NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Long-term funding In view of the anchoring of inflation at levels well above 2% in the second half of 2021 (CPI (United States Consumer Price Index) in December at 5% in the euro zone and at 7% in the United States), the discourse of Central Banks has changed: in November, Jerome Powell confirmed the Fed’s desire to accelerate the reduction of asset purchases (“tapering”). In Europe, the ECB decided to reduce asset purchases with the end of the PEPP (Pandemic Emergency Purchase Program) at the end of March 2022. These announcements led to an increase in long-term interest rates with a UST 10Y ending the year at 1.50% (up by +59 bps in 2021) and a BUND 10Y at -0.5% (+34 bps).

Liquidity was abundant throughout the year. Credit spreads generally tightened for non-financial corporate debt and were also on a downward trend, but to a lesser extent, for the preferred senior euro debt of euro zone banks. As part of the implementation in 2019 of TLTRO3 operations, the objectiveof which was to maintain favorable credit conditions in the euro zone, the ECB extended for one year (from June 2021 to 2022) the option offered to banks (subject to conditions) to refinance at a subsidized deposit rate 50 bps below the deposit facility. Against this market backdrop, Natixis raised €16.8 billion in funding in 2021 (of which €877 million in self-held securities) under its medium- and long-term funding program. As the only long-term issuer in the public issues segment, BPCE provided Natixis with financing for a total euro-equivalent amount of €4.6 billion.

3

Issues and outstandings of Natixis’ medium- and long-term debt issuance programs

(in millions of euros or euro equivalents)

EMTN

NEU MTN

US MTN Bond issues

Issues at 31/12/2021

4,546

0

0

7,392

Outstandings at 31/12/2021

13,889

143

94

12,576

Structural foreign exchange risk 3.2.8.3 (Data certified by the Statutory Auditors in accordance with IFRS 7) Targets and policy The policy of holding structural foreign exchange positions aims to They are obtained by converting capital EUR based in foreign desensitize the CET1 ratio to Fx rate changes. These positions, currencies when injecting it in foreign branches or subsidiaries, or by whose revaluation is accounted by OCI, make it possible to match accumulating abroad retained earnings denominated in foreign the CET1 in foreign currency with the RWAs in foreign currency. currencies.

Structural foreign exchange position

Structural change

Closing position (31/12/2021)

Opening position (31/12/2020)

Currency (equivalent in millions of euros)

USD DZD JPY GBP AUD CAD CNY HKD RUB Other

4,716

5,219

154

158

13

28

103 100

143 129 102

89 40 30 24 34

44 34 25 27

151

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021