NATIXIS -2020 Universal Registration Document

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

(in millions of euros)

2020

Amount of Additional Tier 1 (AT1) capital at end of period

2,051

Tier 1 (Tier1) capital

14,194

Tier 2 (Tier2) capital Amount at start of period

2,262

New eligible instruments issued Redemptions during the period

350

0

Other, including prudential adjustments and phase-in arrangements

(470)

o/w impact of changes in phase-in rate

0

o/w other impact of changes in base

(470)

2,142

Amount of Tier 2 capital at end of period

TOTAL REGULATORY CAPITAL

16,337

Common Equity Tier 1 (CET1) totaled €12.1 billion at December 31, 2020, up +€1.0 billion over the period. This increase is mainly due to the following changes: cancellation, pursuant to the decision of the Board of Directors, of V the payment of the ordinary dividend in respect of the 2019 fiscal year following the recommendationof the ECB on March 27, 2020 for an increase of +€1.0 billion; profit for the fiscal year of €0.1 billion; V changes in other items of comprehensiveincome (recyclablegains V and losses directly recognized in shareholders’ equity and exchange rate effect relating to changes in the euro/dollar exchange rate) for -€0.1 billion; prudential deductions relating to goodwill and intangible assets V (+€0.1 billion), the inadequacy of adjustments for credit risk compared to expected losses according to the internal approach on doubtful exposures (-€0.1 billion) and, following the decision of the European Court of Justice of September 9, 2020, the cancellation of the deduction of security deposits to the SRF and FGDR for (+€0.1 billion);

proposed payment of a dividend of six cents per share, i.e. V -€0.2 billion. Additional Tier 1 capital fell by -€0.1 billion to €2.1 billion due to a currency effect. Tier 2 capital came to -€2.1 billion, the discount on issuance totaling -€0.1 billion for the period. The new issue of €0.4 billion in the fourth quarter had no impact on equity due to the fact that a loan of the same amount was granted to Natixis Assurancesand deducted from Tier capital. 2. At €105.0 billion, risk-weighted assets increased by +€6 billion in 2020.

3

Risk-weighted assets (NX07)

(in billions of euros)

Total RWA

Credit risk

CVA

Market risk Operational risks

31/12/2019

72.7 (1.4)

1.3

11.2

13.7

99.0 (1.4)

Changes in exchange rates Change in business activity Change in risk parameters

4.8 4.9

1.0

(0.8)

5.0 6.8

1.9

Acquisitions and disposals of investments

(1.9) (2.5) 76.6

(1.9) (2.5)

Impact of guarantees

31/12/2020

2.3

13.1

13.0

105.0

The +€1.0 billion increase in CVA can primarily be attributed to changes in by lower exposures at end-2020. Market risks were up +€1.9 billion,mainly due to market conditions in view of the health crisis, totaling €13.1 billion at December 312,020. Operational risk decreased by -€0.8 billion. This change is attributable the replacement of the benchmark indicator for 2020 with that of 2017, the standard calculation using the average indicator for the previous three years.

The +€3.9 billion increase in credit risk over the period was primarily due to the following factors: an increase in outstandings (+€4.8 billion) concentrated in V Corporate & Investment Banking; the impact of risk inputs (+€4.9 billion)mainly due to an increase in V calculation parameters; the impact from the appreciation of the dollar against the euro V (-€1.4 billion); the use of the equity method for accounting Coface’s factoring V activities following the announcement of its sale(-€1.9 billion); a guarantee impact of -€2.5 billion. V

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020