NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

VaR breakdown by risk factors and netting effect

The breakdown of the VaR by risk factor provides a picture otfhe monthly contribution of the main risks and the nettingeffects in terms of VaR.

(in €M)

25 20

15 10 5 0 -5 -10 31/12/20 29/01/21 26/02/21 31/03/21 30/04/21 31/05/21 30/06/21 30/07/21 31/08/21 30/09/21 29/10/21 29/11/21 31/12/21

3

Credit Commodities Compensation effects

Equity Rates Foreign exchange

VaR MC

The VaR peak observed in January is explained in particular by the increase in VaR on the scopes mainly composed of equities due to the high volatility of the markets in the context of the COVID-19 crisis.

In February, the VaR began to fall and will remain at a relatively low level due to econometrics no longer including shocks related to the COVID-19 crisis that occurred in early 2020.

Natixis backtesting for regulatory scope

The following chart shows the results of backtesting (ex post comparison of potential losses, as calculated ex-ante by VaR (99%, 1 day), with hypothetical and actual P&L impacts) on the regulatorsycope, andcan be used to verify the solidity of the VaR indicator.

(in €M)

30 25 20 15 10 5 0 -5

-10 -15 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 P&L Actual Regulatory BT P&L Hypothetical Regulatory BT Daily VaR (+/-)

In 2021, four actual backtesting exceptions and two hypothetical backtesting events were noted at the Natixis regulatory level. Four real backtesting exceptions were recorded in 2021, on April 29, then on October 14, 20 and 28. They result, on the one hand, from fair value adjustmentswhich are calculated on an ad hoc basis

and which can thus generate significant impacts in terms of PnL, and, on the other hand, losses from the significant market movements observed in rates in October. The two hypothetical backtesting events were recorded on October 27 and 28.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021