NATIXIS // 2021 Universal Registration Document

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

Source based on balance sheet reference numbers/letters within the regulatory scope of consolidation

Amount

14,635

45 Tier 1 capital (T1 = CET1 + AT1)

Tier 2 capital: instruments 46 Capital instruments and the related share premium accounts

3,800

4

47 Amount of qualifying items referred to in Article 484 (5), and the related share premium accounts subject to phase out from CET5) Amount of qualifying items referred to in Article 494 a (2) subject to exclusion of T2 capital EU-47b Amount of qualifying items referred to in Article 494 b (2) subject to the exclusion of T2 capital Qualifying own funds instruments included in consolidated T2 capital (including non-controlling interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties EU-47a 48

45

4

0

117

4

3

0 0

49 o/w instruments issued by subsidiaries subject to phase out

50 Credit risk adjustments

27

3,989

51 Tier 2 (T2) capital before regulatory adjustments

Tier 2 (T2) capital: regulatory adjustments

Direct, indirect or synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)

52

0

53 Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to artificially inflate the own funds of the institution (negative amount) Direct and indirect holdings of the instruments and T2 subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) 54

0

0

54a Empty set in the EU

55 Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

(1,110)

3

56 Empty set in the EU

Deductions of qualifying liabilities exceeding the bank’s qualifying liabilities (negative amount)

EU-56a

0 0

EU-56b Other regulatory adjustments to Tier 2 capital 57 Total regulatory adjustments to Tier 2 (T2) capital

(1,110)

2,879

58 Tier 2 (T2) capital

59 Total capital (TC = T1 + T2) 60 Total risk exposure amount

17,514 108,257

Capital ratios and buffers 61 Common Equity Tier 1 (as a percentage of total risk exposure amount) 62 Tier 1 capital (as a percentage of total risk exposure amount) 63 Total capital (as a percentage of total risk exposure amount) 64 Overall CET1 capital requirement of the institution (CET1 requirement in accordance with Article 92 (1), plus additional CET1 requirement that the institution is required to hold in accordance with Article 104 (1) (a) of Directive 36/2013/EU, plus the overall buffer requirement in accordance with Article 128 (6) of Directive 36/2013/EU) expressed as a percentage of the risk exposure amount.

11.55% 13.52% 16.18%

8.30% 2.50% 0.04% 0.00%

65 o/w capital conservation buffer requirement 66 o/w countercyclical buffer requirement 67 o/w systemic risk buffer requirement

171

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021