NATIXIS // 2021 Universal Registration Document

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

Capital planning 3.3.1.5 Capital planning consists of determining Natixis’ target capital adequacy level, continually ensuring compliance with regulatory capital requirements in all compartments and capital adequacy in line with the risk appetite defined by the institution, and adapting capital allocation and measurement of business line profitability accordingly. In 2021, Natixis’ ratio was thus maintained above a level of 11%. The capital planning system adapts all processes with the aim of ultimately meeting the requirements of the supervisory authorities, shareholders and investors: continuously maintaining the targets set in terms of capital V adequacy; the development of the Natixis internal capital adequacy V assessment process (ICAAP), carried out using two approaches: a so-called “normative”approachaimed at measuring the impact V on Natixis of internal stress tests over a three-year period based on the Pillar I regulatory baseline, a so-called “economic” approach which consists of identifying, V quantifying and hedging risks with internal capital over a short-term horizon (1 year) and using internal methodologies. At Natixis level, the methodologies developed allow a better assessment of the risks already covered under Pillar I, and also an additional assessment of risks not covered by Pillar I; projecting capital requirements specific to business lines, within V the framework of Natixis’ overall capital adequacy policy; anticipating regulatory changes and their impact on Natixis’ V various business lines; implementing a system for analyzing the capital consumption of V the business lines and their profitability on the basis of Basel 3/CRR-CRR3 risk-weighted assets; allocating capital to the business lines, within the framework of V strategic plan and annual budget procedures, taking into account business requirements, profitability and balance between the core business divisions.

Outlook Capital management now anticipates future changes in the short/medium term: implementation of the revised Basel 3 system, implementation of the provisions around the Resolution, BRRD2/SRMR2, in line with the implementation of the SRB policies transfer of Payments & Insurance activities to BPCE S.A., etc. Natixis contributes to the collection of detailed information on liabilities, as required by the SRB at Groupe BPCE level. Other regulatory ratios 3.3.2 Leverage ratio 3.3.2.1 Since January 1, 2014, the leverage ratio must be calculated and reported to the European supervisor by the credit institutions. The leverage risk framework, introduced by the Basel Committee, was incorporated into the CRR Regulation: the leverage ratio is defined as the ratio between the institution’s Tier 1 capital and the bank’s balance sheet exposures (after taking into account certain restatements, in particular for derivatives and repurchase agreements) and off-balance sheet exposures (after applying balance sheet conversion factors). Its publication as part of the financial communication is mandatory since January 1, 2015. From June 2021, with the CRR2 Regulation, the leverage ratio has become a requirement to be complied with at all times by institutions. This requirement,which amounts to 3% of Tier 1 capital, may trigger the activation of the Maximum Distributable Amount (MDA). To address the risk of excessive leverage, the supervisormay impose additional capital requirements. The CRR2 Regulationmodifies the rules for calculating the leverage ratio by excluding certain exposures (notably “incentive” loans and assets linked to central banks, subject to conditions). New rules for offsetting and calculating exposure to derivatives have also been introduced. Natixis calculates and publishes its leverage ratio according to the CRR2 rules, and implementsthe actions needed to converge towards the target ratio under consideration.

Comparison of accounting exposures and leverage exposures (LR1)

(in millions of euros)

Applicable amount

568,593 (122,609)

1

Total assets according to reported financial statements

2 Adjustment for entities consolidated from an accounting point of view but which do not fall within the scope of prudential consolidation

3 4

(Adjustment for securitized exposures that meet the operational requirements for transfer of risk) (Adjustment for temporary exemption of exposures to central banks (where applicable))

(34,660)

5 (Adjustment for fiduciary assets recognized on the balance sheet in accordance with the applicable accounting framework but excluded from the total exposure measurement under Article 429 a (1) (i) of the CRR). 6 Adjustment for normalized purchases and sales of financial assets recognized at the transaction date 7 Adjustment for qualifying centralized cash management system transactions 8 Adjustments for derivative financial instruments 10 Adjustment for off-balance sheet items (resulting from the translation of off-balance sheet exposures into credit equivalent amounts) 11 (Adjustment for valuation adjustments for prudent valuation purposes and specific and general provisions that reduced Tier 1 capital) EU-11a (Adjustment for exposures excluded from the total exposure measurement under Article 429 a (1) (c) of the CRR) EU-11b (Adjustment for exposures excluded from the total exposure measurement under Article 429 a (1) (j) of the CRR) 12 Other adjustments 9 Adjustment for securities financing transactions (SFTs)

(10,281)

7,939

47,267

(110,155)

(15,497) 330,598

13

MEASUREMENT OF TOTAL EXPOSURE

180

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021