NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Securitization vehicles 3.2.5.3 Natixis acts as sponsor in ABCP-type securitization transactions program, thus giving it power over the conduits’ relevant activities through three vehicles, namely Versailles, Bleachersand Magenta. Of and influence over the amount of their returns. In contrast, given that these vehicles, only two are consolidated in Natixis’ scope of Natixis is not part of the governing body holding the power to decide regulatory consolidation:Versailles and Bleachers. For both vehicles, on Magenta’s relevant activities, this conduit is not consolidated in Natixis plays a predominantrole in the selectionand managementof Natixis’ regulatory consolidation scope. acquired receivables as well as the management of the issuance Market risks 3.2.6 Objectives and policy 3.2.6.1

Market risk measurement 3.2.6.3 methodology (Data certified by the Statutory Auditors in accordance withIFRS 7) Natixis’ market risk management is based on a risk metrics model that measures the risks incurred by each entity of the Company. Different techniques are used to measure market risk. These measures enable identification of the risks incurred by the positions in the portfolio according to different shock waves: on a local basis, the sensitivity sets make it possible to identify V potential losses resulting from small movements in the underlying risk factors; with unstressed daily shocks, the VaR is used to estimate a V potential loss on the positions of the current portfolio to which the most significant shocks of the past rolling year are applied; with stressed daily shocks, the stressed VaR makes it possible to V estimate a potential loss on the positions of the current portfolio on which the most significant shocks of recent past rolling years are applied; with shocks of greater magnitude through shocks of three days V and ten consecutivedays, stress tests (specific and global) make it possible to estimate exceptional immediate potential losses. This set of risk measures is governed by a global monitoringsystem and responds to Natixis’ risk appetite, which is itself based on a system of specific limits. Allocation of positions in the trading book The bank’s financial assets and off-balance sheet products must be classified in one of the two portfolios defined by prudential regulations: the trading book or the banking book. A position that is not included in the trading book falls under the banking book. According to the regulations (Article 4 (1) (86) of the CRR), the trading book includes “all positions on financial instruments and commodities held by an institution for trading purposes or for the purpose of hedging positions already held for trading purposes, in accordance with Article 104. The allocation of transactions to the trading book is governed by a dedicated procedure, which is based in particular on the management intentions and liquidity of the instruments. This procedure applicable at Natixis level is part of the overall procedure established for Groupe BPCE. Reclassificationsof positions between banking and trading portfolios are exceptional, subject to authorization by the Natixis Prudential Committee and ultimately approved by BPCE’s ad hoc bodies. The operational classification of positions is carried out at the portfolio level and the management intention is defined in the risk mandates of each operator.

(Data certified by the Statutory Auditors in accordance with IFRS 7) The Risk division, via the Market Risk Department, places great importance on the formal definition of all risk policies governing market transactionsbased on both a qualitative and forward-looking analysis. This approach is mainly based on the strategic review of global risk budgets, business targets and market trends and relies on a proactive early warning system for the most sensitive areaast risk. These market risk policies focus on a set of methodological principles in terms of risk monitoring and supervision and provide a matrix approach to businesses by asset class and management strategy. Organization of market risk 3.2.6.2 management (Data certified by the Statutory Auditors in accordance with IFRS 7) Market risk control is based on a limit authorizationstructure that is overseenby the Global Risk Committeeand in which the Market Risk Committee, chaired by the Chief Executive Officer or the delegated representative, plays an essential role. The Risk division: defines the risk measurementmethods, standards and procedures V relating to market risks; examines annual limit reviews (including risk appetite) and ad hoc V requests for modifications (VaR, stress tests, operational indicators, loss alerts); raises alerts for areas at risk to the business lines or to Natixis’ V Senior Management; is responsible for the analysis and daily measurement of P&L V (economic, hypothetical and actual), the measurementof the risks incurred, the daily reporting of all these metrics, and the notification of any exceeding of the allocated limits to the Group front office and management; independently verifies prices and their adjustments in accordance V with regulations; determines the observability status of the parameters used in the V valuation of financial products in position; validates and oversees the valuation and risk measurement V models used by the front office in the management tools, as well as the models and methodologies relating to the bank’s internal model.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021