NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

At December 31, 2020, Natixis applied the methodology for impairmentsor provisions for expected credit losses as described in Note 5.3 of Chapter [5.1] “Financial data – Consolidated financial statements and notes” of this universal registration document, with adjustments in order to take into account the recommendations published by standard setters and supervisory authorities with respect to the health crisis. The health crisis has had a major impact on the economy, with significant repercussions on many business sectors. Due to the exceptional circumstances and uncertainties, Natixis relied on the various press releases published by ESMA, the EBA, the ECB and the IASB to determine the expected credit losses in the context of the COVID-19 crisis. With this in mind, Natixis has revised its macroeconomic forecasts (forward looking) and adapted them to take into account the specific context of COVID-19 and measures to support the economy. Natixis used three main scenarios to calculate IFRS 9 provisioning parameters with projections for the year 2023: -the base case scenario was updated based on scenarios determined by its economists and validated by Natixis' governance bodies in September 2020; -a pessimisticscenario, correspondingto a more deterioration in the macro-economicvariables defined in the framework of the base case scenario; -an optimistic scenario, corresponding to a more favorable development of the macro-economic variables defined in the framework of the base case scenario. Following the historic economic shock linked to the COVID-19 crisis in 2020, the base case scenario forecasts a strong recovery in GDP starting in 2021, gradually returning to a more usual trend in economic activity in subsequentyears. Economicactivitywill then recover its pre-crisis (2019) level in 2023. In addition, as part of the preparation of the 2021-2024 strategic plan, a new baseline scenario was developed. This new baseline scenario, validated by the authorities in December, is largely in line with the consensus forecast of November 2020. As regards the projections for financial variables used in the model for determining the transition matrix, the new baseline scenario and the consensus of November 2020 are identical. Given this proximity between the different sets of assumptions, IFRS 9 provisions for performing loans were therefore determinedon the basis of the scenarios validated in September, adjusted by the weightings validated in December 2020. The weightings of the scenarios used reflect the deterioration of several economic variables following the restrictive measures implementedbut also the positive impact on the financial markets of the vaccination-related announcements last November. The weightings applied are now 5% for the pessimistic scenario, 85% for the median scenario and 10% for the optimistic scenario. Probabilities of default (PD) are adjusted by sector based on an assessment of each sector’s rating over a 6-12-month period. The sector’s forward looking weighted average PD, determined by the transitionmatrix, is compared and adjusted to align with the PD that is equivalent to the sector’s expected rating. From a methodology standpoint, the sectoral adjustmentof probabilitiesof default, carried out on December 31, 2020, replaces changes to sector ratings as a criterion for monitoring the increase in risk (see below). Under this framework, performing loans (Stage 1), for which there has been no material increase in credit risk since initial recognition,

are provisioned for 12 months of expected losses. Underperforming loans (Stage 2), for which there has been a material increase in credit risk since initial recognition but not to the point of having to classify them as non-performing loans, are provisioned based on lifetime expected losses. Non-performing loans (Stage 3) are loans for which there is objective evidence of impairment loss. Natixis determines the provisions for non-performing loans based on an individual expected cash flow recovery analysis, whether these cash flows come from the counterparty’sactivity or from the potential execution of guarantees. Non-performingloans that are not impaired following the individual analysis are provisioned at a standard rate based on historical unexpected losses on unprovisioned loans. At December 31, 2020, non-performingloans to clients amounted to €3,596 millionand were predominantlydistributed as follows: 26.1% for France, 22.2% for the rest of Europe, 18.0% for North America, 9.4% for Asia, and 13.3% for Central and Latin America. Natixis’ non-performingloan ratio to gross outstandingcustomer was 5.52% and its coverage ratio for these non-performing loans was 32.6%. The increase in credit risk between S1 and S2 loans is measured against the following criteria: changes to counterparty ratings (for large corporates, banks and sovereigns loan books) since initial recognition; changes to probability of default within one year (for individual customer, professional customer, SME, public sector and social housing loan books) since initial recognition; placement on the watchlist; forborne status; the ratings of the country of the counterparty; and the existence of one or more contractsmore than 30 days past due. The uncertaintiessurrounding the health crisis (duration, magnitude, resurgence)have made it difficult to forecast the impact of the crisis on the economy, as well as on the countries and business sectors of Natixis’ counterparties. This could result in a substantial increase in losses and provisions, adverselyaffectingNatixis’ provision for credit losses, results and financial situation. Reduced or no liquidity of assets such as loans could it more difficult for Natixis to distribute or structure such assets and thus have a negative impact on Natixis’ results and financial position In accordance with the “originate to distribute” model, Natixis originatesor acquires certain assets with a view to distribute themat a later stage by way of syndication or securitization. Natixis’ origination activity is mainly focused on financing granted to large corporates as well as specialized financing. distribution mainly concerns banks and non-bank financial institutions. If there is less liquidity on the syndicationor securitizationmarkets in particular for these assets, or if Natixis is unable to sell or reduce its positions, Natixis may have to bear more credit risk and market risk associated with these assets for longer than anticipated. The lack of liquidity in the secondary markets for such assets may require Natixis to reduce its origination activities, which could impact revenues and could affect its relations with customers, which in turn could adversely affect its results and financial position. Furthermore, depending on market conditions, Natixis may have to recognize a value adjustment on assets that are likely to adversely affect its results.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020