NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

Over the full-year 2020, the effects, mainly market-related, of the COVID-19 crisis impacted Natixis’ net banking income, cost of risk and CET1 ratio. The crisis had an estimated impact of around -€283 million on the net banking income of Natixis Corporate & Investment Banking, due to dividend markdowns following announcements of their cancellation for 2019 by companiesand the strong movements on future dividend curves that followed. Other items also negatively impacted the net banking income of Natixis' business lines during the first quarter of 2020 (and in some cases also during the second quarter of 2020), before recovering over the rest of the year. These include the CVA/DVA impacts related to the widening of credit spreads on Corporate& InvestmentBanking (-€55 million in Q1 2020 and +€16 million over the full year), FVA impacts (increase in financing costs relating to financial instruments) on the non-divisional scope (-€71 million in Q1 2020 and +€10 million over the full year), and the impact of the markdown of portfolio seed money (listed and unlisted) on Asset and Wealth Management (-€48 million in H1 2020 and +€30 million over the full year). Another impact of the crisis on Natixis’ income statement was the increase in provision for credit losses, predominantlyon account of a rise in IFRS 9 provisions and individual provisions concentrated in the energy and natural resources sector, and more specifically in oil and gas. Of the €851 million recognized for credit loss provisions over the first nine months of 2020, nearly €610 million can be considered as attributable to the circumstances created by the development of COVID-19. In accordance with IFRS 9, the provisioninglevels for Stage 1 and Stage 2 assets (performingloans) have been revised to take into account the specific context of COVID-19 and measures to support the economy. Natixis' internal models are based on parametersthat have been adapted to take into account the specific context of COVID-19 and measures to support the economy. Natixis' base case scenario was updated based on scenarios determined by its economists and validated by Natixis' governance bodies in September 2020. This base case scenario provides for a strong recovery in GDP from 2021, gradually returning to a more usual trend in economic activity in subsequent years. Economic activity will then recover its pre-crisis (2019) level in 2023. The central scenario was supplementedwith an optimistic scenario and a pessimistic scenario.With regards to individual provisions, oil price tensions combined with the shock in demand due to the economic slowdown linked to COVID-19, particularly in Asia, indirectly increased individual provisions for credit losses and numerous cases of fraud. Lastly, in terms of solvency, the crisis had an impact of around -45 bps on Natixis' CET1 ratio, explained by the increase in RWAs for an amount of around €4.0 billion, particularly in Corporate & Investment Banking due to drawdowns and new lines of credit (€1.7 billion in gross operating figures), the granting of State-guaranteed loans (€0.4 billion in gross operating figures) and market effects, in particular related to the calculationmethods of regulatory VaR (€1.9 billion). Other items also had a negative impact on Natixis' solvency ratios during the first quarter of 2020, before recovering during the rest of the year. These include the decrease in CET1 equity due to the decrease in OCI reserves and the increase in the deduction made in respect of Prudent Value (-€507million in Q1 2020 and +€275million for the full year for these two items) and the increase in RWA CVA (+€0.5 billion in Q1 2020, recovered in Q2 2020 and Q3 2020 before increasing again in Q4 2020).

Natixis' financial performance could be lower than market expectations. The market value of its securities could be adversely affected As the “New Dimension” plan was completed on December 31, 2020 and the presentation of a new medium-term strategic plan for Natixis' business lines may only be implemented during 2021, no financial targets have for the time being been communicated by Natixis to the market for the year 2021 and beyond. However, when the fourth quarter of 2020 results were announced on February 9, 2021, Natixis conducted a sensitivity test on the cost of risk. It indicated a decrease of around 6% in France’s GDP in 2021 and severe assumptionsconcerning Natixis’ sectors of expertise: oil price of $45 per barrel and significant discountson the price of real assets (around 45% for aircraft and around 20-25% for real estate, for example). In this scenario, in fiscal year 2021, provisions for credit losses could be between 70 and 90 bps, i.e. still above the guidance given for through-the-cycle provisions for credit losses. Until the presentationof the next medium-termobjectives, the market value of Natixis shares could be adversely affected by financial performance below market expectations (consensus), in particular with regard to the aforementioned cost of risk sensitivity. Natixis’ risk management system, which is based on the use of models, may fail and expose Natixis to unidentified or unforeseen risks, and could result in major losses Risk management techniques which often use models may prove inadequate for certain types of risks. Certain rating or VaR measurement models (as defined in section 3.2.5.3) that Natixis uses to manage its risks are based on observed historical market behavior. To quantify its risk exposure, Natixis then conducts a primarily statistical analysis of these observations (see section 3.2.5.4 of this universal registration document for a detailed description of the risk management system) . The measurement metrics and tools used may provide inaccurate conclusions on future risk exposures,mainly because of factors that Natixismay not have anticipated or correctly assessed or taken into account in its statistical models, or because of unexpected and unprecedented market trends that could reduce its ability to manage its risks. Consequently, the losses borne by Natixis could prove far greater than those forecast using historical averages. Moreover, Natixis’ quantitativemodels do not incorporateall risks. For instance, part of the VaR measurement model is designed on the basis of positive interest-rate environment assumptions. In early 2016, because the interest rate environment for interest rate derivatives was negative, stressed VaR was overestimated by €5 million.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020