NATIXIS // 2021 Universal Registration Document

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

Model for key indicators (EU KM1)

(in millions of euros)

30/09/2021

30/06/2021

31/03/2021

31/12/2020

31/12/2021

Available own funds (amounts) Common Equity Tier 1 (CET1)

1 2 3

12,499 14,635 17,514

11,998 13,921 16,116

12,113 14,016 16,233

12,155 14,066 16,334

12,143 14,194 16,337

Tier 1 capital

Total own funds

Risk-weighted exposure amount

108,257

108,977

107,926

105,675

104,985

4

Total risk exposure amount

Capital ratios (as a percentage of risk-weighted exposure amount)

Common Equity Tier 1 ratio (%)

5 6 7

11.5% 13.5% 16.2%

11.0% 12.8% 14.8%

11.2% 13.0% 15.0%

11.5% 13.3% 15.5%

11.6% 13.5% 15.6%

Tier 1 capital ratio (%) Total capital ratio (%)

Additional capital requirements to address risks other than excessive leverage risk (as a percentage of the risk-weighted exposure amount) Additional capital requirements to address risks other than excessive leverage risk (%)

2.3% 1.3% 1.7%

2.3% 1.3% 1.7%

2.3% 1.3% 1.7%

2.3% 1.3% 1.7%

2.3% 1.3% 1.7%

EU 7a

EU 7b o/w to be satisfied with common equity tier 1 capital (percentage points)

EU 7c o/w to be satisfied with Tier 1 capital (percentage points)

EU 7d Total SREP capital requirements (%)

10.3%

10.3%

10.3%

10.3%

10.3%

Total buffer requirement and total capital requirement (as a percentage of the risk-weighted exposure amount) 8 Capital conservation buffer (%) 2.5% 2.5%

2.5%

2.5%

2.5%

Conservation buffer arising from the macroprudential or systemic risk observed at the level of a Member State (%)

EU 8a

Institution-specific countercyclical capital buffer (%)

9

0.0%

0.0%

0.0%

0.0%

0.0%

EU 9a Systemic risk buffer (%) 10 Global systemically important institution buffer (%) EU 10a Other systemically important institution buffer (%) 11 Overall buffer requirement (%)

2.5%

2.5%

2.5%

2.5%

2.5%

EU 11a Total capital requirements (%)

12.8%

12.8%

12.8%

12.8%

12.8%

CET1 capital available after compliance with total SREP capital requirements (%)

12

5.8%

4.5%

4.8%

5.2%

5.3%

Leverage ratio 13 Measurement of total exposure

330,598

328,103

329,136

386,468

370,669

14 Leverage ratio (%)

4.4%

4.2%

4.3%

3.6%

3.8%

Additional capital requirements to address the risk of excessive leverage (as a percentage of the total exposure measurement) EU 14a Additional capital requirements to address excessive leverage risk (%) 0.0% 0.0% 0.0% EU 14b o/w to be satisfied with common equity tier 1 capital (percentage points) 0.0% 0.0% 0.0% EU 14c Total SREP leverage ratio requirement (%) 3.1% 3.1% 3.1% Leverage ratio buffer requirement and overall leverage ratio requirement (as a percentage of total exposure measurement) EU 14d Leverage ratio buffer requirement (%) Not applicable Not applicable Not applicable EU 14th Overall leverage ratio requirement (%) 3.1% 3.1% 3.1% Liquidity coverage ratio 15 Total High Quality Liquid Assets (HQLA) (weighted average) 63,583 62,338 53,279

59,260 110,402 52,486 57,915 102.3%

51,535 105,151 56,078 49,073 105.0%

112,478 52,736 59,741 106.4% 154,236 147,513 104.6%

115,336 56,777 58,560 106.5% 150,271 148,582 101.1%

105,509 56,621 48,888 109.0% 147,709 146,997 100.5%

EU 16a Cash outflows – Total weighted value EU 16b Cash inflows – Total weighted value 16 Total net cash outflows (adjusted value) 17 Liquidity requirement coverage ratio (%) Net stable funding requirement 18 Total available stable funding

19 Total required stable funding

20 NSFR ratio (%)

186

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021