NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

Employee benefits Natixis calls on independent actuaries to calculate its principal employee benefits. These commitments are determined using assumptions such as the salary growth rate, discount rates and rates of return on plan assets. These discount rates and rates of return are based on observed market rates at the end of each calculation period (e.g. the yield curve on AA Corporate bonds for discount rates). When applied to long-termbenefit obligations, these rates introduce uncertainty into the valuations. Liabilities related to insurance policies Insurance technical reserves are calculated using assumptions and estimates that may lead to adjustments in amounts reported over the subsequent period: for personal protection insurance, claims reserves are calculated V by modeling claims experience; for life insurance, underwriting reserves are computed based on V economic and financial assumptions, mortality and morbidity tables, and behavioral statistics, for example concerning surrenders; for non-life Insurance, technical reserves comprise provisions for V unearned premium income (calculated on an accrual basis and representingthe portion of premiums issued during the period that relate to a period after the reporting date) and reserves for claims to be paid, correspondingto known and unknown claims that have occurred but not yet paid at the reporting date. Liability adequacy test In accordance with IFRS 4, insurance technical reserves are calculated using methods stipulated by local regulations. A liability adequacy test is carried out in order to ensure that the insurance liabilities as presented in the consolidated financial statements are sufficient to cover future cash flows estimated at that date. The test is based on a stochasticmodeling of discounted future flows. If the liability is inadequate, potential losses are fully booked in net income. Deferred profit-sharing The participation rate used to calculate deferred profit-sharing is determined based on payout ratios projected over the term of the medium-term plan and in line with the actual pay-out ratio for the previous fiscal year. In the event of a deferred profit-sharingasset, a recoverability test is carried out to verify that liquidity requirements arising from an unfavorable economic environment do not force the sale of assets and generate unrealized losses. This recoverability test relies on projected future cash flows based on various economic assumptions about historical redemptions and inflows (see Note 8.2.5) . Deferred taxes As a precaution, Natixis records a net deferred tax asset linked to its ability to generate taxable income over a given period (10 years maximum), while tax loss carry forwards are deductiblewith no time limitation in France and the UK or over very long periods (20 years in the US for tax losses prior to January 1, 2018). To that end, Natixis prepares tax business plans based on the medium-term plans for the business lines.

Uncertainty over income tax treatments (IFRIC 23) Natixis discloses uncertainty over income tax treatments in its financial statements where it concludes that it is not probable that the tax authority will accept them. To determine if a tax position is uncertain and assess its impact on the amount of the Group’s income tax, Natixis assumes that the tax authority will verify all reported amounts with comprehensive knowledge of all available information. It bases its judgment in particular on administrative doctrine, legal precedence and the history of rectifications carried out by the tax authority on similar uncertainties. Natixis reviews the estimate of the amount it expects to pay to or receive from the tax authority in respect of tax uncertainties, in the event of changes in associatedevents and circumstances,which may arise, for example, from changes in tax laws, the end of a limitation period, or the outcome of controls and initiatives conducted by the taaxuthorities. Other provisions Provisions recognized in the consolidated balance sheet, other than those relating to financial instruments, employee benefits and insurance policies, mainly concern provisions for litigation, restructuring, fines and penalties. A provision is raised when it is likely that an outflow of resources embodying economic benefits will be required to settle an obligation arising from a past event, and when the amount of the obligationcan be reliably estimated. In order to calculate this amount, Natixis is required to assess the probability of the risk occurring. Future cash flows are discountedwhere the impact of discounting is material. Other uncertainties Uncertainties related to Brexit On June 23, 2016, the UK decided to leave the European Union (Brexit) following a referendum. After Article 50 of the Treaty on European Union was triggered on March 29, 2017, the United Kingdomand the 27 other member countries of the European Union gave themselves two years to prepare for the country’s effective withdrawal. This deadline was postponed three times, ultimately falling on January 31, 2020. A transition period then took place until December 2020, during which future trade agreements for goods and services were negotiated while the European rules in force continued to apply. On December 24,2020, the United Kingdomand the EuropeanUnion signed an exit agreement, enabling the transitionperiod to close with a framework for future business relations. However, this agreement did not concern Financial Services, so Natixis applied from January 1, 2021 the measures prepared for an exit without agreement, without significant impact on its activities. Both parties (United Kingdom and European Union) have set three months, until March 31, 2021, to negotiate specific rules for the financial sector. Natixis closely monitors the results of these negotiations in order to incorporate them, where applicable, in the assumptions and estimates used in the preparation of the consolidated financial statements. Lastly, the non-recognitionof British CCPs by European regulations is not a risk in the short term, as ESMA announced the September 21, 2020 an extension of the equivalence period to June 30, 2022.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020