NATIXIS // 2021 Universal Registration Document

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

Securitization 3.3.3.4 The risk managementmethodologies for securitization transactions are described in Note 3.2.5 “Securitization”. Natixis uses the three approaches described in Article 254 (1) of the CRR, according to the following situations: for synthetic securitizations (non STS): Natixis is the originator of V the underlying loans, and meets the conditions to use the SEC A-IRBA approach on the selected exposures; for traditional securitizations (non STS) where Natixis is the V originator of the underlying loans and where Natixis retains the risk: Natixis uses SEC A-IRB when it is the sole originator and SEC-SA or SEC-ERBA when it is an originator among others; to process exposures arising from ABCP programs sponsored by V the institution: Natixis uses SEC-SA or SEC-ERBA in an STS or non-STS framework, depending on the transactions concerned; for securitization transactions that the institution structures and V partially finances as an investor: Natixis uses the SEC-SA or SEC-ERBA approach depending on the situation. For all other exposures, particularly those classified in the trading book, Natixis uses SEC-SA or SEC-ERBA, depending on the situation. Natixis only uses the weighting of 1.250%. At December 31, 2021, the entities(i.e. American Trusts (CMBS)) that had acquired real estate receivables originating from Natixis in the United States were: CSMC 2016-NXSR, CGCMT 2017-P7, NCMS 2017-75B, CSAIL 2017-C8, CSAIL 2017-C8 85BD, CSAIL 2017-CX9, CSAIL 2017-CX10, CSAIL 2017-CX10 STAN, CSAIL 2017-CX10 UES, CSMC 2017 TIME, NCMS 2018-285M, NCMS 2018-TECH, NCMS 2018-ALXA, NCMS 2018-OSS, NCMS 2018-RIVA, NCMS 2018-20TS, NCMS 2018-FL1, NCMS 2018-FL1 MCR, NCMS 2018-FL1 WAN, NCMS 2018-FL1 NHP, NCMS 2018-FL1 ORP, US 2018-USDC, NCMS 2018-SOX, CSAIL 2018-CX11, CSAIL 2018 CX12, UBS 2018-C11, UBSCM 2018-C12, UBS 2018-C13, CSAIL 2018 C14, UBS 2018 C14, UBS 2018 C15, NCMS 2019-NEMA, NCMS 2019-LVL, NCMS 2019-10K, BBCMS 2019-C3, BBCMS 2019-C4, NCMS 2019-FAME, NCMS 2019-AMZ7, NCMS 2019-1776, BBCMS 2019-C5, UBS 2019-C18, NCMS 2019-MILE, NCMS 2020-2PAC, NCMS 2020-2PAC AMZ, NCMS 2020-2PAC MSK, BBCMS 2020-C7, BX 2021-MC, BBCMS 2021-C11, NCMS 2021 APPL, BX 2021-21M. These transactionsare notified to the European Supervisor (ECB) as part of the SRT process. Natixis may be required to perform depositary functions in these CMBSs, and to retain risks to meet local obligations to align interests. Natixis is the sponsor of the Versailles and Magenta conduits, which the institution supports entirely in liquidity (“fully supported ABCP programs” within the meaning of European Regulations).

In order to meet the obligations of the American regulator, Natixis, through its Natixis New York Branch, holds 5% of the commercial papers issued by the Versailles conduit. In 2021, no entity owned by Natixis carried commercial papers issued by the Magenta conduit. In addition, Natixis is also the custodian of securitization undertakings. In addition, from time to time, certainNatixis trading desksmay carry the securities of operations that the institution has originated. Lastly, Natixis has not provided implicit support for securitization transactionsthat are subject to a significant risk transfer (SRT). Accounting methods The securitization positions classified as Amortized cost are measured at amortized cost using the effective interest rate method as described in Note 5.1 to the accounting principles which can be found in Chapter 5 “Consolidatedfinancial statementsand notes”. They are tested for impairment at each reporting date and an impairment charge is recorded in the income statement under “Provision for credit losses”. Securitization positions classified under “Fair value through equity” are measured at their market value and any changes, excluding revenues recognized using the effective interest method, are recorded in a specific line in equity. Securitization positions (classified as debt instruments) are tested for impairment at each reporting date and an impairment charge is recorded under “Provision for credit losses”. In the event of a disposal of securitization positions (classified as debt instruments), Natixis transfers any changes in fair value for recognition in the income statement. Positions classified under “Fair value through profit or loss” are measured at market value. The market value is determinedaccording to the principles set out in note 5.6 of the accounting principles appearing in Chapter 5 “Consolidated financial statements and notes”. Gains or losses on the disposal of securitizationpositionsare recognized in line with the rules applicable to the category in which the positions sold were initially classified. Securitized assets are derecognized when Natixis transfers the contractual rights to receive the financial asset’s cash flows and nearly all the risks and benefits of ownership. B – External rating system (Data certified by the Statutory Auditors in accordance withIFRS 7) Natixis uses four external credit rating agencies for securitization transactions: Moody’s, Fitch, Standard & Poor’s and DBRS.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021