NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

To the extent that the actual benefits paid by Natixis to policyholders are higher than the underlying assumptions used to establish the future policy benefit reserves, or if events or trends were to cause Natixis to change the underlying assumptions, Natixis may be exposed to greater-than-expected liabilities, which may adversely affect Natixis’ non-life Insurance business, personal protection insurance under its personal Insurance business, as well as on its results and financial position. During the COVID-19 pandemic, Natixis’ Insurance business was significantly impacted by the crisis and adapted by taking appropriate measures, aimed in particular at keeping the business running and remaining operational for its clients. The pandemic caused a downturn in sales activity. At €11 billion, revenue for the year 2020 was down by 15%. The closure of bank branches due to the first lockdown weighed on activity levels in the first half of the year, particularly savings activities. The results for the year 2020 were also marked by the economic consequences of the health crisis, in particular the decline in the equity markets. The latter was largely mitigated by the hedges put in place in the euro savings business in personal insurance, which was the most impacted by the market decline. During this crisis, Natixis Assurances is monitoringthe risks to which it is exposed, and especially market and credit risks. To this end, Natixis Assurances has increased the monitoring of its investments in non-life insurance: the claims expense decreased for the V automotivesector, due to reduced risk during the lockdownperiod. Conversely, a negative impact is expected in business interruption insurance. However, this activity is covered by reinsurance; personal insurance: in personal protection insurance, there was a V slight decline in death risk claims (main risk covered), while there was an observable increase in work cessation guarantees for professionals. Excluding non-recurring items, the gross operating income of the Insurance business therefore remained very resilient and delivered positive growth. In addition, the deterioration of the economic and financial environment - especially the drop in the equity markets and very low interest rate levels - also affected the solvencyof Natixis Assurances, negatively influencing future margins. Coverage of the Solvency Capital Requirement (SCR) was nevertheless maintained at December 31, 2020. The various actions taken over the last few years, particularly in terms of financial coverage, reinsurance, business diversification or management of investments, have contributed to the resilience of Natixis Assurances’ solvency. Nevertheless, to keep pace with growth and take advantage of supportive market conditions, Natixis Assurances issued €350 million in subordinated debt in October 2020, subscribed by Natixis (eligible for Tier 2 capital). which benefited from a share hedging strategy. In underwriting risk, the impacts remain contained:

Risks related to Insurance activities

At 2020, net revenues from the Insurance business line stood at €901 million, which represents 12% of Natixis’ net revenues. Insurance net revenues (excluding cross-business net revenues of €6 million) was split between personal insurance for €565 million and non-life insurance for €330 million. A deterioration in market conditions, and specifically excessive up and down movements in interest rates, could have a material adverse impact on Natixis’ personal Insurance business and its income The main risk to which Natixis’ Insurance affiliates are exposed in their personal Insurance business is market risk. Exposure to market risk was mostly attributable to capital guarantees in the euro-denominated fund scope for savings products. Interest rate risk is one such market risk and is structurally significant for Natixis as its general funds consist primarily of bonds. Fluctuations in interest rates may: in the case of higher rates, reduce the competitiveness of the V euro-denominated offer (by making new investments more attractive) and cause waves of redemptions on unfavorable terms with unrealized capital losses on outstanding bonds; in the case of lower rates, in the long term make the return on the V general funds too low to meet their capital guarantees. Due to the allocation of the general funds, widening spreads and a decline in the equity markets could also have a material adverse impact on the results of Natixis’ personal Insurance business. A mismatch between the insurer’s expected claims expense and the actual benefits paid out by Natixis to policyholders could have a material adverse impact on its non-life insurance, personal protection insurance under its personal Insurance business, as well as on its results and financial position The main risk to which Natixis’ Insurance affiliates are exposed in their activities is underwriting risk. This risk results from a mismatch between, first, the claims actually incurred and the benefits actually paid as compensation for these claims and, second, from the assumptions that the affiliates use to price their insurance products and to establish technical reserves for potential compensation. Natixis uses both its own experience and industry data to develop estimates of future policy benefits, including information used to price the insurance products and establish the related actuarial liabilities. However, there is no guarantee that actual experience will match these estimates, and expected risks, such as pandemics and natural disasters, could result in higher-than-expected pay-outs to policyholders.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

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