are closely interconnected, due in large part to their trading, clearing, counterpartyand financing operations.A default by one participant in the financial industry market could have repercussions on other financial institutions, cause a chain of defaults by other participants in this market,and therefore incur financial losses for Natixis. A material increase in Natixis’ impairments or provisions for expected credit losses could adversely affect its results and financial position As part of its activities, and wherevernecessary,Natixis recognizesin provisions for non-performing loans, reflecting actual or potential losses in respectof its loan and receivablesportfolio,under “Provision for credit losses” on its income statement. At December 31, 2020, Natixis’ provisionfor credit losseswas directly affectedby the effects of the COVID-19 health crisis and stood at -€851.3 million(of which -€166.8 millionfor Stage 1 and 2 provisions), reflecting the expected medium- and long-term deterioration of the economic outlook, despite massive government-back support measures. In the context of the COVID-19 pandemic, Natixis believe that the followingsix sectors in its portfolioare particularlyvulnerable:oil/gas (4.7% of total exposure), air transport and aviation/defense (3% of total exposure), automotive (1.4% of total exposure), hotels/catering and tourism/leisure(0.4% of total exposure), specialized distribution (1% of total exposure) and communication/media (0.8% of total exposure). Since January 1, 2018, Natixis applies IFRS 9 “Financial Instruments,” which requires raising provisions as of the initial recognition of a financial instrument. This new provisioning model applies to outstandings recognized at amortized cost or at fair value through other comprehensive income recyclable to income and to loan and guarantee commitments given (excluding those recognized at fair value through profit or loss), as well as to lease receivables. (See Note 5 “Accounting principles and valuation methods” to the consolidated financial statements for the fiscal year ended December 31, 2020 in Chapter [5.1] “Financial Statements” of this universal registration document.)

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Credit and counterparty risks

The concentration of credit and counterparty risk may compound Natixis’ exposure Natixis is exposed to credit and counterparty risk through its financing, structuring, trading and settlement activities that are performed in large part by its Corporate & Investment Banking (CIB) division.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

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