NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

The valuation models used to price illiquid financial instruments are described in Note 7.5. Some of the unlisted equity instrumentscategorizedunder IFRS 9 as “Financial assets at fair value through profit or loss” or “Financial assets at fair value through non-recyclable other comprehensive income” consist of investments in non-consolidatedcompanies. The fair value of investments in unlisted non-consolidatedcompanies is obtained principally by using valuation methods based on multiples or DCF (discounted cash flow). Use of these methods requires certain choices and assumptions to be made in advance (in particular, projected expected future cash flows and discounrtates). Impairments for expected credit losses The impairment model for expected credit losses is based on parameters and assumptions that affect provisions and value adjustments for losses. These parameters and assumptions are based on current and/or historical data, which also include reasonable and justifiable forecasts such as the estimating and weighting of future economic scenarios. Natixis also considers the opinions of its experts when estimating and applying these parameters and assumptions. The highly uncertain environment caused by the health crisis on the global economy has required close attention in 2020 in order to make reasonable, justifiable forecasts. Natixis has thus constructed a new scenario central management, based in particular on macroeconomic projections and validated by its governing bodies (see Note 1.4.2) . Valuation of cash-generating units (CGUs) All goodwill is assigned to a CGU so that it may be tested for impairment.The tests conductedby Natixis consist in comparingthe carrying amount of each CGU (including goodwill) with its recoverable value. Where the recoverable value equals the value in use, it is determined by discounting annual free cash flows to perpetuity. Use of the discounted cash flow method involves: estimating future cash flows. Natixis has based these estimates V on forecasts included in its business units’ medium-term plans; projectingcash flows for the last year of the plan to perpetuity, at a V rate reflecting the expected annual growth rate; discounting cash flows at a specific rate for each CGU. V As of December 31, 2020, despite the high degree of uncertainty regarding the economic outlook, which consequently affects the future net income of Natixis’ business lines, all of the cash-generating units (CGUs) had their value assessed. The CGU impairment tests are presented in Note 2.5. Fair value of loans and receivables at amortized cost The fair value of loans not quoted on an active market is determined using the discounted cash flow method. The discount rate is based on an assessment of the rates used by the institution during the period for groups of loans with similar risk characteristics. Loans have been classified into groups with similar risk characteristics based on statistical research enabling factors having an impact on credit spreads to be identified. Natixis also relies on expert judgment to refine this segmentation.

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Contributions to banking

resolution mechanisms The procedure for setting up the deposit and resolution guarantee fund was changed by a French Ministerial Order dated October 27, 2015. Contributions made to the deposit and resolution guarantee fund may be paid in the form of partner or association certificates and cash security deposits (guarantee of irrevocable commitment) recognized as assets on the balance sheet and contributions (which are non-refundablein the event of a voluntarywithdrawal of approval to operate) recorded in income as “Taxes and regulatory contributions” among other operating expenses (see Note 6.7) . Directive 2014/59/EU (BRRD – Bank Recovery and Resolution Directive) which establishes the framework for the recovery and resolution of banks and investment firms and Regulation (EU) 806/2014 (SRM regulation) established the introduction of a resolution fund as of 2015. In 2016, this fund became a Single Resolution Fund (SRF) between the member States participating in the Single Supervisory Mechanism (SSM). The SRF is a resolution financing mechanism available to the resolution authority (Single Resolution Board). The latter may use this fund when implementing resolution procedures. In accordance with delegated regulation 2015/63 and implementing regulation 2015/81 supplementing the BRRD Directive on ex-ante contributions to financing mechanisms for the resolution, the Single Resolution Board set the level of contributions to the Single resolution Fund for 2019. Contributions paid to the fund may be made in cash security deposits recognizedas assets on the balance sheet (15% in cash security deposits) and in contributions recorded in income as “Taxes and regulatory contributions” (see Note 6.7) . 5.22 In preparing its financial statements, Natixis is required to make certain estimates and assumptions based on available information that is likely to require expert judgment. This exercisehas beenmade particularly difficult given the current health crisis, which has had unprecedented repercussions on the global economy. These estimates and assumptionsconstitute sources of uncertainty which may affect the calculation of income and expenses in the income statement, the value of assets and liabilities in the balance sheet and/or certain disclosures in the notes to the financial statements. Thus, the future results of certain transactions could prove to be significantly different from the estimates used for the closing of the financial statements at December 31, 2020, especially in the current circumstances of extreme uncertainty. Accounting estimates requiring assumptions to be made are mainly used to measure the items set out below: Financial instruments recorded at fair value The fair value of hybrid market instruments not traded on an active market is calculated using valuation techniques. Valuations produced using valuation models are adjusted, depending on the instruments in question and the associated risks, to take account of the bid and ask price for the net position, modeling risks, assumptions regarding the funding cost of future cash flows from uncollateralized or imperfectly collateralized derivatives, as well as counterparty and input risks. The fair values obtained from these methods may differ from the actual prices at which such transactions might be executed in the event of a sale on thme arket. Use of estimates and judgment

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020