NATIXIS -2020 Universal Registration Document

RISK MANAGEMENT Risk management: a key issue

A proactive approach to risks to manage the crisis

Credit risk is the risk of financial loss due to a debtor’s inability to honor its contractual obligations. CREDIT RISK

IMPACT OF THE ECONOMIC AND HEALTH CRISIS

ACTIONS IMPLEMENTED

V G eneral deterioration in the economic environment and financial situation of counterparties. V T emporary contraction of syndication activities.

Very high selectivity for new operations. Review of portfolios vulnerable to the health crisis and implementation of risk reduction measures.

Breakdown of the cost of risk in 2020 (1)

162 bps

128 bps

123 bps

-30 %

117 bps

94 bps

-10 %

-40 %

-40 %

Active management of distribution risk.

-70 %

-90 %

-60 %

-60 %

(1) Cost of risk excluding credit institutions. Cost of risk expressed in bps of total outstandings, beginning of period. Main impacts related to COVID-19: IFRS 9, fraudulent credit counterparties, airlines​

2020

1st quarter 2020

2nd quarter 2020

3rd quarter 2020

4th quarter 2020

COVID-19 impacts

Cost of risk excl. COVID-19

Market risk is the risk of loss in value caused by any adverse fluctuations in market parameters. MARKET RISK

IMPACT OF THE ECONOMIC AND HEALTH CRISIS

ACTIONS IMPLEMENTED

Change in regulatory VaR (1-day 99%VaR) and stressed VaR (1-day 99% SVaR)

Daily monitoring with senior management. Reduction of exposure on the most sensitive portfolios. Special attention to the valuation of transactions.

V V ery high volatility in all markets worldwide, particularly in equities and commodities (oil).

(in €M)

40 35 30 25 20

15 10 5 0 31/12/19 31/01/20 28/02/20 31/03/20 30/04/20 31/05/20 30/06/20 31/07/20 31/08/20 30/09/20 31/10/20 30/11/20 31/12/20 VaR réglementaire VaR stressée réglementaire

Operational risk is the risk of loss resulting from an inadequacy or failure of internal processes. OPERATIONAL RISK

IMPACT OF THE ECONOMIC AND HEALTH CRISIS

ACTIONS IMPLEMENTED

Support in the implementation of the remote working system. Adjustment of operational and legal processes to the context. Special attention to trading activities. Strengthening of the risk management system related to outsourced services.

V R isks related to the implementation of generalized remote working. V I ncreased risk related to outsourced services, internal and external fraud, and cybercrime.

30 incidents directly related t o in ternal or service provider failures due t o the heal th crisis (based on incidents identified/ declared as at 31/12/2020)

< € 1 M financial impact of incidents directly related t o the health crisis (based on incidents identified/ declared as at 31/12/2020)

Structural balance sheet risks cover the risk of managing the bank’s liquidity in order to meet its liquidity commitments, the risk of losses linked to changes in interest rates and credit spreads in bank portfolios, structural foreign exchange risk and the management of regulatory constraints and ratios. STRUCTURAL BALANCE SHEET RISKS

IMPACT OF THE ECONOMIC AND HEALTH CRISIS

ACTIONS IMPLEMENTED

V Acute liquidity

Liquidity coverage ratio

Leverage ratio (2)

Activation of Contingency Funding Plan (CFP) by Natixis and BPCE to manage the liquidity crisis and support business line needs (EMP, markets).

crisis with a peak in March-April. V Closing of the wholesale market in euros. V Implementation of quantitative easing by central banks.

4.7 % 4.6%

4.5 %

4.4 %

126 % 126 %

4.1 %

124 %

112 %

105%

(2) L everage ratio: see section 3.3.2.2 of Chapter [3].

31/12/19

31/12/19

31/12/20

31/12/20

31/03/20

31/03/20

30/06/20

30/09/20

30/06/20

30/09/20

17

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020