NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk factors

Fiscal year 2021 did not see any major tensions in the liquidity market, following 2020, which was marked by a crisis of medium intensity, gradually absorbed by the massive intervention of central banks around the world (in particular the ECB and the FED). Since then, in the last quarter of 2021, central banks have announced their respective exit strategies and prospects for the support programs put in place in 2020 (notably LTRO – Long Term Funding Operation at the ECB and PEPP – Pandemic Emergency Purchase Program at the FED). The markets anticipate this gradual exit from regional support programs, which could generate tensions on the liquidity spreads of banking players in the coming months. However, during 2021, banking sector liquidity spreads remained within a stable range, at levels slightly higher than those observed before the crisis and well below the levels reached at the height of the crisis of 2020 (from February to June 2020). During the period covered, Natixis’ spread was very strongly correlated with that of its French banking peers. During the past year, the LCR column (Liquidity Coverage Ratio) has consistently risen above 100%. The same is true for the NSFR (Net Stable Funding Ratio), which entered into force in June 2021. In 2021, the Standard & Poor’s agency modified the rating assigned to Groupe BPCE, following a banking sector review covering the whole of continental Europe. BPCE’s rating has thus changed from an external rating of A+ with a negative outlook to A with a stable outlook. This change, which took place on June 24, 2021, did not have a substantial negative impact on the short- and long-term liquidity spreads of BPCE and Natixis. During this period, Moody’s confirmed the external rating assigned to Groupe BPCE on August 3, 2021. This rating remains unchanged at A1 stable outlook. Fitch confirmed its rating of A+ on October 27, 2021. This rating has remained unchanged since September 24, 2020. If Groupe BPCE’s credit ratings were to be downgraded by the main rating agencies, Groupe BPCE’s liquidity and, consequently, that of Natixis, as well as the corresponding cost of financing could be adversely affected or trigger additional obligationsunder its financial market contracts. Fluctuations in the fair value of securities held by Natixis, due to changes in issuer credit quality, may adversely affect Natixis’ shareholders’ equity and its capital adequacy On the regulatory front, this risk concerns Natixis-held securities in the banking book category that are designated at fair value, offsetting other comprehensive income (OCI). Natixis is mainly exposed to this risk through the debt instruments it holds as part of its liquid asset buffer. This risk manifests itself as a decrease in the value of financial assets resulting from changes to credit issuer quality for debt securities (CSRBB— credit spread risk in the banking book). For information, as of December 31, 2021, the risk of change in value calculated for the CSRBB on Natixis’ liquid asset buffer amounted to less than €300 million. During the COVID-19 health crisis, credit spreads reflecting the credit quality of issuers changed significantly. After rising sharply in early March, reflecting a deteriorated perception of the credit quality of issuers, credit spreads gradually tightened since the end of May, albeit without returning to their pre-crisis levels. Given the quality of assets held as part of its liquid asset buffers, the fair value variations of shares were mostly contained, and remained in compliance with the risk appetite Natixis set for itself for this kind of risk.

The emergence or resurgence of crises (particularly related to COVID-19) could lead to a further deterioration in credit spreads and, consequently, have a negative impact on Natixis’ equity and on its solvency. As of December 31, 2021, the credit risk of the securities held by Natixis aspart of the liquidity reserve had not changed significantly. The fair value of the derivatives portfolio includes valuation adjustments that may have an impact on Natixis’ net income and shareholders’ equity The fair value of Natixis’ derivatives is determined by factoring in certain additional adjustments including: the quality of the counterparty (Credit Value Adjustment or CVA) V by including in the valuation of derivatives, the credit risk corresponding to the risk of non-payment of the sums due by the associated counterparty; the risk of Natixis own credit spread (Debt Value Adjustment or V DVA) by including in the passive valuation of non-collateralizedor imperfectly collateralized derivative instruments, the credit risk borne by our counterparties on Natixis (i.e. the potential losses Natixis makes its counterparties run in the event of downgrading of its rating or default); the cost of liquidity (Funding Value Adjustment or FVA) by V including in the valuation of non-collateralized or imperfectly collateralized derivatives, the costs related to the financing or refinancing of margin calls and future initial margins associated with hedging derivatives which are collateralized. These additional adjustments recognized in the income statement have a direct impact on Natixis’ net banking income and shareholders’ equity. Furthermore, these additional adjustmentsmay change significantly and could affect the business and financial position and, consequently, have a significant negative impact on Natixis or on the fair value of its derivatives. For information, as of December 31, 2021, changes in CVA, DVA and FVA amounted to €25.7 million, -€4.1 million and -€16.1 millionr,espectively. Non-financial risks Should Natixis fail to comply with applicable laws and regulations, it could be exposed to heavy fines and other administrative and criminal sanctions likely to have a material adverse effect on its financial position, business and reputation Non-compliancerisk is defined as the risk of legal, administrativeor disciplinary sanctions, but also of financial loss or reputational damage, resulting from a failure to comply with the legislative and regulatory provisions, Codes of Conduct and standards of good practice specific to banking and insurance activities, whether national or international. The banking sector is subject to sectoral regulation, both in France and internationally, aimed in particular at regulating the financial markets and relations between investment service providers and clients or investors. These regulations have a major impact on Natixis’ operational processes. In addition, the banking sector is also subject to dedicated supervision by the competent French and supranational authorities.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021