NATIXIS // 2021 Universal Registration Document

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

Market risk under the IMA (EU MR2-A)

Capital requirements

(in millions of euros)

RWEA

1,223

98 23 98

1 VaR (highest value between a and b)

a Previous day’s VaR (t-1 VaR)

b Multiplication factor (mc) x average of the last 60 working days (VaRavg)

2 SVaR (highest value between a and b) a Latest SVaR measurement available (SVaR t-1)

4,082

327

62

b Multiplication factor (ms) x average of the last 60 working days (SVaRavg)

327

267

21 19 21

3 IRC (highest value between a and b) a Most recent IRC measurement

b Average IRC over 12 weeks

3

4 Overall risk measurement (highest value of a, b and c) a Most recent measure of overall risk b Average overall risk measurement over 12 weeks c) Global risk measurement – Floor 5 Other 6 TOTAL AS AT 31/12/2021

5,571

446

Statement of RWA flows relating to market risk exposures under the internal models approach (EU MR2-B)

Overall risk measurement

Total RWEA

Total capital requirements

(in millions of euros)

VaR SVaR IRC

Other

RWEA AT THE END OF THE PREVIOUS PERIOD (30/06/2021)

1

927 2,927 739 2,153

402

4,256 2,891 1,364

340 231 109

1a Regulatory adjustment

1b RWEA at end of previous quarter (end of day)

188

774

402

2 Changes in risk levels

98

(2)

(167)

(71)

(6)

3 Model updates/changes 4 Methodology and policy 5 Acquisitions and disposals 6 Foreign exchange movements 7 Other 8a RWEA at end of reporting period (end of day)

286

772

235

1,293 4,278

103 342

8b Regulatory adjustment

937 3,310

32

RWEA AT THE END OF THE REPORTING PERIOD (31/12/2021)

8

1,223 4,082

267

5,571

446

Effects are defined as follows: regulatory adjustment: delta between RWAs used to calculate regulatory RWAs and RWAs calculated on the last day of the period; V changes in risk levels: changes linked to market characteristics; V updates/changes to the model: changes related to significant changes to the model following an update of the calculation scope, methodology, assumptions V or calibration; methodology and policies: changes related to regulatory changes; V acquisitions and disposals: changes following the purchase or disposal of business lines; V foreign exchange movements: changes in the exchange rate risk linked to the counter-valuation of the VaR if it were exceptionally expressed in a currency other V than the euro, the currency used to calculate the VaR.

225

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021