NATIXIS // 2021 Universal Registration Document

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

Common Equity Tier 1 (CET1 Capital) totaled €12.5 billion as at December 31, 2021, up +€0.4 billion over the period. This increase

proposed payment of a dividend of twenty-five cents per share, i.e. V -€0.8 billion. other deductions for-€0.2 billion. V Additional Tier 1 capital increased by +€0.1 billion to €2.1 billion, mainly due to the effect of foreign exchange and the renewal of resources as part of the search for optimization of costs of financing. Tier 2 capital came to €2.9 billion, the discount on issuance totaling -€0.1 billion for the period. A new asset of +€0.9 billionwas made in the fourth quarter to replace a security of +€0.5 billion which matured (therefore fully amortized) on December 15, 2021. Other operations to optimize and rejuvenate resources were carried out during the fiscal year but without impact on the final inventory. At €108.3 billion, risk-weighted assets increased by +€3.3 billion during fiscal year 2021.

is mainly due to the following changes: profit for the fiscal year of €1.4 billion; V

changes in other items of comprehensive net income (recyclable V gains and losses directly recognized in shareholders’equity and an exchange rate effect relating to changes in the euro/dollar exchange rate for €0.3 billion) for €0.5 billion; revaluation of commitments to buy out the interests of certain V non-controlling interests for-€0.1 billion; coupons paid on deeply subordinated notes recognized as a V deduction from shareholders’ equity for -€0.1 billion; prudential deductions for goodwill and intangible assets V for-€0.1 billion and the increase in the prudential valuation adjustment for-€0.2 billion;

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Risk-weighted assets (NX07)

Operational

(in billions of euros)

Credit risk

CVA Market risk

risk Total RWA

31/12/2020

76.6

2.3 0.0 0.0 0.0 0.0 0.0 2.3

13.1

13.0

105.0

1.3 6.9

0.0 1.8

0.0 0.9 0.0 0.0 0.0

1.3 9.6

Foreign exchange movements Change in business activity Change in risk parameters

(0.8) (1.3) (4.0) 78.7

(1.6)

(2.4) (1.3) (4.0)

Acquisitions and disposals of investments

0.0 0.0

Impact of guarantees

31/12/2021

13.4

13.9

108.3

a guarantee effect of -€4 billion, notably linked to the V implementation of guarantees. The +€0.02 billion increase in CVA can primarily be attributed to changes in by lower exposures. The increase in market risks of +€0.2 billion, mainly due to the normalization of market conditions after the health crisis, partly offset by a change in activity. Operational risk was up by €0.9 billion following the increase in revenues from the business lines.

The +€2.1 billion increase in credit risk over the period was primarily due to the following factors: an increase in outstandings (+€6.9 billion) concentrated in V Corporate & Investment Banking; the effect of risk factors (-€0.8 billion); V the impact of the appreciation of the dollar against the euro V (+€1.3 billion); the sale of the 29.5% stake in Coface to Arch Capital for a decrease V of -€1.3 billion;

Basel 3 RWA by main Natixis business line (NX02)

Basel 3 RWA as at 31/12/2021

Credit (a)

Market (b)

Total

Operational

Division (in millions of euros)

71,862 14,593

52,529

12,644

6,689 4,438

Corporate & Investment Banking (c) Asset & Wealth Management

9,974 9,496

181

Insurance Payment

9,496 1,236

350

886

Corporate Center

10,597

5,905

2,824

1,868

Coface

472

472

TOTAL AS AT 31/12/2021 Total as at 31/12/2020

108,257 104,985

78,727 76,585

15,648 15,412

13,882 12,988

Including counterparty risk. (a) Including €9 million in settlement/delivery risk and €2,296 million in respect of the CVA RWA. (b) Including Treasury and Collateral Management. (c)

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021