NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Securitization transactions 3.2.5 General policy 3.2.5.1 (Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis offers its clients a securitization offering with the aim of accessing financing at attractive conditions, diversifying sources of financing, and improving balance sheet structure and ratios. This offer may include different services that can be performedalone or in combination: transaction arrangement, market placement, temporary back-to-back financing (warehousing), an interest rate derivative entered into with a securitization vehicle. It is supplemented by a limited market-making activity in ABSs (Asset-Backed Securities) and CLOs (Corporate Loan-backed Obligations), which mainly concerns senior-level exposures, and which provides the expertise required to successfullyplace securities with investors and drive the market for its clients. This offer is provided on the three platformswhere this business line is present: Europe, the United States and Asia. The customers who subscribe can be of different types: banks, specialized credit institutions (credit card issuer, consumer financing, etc.), credit or private equity funds, insurance companies, asset managers, etc. Although the portfolios on which these transactions are carried out are mostly homogeneous, the types of assets can be varied, for example: commercial receivables; V lease receivables; V residential or commercial mortgages; V business loans; V consumer loans or outstanding credit cards. V Natixis also carries out this activity on its own behalf as part of its funding and risk management. When carrying out this activity, Natixis may be involved in different roles: either as an investor via a financing and/or interest rate derivative V transaction for a client, or via the ABSs and CLOs market-making activity that it carries out. In the investor role, Natixis pursues a strategy of diversification both in terms of geography and the types of underlying assets and sectors; as a sponsor, i.e. on transactions for its clients to create and V manage ABS programs; as an originator, as part of its funding activities or through V synthetic securitization (whose objective is to transfer part of the credit risk of a portfolio of receivables to investors). This activity is conducted under Natixis’ general “Originate-to-Distribute” strategy. Asset-backed financing by securitization granted by Natixis to a client is generally for a limited period with the intention of being refinanced through a market transaction. The risk positions carried are not classified as “re-securitisations”. All customer financing projects by securitization follow the Natixis credit decision-makingprocess. Three criteria are used: amount, maturity and credit quality (including the rating [external if available]).

Each structured arrangement submitted for decision must include a reasoned request as well as a description of the arrangement, the collateral, the assignor/originator, the capital structure of the planned securitization (tranching) as well as an analysis of the associated protections and the various stress tests in accordance with regulations. Securitization assets outside the trading book are subject to approval by the credit committees. A counter-analysis is then carried out by the Risk division and, if necessary, a quantitative analysis of the portfolio’s default risks. Transactions are examined, and decisions are made based on all the loan application’s parameters, including the expected profit margin on the loan, the capital burn and compliance with the current risk policy. Like vanilla finance transactions, securitization structures and transactions are reviewed at least once a year, while transactionson the watchlist are re-examined at least once a quarter. Natixis manages the risks associated with securitization positions through two mechanisms: the first involves the daily identification of all rating downgrades V (where applicable)affectingNatixis’ securitizationpositions as well as the associated potential risks and, if necessary, deciding on an appropriate course of action; the second is based on the analysis of securitization positions V according to quantitative (resistance to portfolio downgrades and credit quality, rating if available, valuation) and qualitative criteria (analysis). Market risk in the banking book: This is small, as exposures are matched in currency and rates. Liquidity risk of banking book assets: Securitization positions are financed internally by Group treasury or via conduits sponsored by Natixis. With regard to activities recognized in the trading book, Natixis may hold securitization positions (secondary market), resulting from purchase and sale transactions with its clients. The activity is governed by a Volcker manual as well as a limit mandate, which specifies the types of risks borne, as well as their holding procedures. Natixis does not use the IAA (Basel Internal Assessment Approach) on its securitization positions. Rating system 3.2.5.2 (Data certifiedby the Statutory Auditors in accordance with IFRS 7) Natixis uses the SEC-IRBA, SEC-SA and SEC-ERBA methods, depending on the case, and chooses the appropriate category while respecting the hierarchy of methods. Natixis relies on four external credit rating agencies, among others, for securitization transactions: Moody’s, DBRS (Dominion Bond Rating Service), Fitch-IBCA and Standard & Poor’s.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021