NATIXIS // 2021 Universal Registration Document

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

Prudential valuation adjustments (PV1)

Category AVA – Valuation uncertainty

(in millions of euros)

Risk category

Of which: Total main approach in the trading book

AVA relating to prepaid credit spreads

AVA relating to investment and financing costs

o/w Total main approach in the banking book

Full category AVA after diversification

Interest rates

Foreign exchange Credit

Raw material

Category AVA

Equity

64 62

13

7 9

35 48

1 4

24 24

16

80 75

63 51

18 24

1 Market price uncertainty

3 Closeout cost

3

4 Concentrated positions

132

1

133

133

5 Early termination 6 Model risk 7 Operational risk

60

2 1

2 1 5

2 4 8

3

35 12

35

3

6

0 0

9

4 0

10 Future administrative costs

21

173

207

207

TOTAL ADDITIONAL VALUE ADJUSTMENTS (AVA)

346

192

24

98

5

51

16

543

498

45

12

€3 million in Additional ValuationAdjustments(AVA) relating to uncertainties concerning the adjustmentsmade to the valuation of an instrument in order to reflect the counterparty risk (Unearned Credit Spread - UCS), on the one hand and, on the other hand, the financing/investmentcost used for the valuation of the exit price of an instrument (Investing and funding costs - IFC) must be added to obtain the total amount of AVA deducted from equity capital.

Non-deducted participations in insurance undertakings (EU INS1)

Risk exposure amount

(in millions of euros)

Exposure at default

1 Equity instruments held in insurance or reinsurance undertakings or insurance holding companies not deducted from equity

2,843

9,941

177

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021