NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

markets for several market and hedging products in which Natixis operates. In particular, market volatility can make it difficult to manage the portfolios of Natixis activities, particularly those exposed to strong fluctuations in share prices and interest rates to which Natixis is particularly exposed. Thus, taking the example of the COVID-19 health crisis in 2020, there were adverse impacts on Natixis business lines as well as on the Asset Management business dealing with equity risk factor-sensitive products related to: the sharp increase in equity volatility, which negatively affected the V valuation of equity-indexed options; the sharp decline or cancelation of dividend distributions V announced at the General Shareholders’ Meetings of large companies, combined with the steep drop in forecasts, which had a negative impact on equity products; the deteriorationof the financial markets with the fall in the equity V markets, which had a negative impact on the value of Natixis Investment Managers’ seed money portfolio, the effect of which was mitigated by the overlay implemented as part of the portfolio hedging; the impact of the health crisis on the real economy, which V generated declines in the valuation of real assets in the fields of Real Estate and Private Equity and which had a negative impact on Natixis Investment Managers’ sponsorship portfolio. In order to limit the potential impacts in the event of a sharp fall in equities, Natixis has implemented extreme risk hedging strategies since January 2021. In addition, in 2021, unfavorable impacts were also noted in connection with the rate effect. Indeed, the anticipation of increases in key interest rates by the main central banks (FED, ECB, Bank of England) and the reduction in quantitative easing operations (massive intervention of asset purchases by the central bank) to control the risks of long-term inflation, caused strong movements in short-term rates and their implicit volatilities. Although there was no major impact on the portfolios exposed to interest rate risk at Natixis, this was reflected in the month of October 2021 by: a strong upwardmovement in short-termrates of around 0.25% on V the two-year EUR rates with no impact on long-term rates (“Bear Flattening”) accompanied by an increase in volatility of 50 basis points; a significant retracement of these increases following the V accommodating speeches of the central bankers to reassure market operators. It should be noted that the market risk of the Corporate& Investment Banking business line (including CVA) made up 12% of Natixis’ total RWA as at December 31, 2021. Natixis’ access to certain financing could be adversely affected in the event of a financial crisis or a downgrade of its credit rating and that of Groupe BPCE Since 2011, Natixis’ funding structure has relied on a joint funding platform between Natixis and BPCE. Natixis secures of its medium and long-term funding for its vanilla, public and private, senior and subordinate subfund emissions from Groupe BPCE via the intermediary of BPCE S.A. Natixis remains Groupe BPCE’s medium and long-term issuer for structured private funding operations.

Reduced or no liquidity of assets such as loans could make it more difficult for Natixis to distribute or structure such assets and thus have a negative impact on Natixis’ results and financial position In accordance with the “originate to distribute” model, Natixis originatesor acquires certain assets with a view to distribute themat a later stage by way of syndication or securitization. Natixis’ origination activity is mainly focused on financing granted to large corporates as well as on specialized and acquisition financing. Distribution mainly concerns banks and non-bank financial institutions. Natixis thus also grants various forms of bridge financing to securitization vehicles (SPVs). This financing enables each SPV to build up a temporary portfolio of financial assets (generally loans) during the warehousing phase. At the close of the transaction, the SPV raises capital by issuing securities subscribed by investors and allocates the proceeds to the repayment of the warehousing credit facility. The outcome of this financing is subject to both the good credit performance of the provisional portfolio and the appetite of investors for this type of product (CLO – Collateralized Loan Obligations, RMBS – Residential Mortgage-Backed Securities, in particular). If there is less liquidity on the syndicationor securitizationmarkets in particular for these aforementionnedassets, or if Natixis is unable to sell or reduce its positions, Natixis may have to bear more credit risk and market risk associated with these assets for longer than anticipated. The lack of liquidity in the secondary markets for such assets may require Natixis to reduce its origination activities, which could impact revenues and could affect its relations with customers, which in turn could adversely affect its results and financial position. Furthermore, depending on market conditions, Natixis may have to recognize a value adjustment on these assets that are likely to adversely affect its results. Financial risks A deterioration in the financial markets could generate significant losses in Natixis’ capital market activities As part of its Capital Markets activities and to meet the needs of its clients, Natixis operates on the financial markets – namely the debt, forex, commodity and equity markets. In recent years, the financial markets have fluctuated significantly in a sometimes exceptionally volatile environment which could recur and potentially result in significant losses for capital market activities. This was notably the case during the first half of 2020 due to the health crisis. Fiscal year 2021 was marked by excellent market performance with equity markets once again above their pre-COVID-19crisis levels, credit spread levels that returned to levels lower than the situationprior to the COVID-19crisis and relatively low levels of volatility. If the situation were to deteriorate again following, for example, a resumption of the health crisis or due to less effective vaccines in the face of new variants or for any other reason related to the geopolitical context of changes in the macroeconomicand financial environment, losses could be recorded due to the high volatility of

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021