NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

counterparty risk: the maximum exposure to any given V counterparty is set at 5% of assets under management, with exceptional exemptionsfor short-termexposures.At December 31, 2020, more than 95% of the bonds held by the group had a median rating equal to or higher than BBB- and no exposure rated CCC by at least one internationally recognized rating agency; liquidity risk: short-term exposure decreased slightly to 38.8% V (compared to 48% in 2019) of securities in the bond portfolio with

a maturity of less than three years as at December 31,2020 and an increase in securities with a maturity greater than five years (39.8% compared to 31.6% in 2019) due to the increase in maturities of the bond portfolio. The vast majority of the portfolio is listed on OECD markets and carries a liquidity risk that is currently considered as low. Level 2 controls on compliance with Coface’s investment policy are also carried out.

Exposure to sovereign risk (This information forms an integral part of the financiasltatements certified by the Statutory Auditors). Exposure to sovereign debt (Natixis Assurances and Coface) is presented in the following table as net carrying amount before application of the sharing mechanism between policyholders and insurers specifitco life insurance.

Exposure (in millions of euros)

31/12/2019

31/12/2020 (a)

Germany Austria Belgium

387

328 107

80

1,308

1,094

Spain

837 102

818 236

United States

France

8,730

9,057

Italy

618 660 190 117

955 679 199 122 111 100 102 592

Luxembourg

Portugal

Poland

Hong Kong Singapore

- -

Slovakia

102 290

Other countries

TOTAL

13,420

14,499

Excluding Coface exposure, consolidated by the equity method at December 31, 2020 (a)

Strategic risk 3.2.10.2 Strategy risks is defined as: the risk inherent to the strategy chosen; or V resulting from Natixis’ inability to implement its strategy. V Strategy risks are monitored by the Board of Directors, supported by its Strategic Committee, which examines the strategies guiding Natixis’ activities at least once a year. The Board of Directors also approves strategic investment projects and any transactions, particularly acquisitions and disposals, that are likely to significantly affect Natixis’ results, the structure of its balance sheet or its risk profile. Senior Management is in charge of defining and steering Natixis’ strategy, with assistance from the Senior Management Committee. The membership of these various bodies is presented in Chapter [2] of this universal registration document. The Internal Rules of the Board of Directors, including the procedure for calling meetings, can be found in Chapter [2] paragraph [2.3.1].

Climate risk 3.2.10.3 Pursuant to Article 173 of the energy transition act, as of the 2016 fiscal year Natixis is required to report on the risks linked to climate change and on its low-carbon strategy. The identification and management of risks linked to social and climate change are presented in Chapter [6] of this universal registration document. Environmental and social risks 3.2.10.4 The identification and management of these risks are presented in Chapter [6] of this universal registration document.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020