NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

above for all indicators except for the consumer price index. The consensus forecasts an increase in inflation which should continue in 2022 following the post-COVID-19 economic recovery and increasing pressure on prices. However, it should be noted that data on the consumer price index are not part of the parameters used by the IFRS 9 impairment models. In addition, although the economic outlook is improving, several European countries have again had to introduce lockdowns due to the emergence of a new variant. Taking into account both the improved outlook for the global economyand the current state of the economic recovery along with the accompanying uncertainty, Natixis has therefore decided to place significant weighting on the pessimistic scenario. Natixis therefore used the following scenario weightings for the calculation of provisions at December 31, 2021: pessimistic: 35% - central: 60% - optimistic: 5%. Probabilities of default (PD) are adjusted by sector based on an assessment of each sector’s rating over a 6- to 12-month period. The sector’s forward looking weighted average PD, determined by the transition matrix, is compared and adjusted to align with the PD equivalent to the sector’s expected rating. 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), i.e. for which there has been a material increase in credit risk since initial recognition, without this being sufficient for them to be classifiedas non-performingloans, are provisionedbased 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-performingloans based on an individual expected cash flow recovery analysis, whether these cash flows come from the counterparty’s activity or from the potential executionof 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. As at December 31, 2021, non-performingloans to clients amounted to €3,069 millionand were predominantlydistributedas follows: 29% for France, 23% for the rest of Europe, 12% for North America, 9% for Asia, and 11% for Central and Latin America. The ratio of Natixis’ non-performing loans to gross customer loan outstandings (excluding repurchase agreements) was 4.5% and the overall coverage rate of these non-performing loans was 35.5%. The increase in credit risk concerning 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. Uncertaintiesrelated to the health crisis (duration, scope, resurgence of the epidemic, emergence of new variants, etc.) make it difficult to forecast the impact of the crisis on the economy as well as on the countries or sectors of activity of Natixis’ counterparties. This could result in a substantial increase in losses and provisions, adversely affecting Natixis’ costof risk, its results and financial position.

A material increase in Natixis’ impairments or provisions for expected credit losses could adversely affect its net income and financial position. As part of its activities, and wherever necessary, Natixis recognizes provisions for non-performing loans, reflecting actual or potential losses in respect of its loan and receivables portfolio, under “Cost of risk” on its income statement. As of December 31,2021, Natixis’ cost of risk stood at -€181.3 million (of which -€12.7 million for Stages 1 and 2). Given the context of the COVID-19 pandemic, Natixis believes that the following six sectors in its portfolio are particularly vulnerable (1) oil/gas (4.1% of total exposure), air transport and aviation/defense (1.6% of total exposure), automotive (1.1% of total exposure), hotels/catering and tourism/leisure (0.4% of total exposure), specialized distribution (0.8% of total exposure) and communication/media (0.8% of total exposure). Since January 1, 2018, Natixis has applied IFRS 9 “Financial Instruments,” which requires provisions to be booked from the initial recognition of a financial instrument. This new provisioning model applies to outstandings recognized at amortized cost or at fair value through other comprehensive income recyclable to income and to loan and guarantee commitmentsgiven (excluding those recognized at fair value through profit or loss), as well as to lease receivables (see Note 5 “Accounting principles and valuation methods” to the consolidated financial statements for the fiscal year ended December 31, 2021 in Chapter [5.1] “Consolidated financial statements and notes” of the 2021 universal registrationdocument) . The highly uncertain environment created by the impacts of the health crisis on the global economy has required special attention since 2020 in order that forecasts can be made. In this context, Natixis thereforeused the various press releasespublishedby ESMA, the EBA, the ECB and the IASB to determineexpectedcredit losses in view of the COVID-19 crisis. In view of this, Natixis has revised its macroeconomic forecasts (forward looking) and adapted them to take into account the specific context of COVID-19 and the measures taken to support the economy. Natixis used three main scenarios to calculate the IFRS 9 provisioning parameters with projections for the year 2023: the central scenario was updated based on the scenarios V determined by its economistsand validatedby Natixis’ governance bodies in June 2021; a pessimistic scenario, corresponding to a deterioration of the V macroeconomic variables defined under the central scenario; an optimistic scenario, corresponding to a more favorable V outcome for the macroeconomic variables defined under the central scenario. This new scenario takes into account the improvement in various economic indicators (growth in GDP, decline in the unemployment rate) which reflect the economic recovery in France since May 2021. The situation in the United States is also better with a level of GDP growth similar to that of the end of 2019. Although the effects of the health crisis seemed to have faded in the last quarter of 2021, the US economic recovery was slower than expected and there were still some uncertainties about the evolution of the economic environment. The forecasts of the consensus forecast of November 2021 remain in line with the central scenario mentioned

Exposures determined based on Exposure At Default (EAD). (1)

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021