NATIXIS // 2021 Universal Registration Document

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

Global interest rate risk 3.3.3.6 The measurement and monitoring of interest rate risk is presenteidn section [3.2.8 “Balance sheet management”].

Operational risk 3.3.3.7 The operational risk control system is presented in section [3.2.7“Risk management – Operational risks”].

Operational risk capital requirements and risk weighted exposure amounts (EU OR1)

Relevant indicator

Risk exposure amount

Fiscal year n-3

Fiscal year n-2

Previous fiscal year

Capital requirements

Banking activity (in millions of euros)

1 Basic banking activity (BIA)

Standardized approach (TSA)/ Standardized replacement (ASA) banking activities

7,815 7,815

6,211 6,211

8,710 8,710

1,111

13,882

2

3 Standardized approach (TSA):

4 Standardized replacement approach (ASA):

Banking activity under advanced measurement approach (AMA)

5

The information at the end of the fiscal year used to calculate the capital requirements is based on estimates because, at the date of the calculation, the 2021 financial statements are still under audit.

Encumbered and unencumbered assets 3.3.4 As at December 31, 2021, the total assets on the balance sheet and encumbered collateral receivedamountedto €218,217 million.These can be broken down by type and source of liabilities: securities transactions, including in particular securities lending V and repurchase agreements, for a total of €202,341 million; encumbered receivables securing covered bond vehicles (Natixis V Pfandbriefbank), for a total of €1,458 million;

encumberedreceivables in vehicles other than covered bond asset V pools, such as central bank refinancing or other market vehicles, for a total of €228 million; assets encumbered by the payment of margin calls on derivative V positions, for a total of €11,347 million. Natixis considers that the following assets may not be encumbered in the normal course of its business: call loans, 16% of non-encumbered assets (€58 billion); V derivatives, 15% of non-encumbered assets (€55 billion). V

Encumbered and non-encumbered assets (EU AE1)

Carrying amount of unencumbered assets

Fair value of unencumbered assets

Carrying amount of encumbered assets

Fair value of encumbered assets

o/w

o/w

theore

theore

tically eligible EHQLA and HQLA

tically eligible EHQLA and HQLA

o/w EHQLA and HQLA

o/w EHQLA and HQLA

Assets of the institution publishing the information

73,807 43,514

346,360

8,294 3,554 4,521

010

030 Equity instruments 040 Debt securities 050 o/w: covered bonds 060 o/w securitization

34,647 24,247

24,769 19,085

7,707 9,114

24,247

19,085

9,114

4,521

175 160

102

175 160

102

406 225

312

406 225

312

0

0

0

070 o/w: issued by general governments 080 o/w: issued by financial corporations 090 o/w: issued by non-financial corporations

13,064

12,834

13,064

12,834

2,469 6,096

2,469

2,469 6,096

2,469

9,836 1,486

5,998

9,836 1,486

5,998

694 219

694 219

200

200

673

673

120 Other assets

13,104

0

328,982

0

226

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021