NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Natixis regulatory stressed VaR

Natixis’ regulatory stressed VaR averaged €16.9 million. It bottomed out at €11.8 million on April 22, 2021 and peaked at €24.3 million on October 28, 2021, and stood at €18.1 million as of December 312,021. Change in regulatory VaR (99% VaR, 1 day) and stressed VaR (99% SVaR, 1 day):

(in €M)

25

20

15

10

5

0 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

Regulatory VaR

Regulatory sVaR

IRC indicator

This indicator covers the regulatory scope. Natixis’ IRC averaged €18.4 million, bottoming out at €12.3 million on December 27, 2021, with a peak of €36.6 million on June 25, 2021, and stood at €13.4 million on December 31, 2021.

(in €m)

40

35

30

25

20

15

10

5

0 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

IRC with Add-on

142

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021