NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Spread risk is the risk of an increase in the cost of funding in the event of a liquidity crisis, given fixed-margin long-term assets, or when forced to reinvest long-term funds at higher rates relative to available assets. Structural foreign exchange risk Structural foreign exchange risk is defined as the risk of transferable equity loss generated by an unfavorable fluctuation in exchange rates against the currency used in the consolidatedaccounts due to a mismatch between the currency of net investments (refinanced by purchases of the same currency) and the currency of equity. Natixis’ structural foreign exchange risk for the most part concerns structural positions in the US dollar due to the consolidation of foreign branches and subsidiaries funded in this currency. Other risks Insurance business-related risk is the risk to profits of any difference between expected and incurred claims. Depending on the insurance product in question, the risk varies according to macroeconomic changes, changes in customer behavior, changes in public healthcare policy, pandemics, accidents and natural disasters (such as earthquakes, industrial accidents or acts of terrorism or war). Strategic risk is the risk inherent to the strategy chosen or resulting from Natixis’ inability to implement its strategy. Climate risk is the increased vulnerabilityof businesses to variations in climate indices (temperature, rainfall, wind, snow, etc.). It may be physical in nature (increase in extreme weather events) or related to environmental transition (new carbon regulations). Environmental and social risks arise from the operations of the clients and companies in which Natixis invests. Stress tests 3.2.3.8 Natixis has developed a comprehensive stress test mechanism to dynamically monitor and manage risks. The set is an integral part of the risk and financial management system and contributes to Natixis’ capital and regulatory requirements planning process. Natixis’ stress test mechanism is structured as follows: comprehensive internal and external exercises; V

They are converted into levels or shocks to economic and financial variables, such as GDP, inflation, employment and unemployment, interest and exchange rates, main stock market indice levels, and commodity prices, over a three-year period. These variables are factored into projectionmodels used by Natixis to apply stress to the various aggregates on the income statement, risk-weighted assets and equity. The baseline scenario’s trajectory is derived frommarket consensus, forwards and futures. For the overall internal stress test carried out in 2021, the context has favored maintaining the scenarios used in 2020. Despite the emergence of vaccines, the resurgence of variants and the extent of the health crisis in certain geographical areas have favored the maintenance of a scenario focused on the health crisis. In addition, government support with massive recourse to debt also presented a potential risk of a sovereign crisis in 2021. The first adverse scenario is characterized by a resurgence of the COVID pandemic in the first part of 2022 (resistance to the vaccine), with a counterpart of a very marked loss of activity due to containmentmeasuresbut with differentiatedeffects on sectors due to learning effects. The second adverse scenario simulates a crisis of confidence in the European Union in 2022, with the return of the fear of refusing to pool debts, particularly in connection with the debt related to COVID-19. An opposite scenario, used for the reverse stress test, is constructed from the sensitivity observed on the various components of Natixis in order to achieve a predefined target for the CET1 ratio. The narrativeof this scenario is a version quite similar to the adverse EBA 2021 scenario, based on an extended scenario of COVID-19 due to the rather slow start of the vaccination campaign and the rapid spread of the delta variant (more contagious and more virulent) in a “lower for longer” interest rate environment. These projections are based on internal models, based on the sensitivities and trends observed in financial and economicvariables, or on internal historical data. The results of the stress tests were approved by the Senior Management Committee and presented to the Risk Committee of the Board of Directors. They have been analyzed as part of the process of calculating Natixis’ solvency trajectory. This impact was measured in terms of net income (Group share), net banking income and Common Equity Tier 1. These tests help evaluate the areas where Natixis shows vulnerability or weakness and contribute to the establishment of adaptive or remedial measures. In addition, in 2021, an assessment was prepared as part of the 2021-2024 strategic plan with a central scenario based on the latest IMF forecasts and an update of the adverse scenario built for the 2021 internal stress exercise. These trajectories were examined by the Senior Management Committee. Regulatory stress tests Regulatorystress tests correspondto ad hoc requests from the ECB, the EBA, and any other supervisor. The last regulatory exercise was carried out in the first half-year 2021 based on the methodologies published by the EBA on behalf of the ECB. Natixis contributed to the exercise conducted for Groupe BPCE’s scope.

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periodic regulatory exercises; V specific exercises by scope. V Comprehensive internal stress tests

The purpose of comprehensive internal stress tests is to assess the impact of a baseline economic scenario and of stressed economic scenarios on a bank’s income statement, risk-weighted assets and equity. The scenarios proposed by the Economic Research team are discussed and approved at a Groupe BPCE Executive Management Committee Meeting and presented at a Natixis Senior Management Committee Meeting.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021