NATIXIS // 2021 Universal Registration Document

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

At the end of the SREP process and after application of these new provisions, Natixis must thereforemeet a CET1 capital ratio of 8.3%, of which 1.27% for Pillar II (excluding P2G), 2.5% for the capital conservation buffer and 0.03% for the countercyclical buffer. As of March 1, 2022, under the SREP process, Natixis must comply with a CET1 capital ratio of 8.44%, of which 2.5% under the capital conservation buffer of 1.41% under Pillar II (excluding P2G) and 0.04% for the countercyclical buffer. 3.3.1.2 In accordance with Article 18 of the CRR, the prudential consolidation scope is established based on the followingprinciples: Entities, excluding insurance companies, fully consolidated or accounted for using the equity method in the statutory scope (see universal registration document 2021 – Note 16 in Chapter 5 “Consolidated financial statements and notes”) are included in the scope of consolidation. Prudential consolidation scope

The Versailles conduit and Natixis insurance companies are accounted for using the equity method in the prudential scope. As part of the work on step-in risk, Natixis has not identified any additional securitization SPVs to be included in the prudential consolidation scope of December 31, 2021. Only the “Caisse Française de Développement Industriel” (CFDI) entity is not included in the Natixis scope of consolidation but is subject to regulatory reporting (COREP). CFDI complies with regulatory requirements. In agreement with the supervisor, Natixis has already used the exemption provided for in Article 7of the CRR for certain subsidiaries whose business is not significant or whose corporate purpose is not its own. The absence of any transfer or repayment problemwithin the Group is presented in Note 3.3.2 of Chapter 5 “Consolidated financial statements and notes”.

3

Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (EU LI 1)

Carrying values of items

Not subject to regulatory

Carrying values as reported in

capitarlequire

Carrying values under scope of regulatory consolidation

ments or subject to deduction from capital

published financial statements

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitization framework

Subject to the market risk framework

Assets (in millions of euros) Cash, central banks

48,882

48,882

48,882

-

-

-

-

Financial assets at fair value through profit or loss

212,025

211,791

29,694

129,356

7,042

164,859

- -

Hedging derivatives

190

190

-

190

-

-

Financial assets at fair value through other comprehensive income Debt instruments at amortized cost Loans and receivables due from banks and similar items at amortized cost Customer loans and receivables at amortized cost Revaluation adjustments on portfolios hedged against interest rate risk

12,122

12,122

12,122

- -

203

- -

- -

1,277

1,244

1,244

-

86,732

86,694

84,861

1,833

-

-

-

70,146

68,919

65,818

3,101

-

1,985

-

- -

- -

- -

- - - - - - - - - - - -

- - - - - - - - - - - -

-

- - - - - -

Insurance business investments

14

Current tax assets Deferred tax assets

202

202

202 446

- - - - - - - - - -

1,226 4,637

1,226 4,695 4,743

780

Accrual accounts and other assets Non-current assets held for sale

4,695 4,743

125,880

Deferred profit-sharing Investments in associates

-

-

-

522

522

428

95

Investment property

-

-

-

- -

Property, plant and equipment

964 348

964 348

964

Intangible assets

- -

348

Goodwill

3,440

3,440

3,440

TOTAL ASSETS 4,663 Note: Carrying values under scope of regulatory consolidation do not equal the sum of risk type breakdown. An exposure can be subject to several risk types. 568,594 445,985 254,101 134,480 7,245 166,858

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021