NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Basel 3 RWA by main Natixis business line (NX02)

Basel 3 RWA at 31/12/2020

Credit (a)

MarkeT (b)

Total

Operational

Division (in millions of euros)

69,206 14,192

50,875

12,265

6,066 4,483

Corporate & Investment Banking (c) Asset & Wealth Management

9,528 8,824

181

Insurance Payments

8,824 1,128 9,881 1,754

343

785

Corporate Center

5,262 1,754

2,965

1,654

Coface

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

104,985 98,989

76,585 72,684

15,412 12,573

12,988 13,733

Including counterparty risk. (a) Including €6 million in settlement-delivery risk and €2,284 million in CVA RWA. (b) Including Treasury & Collateral Management. (c)

Capital planning 3.3.1.5 Capital planning consists of determining Natixis’ target capital adequacy level, continually ensuring compliance with regulatory capital requirements in all compartments and capital adequacy in line with the risk appetite defined by the institution, and adapting capital allocation and measurement of business line profitability accordingly. Accordingly,under the New Dimensionstrategicplan, the fully loaded CET1 ratio beat its 11.0% target by end-2020 by reaching 11.2% at the plan’s completion. The full CET1 ratio of 11.6 % as of December 31, 2020 is above this target. The capital planning system adapts all processes with the aim of ultimately meeting the requirements of the supervisory authorities, shareholders and investors: continuously maintaining the targets set in terms of capital V adequacy; developing an internal approach for measuring capital V requirements (normative and economic) and overseeing Natixis’ resilience under stress scenarios (ICAAP); projecting capital requirements specific to business line activity, V within the framework of Natixis’ overall capital adequacpyolicy;

anticipating regulatory changes and their impact on Natixis’ V various business lines; implementing a system for analyzing the capital consumption of V the businesses and their profitability on the basis of Basel 3/CRR risk-weighted assets; allocating capital to the business lines, within the framework of V strategic plan and annual budget procedures, taking into account business requirements, profitability and balance between the core business divisions. Outlook Capital planning today serves to pre-empts short- to medium-term changes: the entry into force of the new CRR2/CRD5 package, and the implementationof the new BRRD2/SRMR2resolution provisions as part of the SRB policies. Together with Groupe BPCE as a whole, Natixis contributes to collectingdetailed information on liabilities, as required by the SRB in 2018. The mechanisms for monitoring and anticipating this new ratio have yet to be defined, in conjunction with Groupe BPCE.

Other regulatory ratios 3.3.2 Leverage ratio 3.3.2.1 The Basel Committee has set up a system for managing leverage account have only been used since September 30, 2016, in risk. The system was included in the CRR, defining leverage as being accordance with the implementation deadlines.

equal to Tier 1 capital divided by on-balance sheet exposures (after certain restatements, notably on derivatives and repurchase agreements) and off-balance sheet exposures (after applying balance sheet equivalent conversion factors). The CRR was amended by a Delegated Act, which entered into force on March 31, 2015. The reporting templates that take those amendments into

Under Pillar II, the leverage ratio must be calculated and reported to the supervisor as of January 1, 2014. Its publication is mandatory as of January 1, 2015. Natixis calculates and publishes its leverage ratio (according to the rules set out in the Delegated Act) and to implement the actions needed toconverge towards the target ratio under consideration.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020