NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Quantitative market risk measurement data 3.2.6.4 (Data certified by the Statutory Auditors in accordance with IFRS 7) Change in Natixis VaR

The VaR level for Natixis’ trading books averaged €6.5 million. It bottomed out at €3.9 million on September 3, 2021 and peaked at €14.1 million on January 29, 2021, standing at €6.3 million as of December 31, 2021.

The following chart shows the VaR trading history between December 31, 2020 and December 31, 2021 for the entire scope.

Overall Natixis VaR – Trading portfolio (1 day 99% VaR)

(in €M)

15

12

9

6

3

31/12/20 31/01/21 28/02/21 31/03/21 30/04/21 31/05/21 30/06/21 31/07/21 31/08/21 30/09/21 31/10/21 30/11/21 31/12/21

VaR NATIXIS Negociation

Breakdown of total trading VaR by scope

(Data certified by the Statutory Auditors in accordance with IFRS 7) The following table presents the key VaR figures – (99% VaR, 1 day):

(in millions of euros)

Natixis trading book Natixis

VaR as of 31/12/2021

6.3

of which:

6

Global Markets

Equity Markets Commodities Fixed Income

3.5 0.9 3.3 4.6 0.9

Global Securities Financing

Other run-off activities

As of December 31, 2021, the VaR by business was at a lower level than the previous year (€6.3 million compared with €9.3 million on December 31, 2020). This decrease is essentially linked to a return to normalcy in the markets following the COVID-19 health crisis, which had led to an increase in the shocks used in the calculation of VaR thperevious year.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021