NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Other risks 3.2.11 Risks related to Insurance activities 3.2.11.1 Natixis Assurances Natixis Assurances is the Insurance division of Natixis and is structured into two business lines: the Personal Insurance business, focused on developingportfolios V of life insurance and endowment policies for investment and retirement purposes, as well as personal protection insurance portfolios; the Non-life Insurance business, focused on developing portfolios V for auto and Multi-Risk Homeowners’ insurance, personal accident insurance, legal protection, healthcare and property and casualty insurance. Given the predominance of the Investment Solutions activity, the main risks to which Natixis Assurances is exposed are financial. The Company is also exposed to underwriting risks (for both Life and Non-life Insurance), as well as counterparty risk. Market risk Market risk is in large part borne by the subsidiary BPCE Vie on the financial assets that underpin its commitments with guaranteed principal and returns (euro-denominatedpolicies: €63.5 billionon the balance sheet). The Company is exposed to asset impairment risk (fall in the equity or real estate market, widening spreads, interest rate hikes) as well as the risk of lower interest rates which would generate insufficient income to meet its guaranteed principal and returns. To manage this risk, BPCE Vie has only sold policies with a minimum guaranteed return in recent years: more than 95% of the policies have a zero minimum guaranteed return. The minimum guaranteed return averaged 0.12%. In addition, since mid-2021, new contracts have included a gross capital guarantee for management fees. To manage market risk, the sources of return have been diversified, namely via investments in new asset classes (financing the economy, infrastructure, etc.). This diversification is managed by a strategic allocation, defined on a yearly basis, that takes into account regulatory constraints, commitments to policyholders and commercial requirements. Credit risk Credit risk is monitored and managed in compliance with Natixis Assurances’ standards and internal limits. As of December 31, 2021, 67% of the fixed-incomeportfolio is invested in securities rated equal to or higher than A.

Life Insurance underwriting risk The main risk to which life Insurance underwriting is exposed is linked to the Investment Solutions activity. In an especially low interest-rate environment, the biggest risk is that of fewer redemptionsand/or excessive inflows in euro-denominatedvehicles, as reinvestments in securities dilute the main fund’s return. To prioritize inflows in unit-linked policies, measures have been taken, such as the creation of unit-linked products and communication campaigns focused on unit-linked products. Non-life Insurance underwriting risk The Non-life Insuranceunderwritingrisk to which Natixis Assurances is exposed is borne by its subsidiary BPCE Assurances: premium risk: to ensure that the premiums paid by the V policyholders match the transferred risk, BPCE Assurances implemented a portfolio monitoring policy whereby each policy is given a score based on its track record over three years. Factored in are types of claims, number of claims, their cost and other variablesspecific to the activity in question (degree of liability and bonuses/penalties for auto insurance, for instance). This monitoringpolicy also contributes to detecting potential risks arising from large claims, and to arranging adequate reinsurance coverage; risk of loss: each time inventory is taken, an actuarial assessment V of the reserves for claims to be paid is conducted based on analytical methods recognized by the profession and required by the regulator; catastrophe risk: catastrophe risk is the exposure to an event of V significantmagnitudegeneratinga multitudeof claims (storm, civil liability risk, etc.). This risk is therefore reinsured either through the government in the event of a natural disaster or an attack, for example, or through private reinsurers, specifically in the event of a storm or a civil liability claim, or through reinsurancepools. Counterparty risk The counterpartyrisk to which Natixis Assurances is exposedmainly concerns reinsurancecounterparties.The selection of reinsurers is a key component of managing this risk: Natixis Assurances deals with reinsurers that are subject to a V financial rating by at least one of the three internationally recognized rating agencies, and that have a Standard & Poor’s equivalent rating of A- or higher; using several reinsurers ensures counterparty diversification and V limits counterparty risk.

162

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021