NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Basel 3 Pillar III disclosures 3.3

Regulatory framework for the Pillar III report The report on Pillar III is prepared in accordance with the European Regulation (CRR II) 2019/876, in particular according to Articles 431 to 455 of the regulation, which detail the information to be published by institutions under Pillar III. The CRR II-CRD V legislative package was adopted on May 20, 2019 by the European Parliament and entered into force on June 28, 2021. The information to be provided under Pillar III has also been prepared in accordance with Implementing Regulation (EU) 2021/637 of the European Commission of March 15, 2021, which brings together most of the previous regulatory texts in a single, comprehensive text.

Policy, validation and approval Throughout the fiscal year ended December 31, 2021, and to date, Natixis has implemented a framework for controls and disclosure procedures to ensure the completeness and accuracy of the information provided in Natixis’ Pillar III.

Capital management and capital adequacy 3.3.1 Regulation (EU) No. 2019/876 of the European Parliament and Council (Capital Requirement Regulation or CRR) requires reporting companies (notably lending institutions and investment firms) to publish quantitative and qualitative information on their risk management activities.

a countercyclical capital buffer, i.e. the average of the V countercyclical capital buffer of each country in which Natixis holds risk exposures,weightedby the amount of said exposures. The rate applied in France has been zero since 2nd quarter of 2020, buffer for systemically important institutions: additional V requirement for large institutions (G-SIBs/O-SIB), it aims to reduce their risk of bankruptcy. Natixis is not subject to this buffer, systemic risk buffer: its objective is to limit long-term V non-cyclical systemic or macroprudential risks. It can be applied to all of the institution’s exposures or to sectoral exposures. It is currently at 0%; in addition, other mechanisms have been introduced, including V mechanisms to limit dividend payouts, interest on Additional Tier One (AT1) subordinated debt and variable compensation (Maximum Distributable Amount, or MDA). In 2019, this legislative framework was amended with the adoption by the European Parliament of a new regulatory package: CRR II/CRD V, the main provisions of which have applied since June 28, 2021. These include: the establishment of proportionality rules, the introduction of a requirement for the leverage ratio, the introduction of a minimum capital requirement and eligible liabilities (MREL) in order to increase the loss-absorbing capacity of institutions, the non-deduction of part of the value of certain intangible assets (software), the adoption of a new method to calculate the exposures at default on derivatives (SA-CCR), the review of the major risks framework, the introduction of a net stable funding ratio (NSFR). Since November 2014,the supervisionof major European banks has been exercised directly by the ECB. Based on the SREP process (or Supervisory Review and Evaluation Process) of Pillar II, the ECB sets for each institution the level of ratio to complywith in addition to the minimum requirements of the prudential regulations (applicable to all institutions supervised in a uniform manner): each subject institution is thus assigned an additional solvency requirement. to be complied with (referred to as “P2R” or Pillar 2 Requirement) as well as a recommended additional requirement (“P2G” or Pillar 2 Guidance). However, in the very specific context of the health crisis, the ECB had temporarily relaxed the applicable regulatory framework.

Natixis’ risk management system and level of risk exposure are described in this chapter, in section 3.2 “Risk management” of this universal registration document. Regulatory framework 3.3.1.1 Since January 1, 2014, the Capital Requirements Directive (CRD) IV and the Capital Requirements regulation (CRR) have applied Basel 3 regulations in Europe. As under Basel 2, the Basel 3 regulatory provisions are divided into three pillars: Pillar I: a set of rules defining the measurementof risks and capital V based on various possible methodologies and minimum observable requirements; Pillar II: framework governing the role of the supervisory V authorities. For each supervised institution, the competent authoritiesmay define additional capital requirementsaccording to the risk exposure, and internal governance and management systems; Pillar III: requires institutions to disclose a large number of items V highlighting the level of risks incurred, capital adequacy and the adequacy of their management. The CRR/CRD IV package aims to strengthen the financial soundness of banking institutions, notably by proposing: a stricter definition of the capital items eligible to meet regulatory V capital requirements; reinforced regulatory capital requirements, in particular for V counterparty risk on derivatives; higher ratios to observe, specifically regarding CET1 capital and V capital buffers: a capital conservation buffer, which represents 2.5% of total V weighted risk exposures,

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021