NATIXIS // 2021 Universal Registration Document

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

For several years now, Natixis has put in place a governance structure and an organization to manage its leverage ratio, calculated according to the CRR2 standard since June 30, 2021 by including the exclusion – under certain conditions – of cash placed in the deposit facility of the Banque de France global exposure. Senior management has defined a steering threshold, set at 4% in 2021 (for a minimum regulatory threshold of 3%), the monitoring and management of which are supervised by the Natixis ALM Committee. The BOAT department coordinates compliance with this constraint with the business lines under the control of the risk function. The leverage ratio was included in the bank’s risk appetite framework with a threshold and limit approved by the Board of Directors’ Risk Committee.

Oversight of the leverage ratio 3.3.2.2 Under the French Ministerial Order of November 3, 2014 on internal control by companies in the banking, payment services and investment services sector subject to the supervision of the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage and monitor excessive leverage risk.

Leverage ratio (LR2)

3

Leverage ratio exposures under the CRR (in millions of euros)

31/12/2021

30/06/2021

Balance sheet exposures (excluding derivatives and SFTs)

Items recorded on the balance sheet (excluding derivatives and SFTs, but including collateral) Addition of the amount of collateral provided for derivatives, when they are deducted from balance sheet assets in accordance with the applicable accounting framework (Deduction of receivables recognized as assets for cash variation margin provided in derivative transactions) (Adjustment for securities received in connection with securities financing transactions that are recognized as assets)

1

279,662

277,620

2

3

(10,196)

(10,726)

4 5 6 7

(Adjustments for general credit risk of balance sheet items) (Amounts of assets deducted when determining Tier 1 capital)

(5,301)

(4,997)

TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS)

264,165

261,898

Derivative exposures

Replacement cost of all SA-CCR derivative transactions (i.e. net of eligible cash variation margins) Derogation for derivatives: contribution of replacement costs under the simplified standardized approach Mark-up amounts for potential future exposure associated with SA-CCR derivative transactions Derogation for derivatives: Contribution of potential future exposure under the simplified standardized approach (CCP leg exempted from exposures to customer cleared transactions) (SA-CCR) (CCP leg exempted from exposures to customer cleared transactions) (simplified standardized approach) (CCP leg exempted from exposures to customer cleared transactions) (original exposure method)

8

12,552

13,913

EU-8a

9

26,098

28,779

EU-9a

EU-9b Exposure determined by applying the original exposure method 10

EU-10a

EU-10b

11 12 13

Adjusted effective notional value of written credit derivatives

16,683

16,418

(Adjusted actual notional differences and add-on deductions for written credit derivatives)

(10,655) 44,678

(11,184) 47,926

TOTAL DERIVATIVE EXPOSURES

Exposure on securities financing transactions (SFTs) 14

108,809 (31,186)

78,761

Gross SFT assets (excluding netting) after adjustment for transactions recognized as written

(21,052)

15 16

(Net value of cash payables and receivables of gross SFT assets)

Counterparty credit risk exposure for SFT assets

7,939

7,005

Derogation for SFTs: Exposure to counterparty credit risk in accordance with Article 429 e (5) and Article 222 of the CRR

EU-16a

17 Exposures when the institution acts as agent EU-17a (CCP leg exempted from customer cleared SFT exposures)

181

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021