NATIXIS // 2021 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Given its nature, overall interest rate risk is a marginal risk for Natixis and calls for no special comments. The stress scenariosset by the EuropeanBankingAuthority (200 bps parallel upward or downward shift in yield curves, steepening, flattening, rise or fall in short rates with a progressive floor) would lead to a variation of -€101 million in the economic value of the

banking book (using the EBA’s currency offsetting rules) based on the upward yield curve scenario of December 31, 2021. The sensitivity of Natixis’ NIM to interest rate variations under various stress scenarios in 2021 was relatively stable. In the event of a parallel upward shift of +200 bps in the yield curves, the sensitivity was positive and represented less than 1% of CET1.

Breakdown of financial liabilities by contractual maturity 3.2.8.5 (Data certified by the Statutory Auditors in accordance with IFRS 7)

Breakdown of financial liabilities by contractual maturity

3

31/12/2021

Less than 1 month

6 months to 1 year

1 year to 2 years

2 years to 5 years

1 to 3 months

3 to 6 months

Over 5 years

Total Demand

Undated

(in billions of euros)

Due to central banks

0.0

0.0

Other financial liabilities held for trading purposes – excluding trading derivatives

126,1

17,0 17,0

51,8 51,2

17,4 17,4

2,9 1,7 0,0 0,0 2,5 0.0 0.0 2.5 0.0 0.0 9.4 1.2 1.1 0.0 9.7 0.0

4,8 0,3 0,0 -0,0 3,1 0.0 0.0 3.1 0.0 0.0 0.0 0.9 0.0 8.7 0.0 13.9

1,6 0,0 0,0 -0,0 5,0 0.0 0.0 4.9 0.0 0.0 0.0 0.1 0.0 0.3 0.3 62.9

2,5 0,0 0,0 0,0 9,3 0.0 0.0 9.3 0.0 0.0 0.0 0.3 0.0 0.8 0.5

3,5 0,1 0,0 0,0 2,5 0.0 0.0 2.4 0.0 0.0

24,6

o/w repurchase agreements

87,6

0,0 0,0 0,0 0,0 0.0 0.0 0.0

Secured debt Unsecured debt

0,0 0,0

0,0 0,0

0,0 0,0

0,0 0,0

Financial liabilities at fair value through profit or loss o/w repurchase agreements

25,3

0,0 0.0 0.0 0.0 0.0 0.0

1,1 0.0 0.0 1.0 0.0 0.0 3.1 5.9 0.0 5.9 0.0

1,8 0.0 0.0 1.8 0.0 0.0 6.2 1.7 3.6 0.2

0.0 0.0

Secured debt Unsecured debt

24.9 51.9

Trading derivatives Hedging derivatives Amounts due to credit institutions

51.9

0.3

0.3

136.3

9.4 0.0

20.8

12.3

1.4 -0.0

0.0 0.0 1.3 0.0 0.0 0.0

o/w repurchase agreements Amounts due to customers o/w repurchase agreements

6.0

35.4

20.7

1.4 0.0 1.0 0.3

0.8

0.6 0.0 0.0

Debt securities

38.8

12.4

o/w covered bonds

1.4

0.3

Revaluation adjustments on portfolios hedged against interest rate risk

0.1 4.4

0.0 0.0

0.0 0.0

0.0 0.0

0.0 0.0

0.0 1.1

0.0 0.4

0.0 1.4

0.0 1.4

0.1 0.1

Subordinated debt

TOTAL

418.6

47.0

85.5

41.4

25.5

32.6

70.3

26.6

11.3

78.3

The information contained in the above table excludes Insurance activities.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021