NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Statutory Auditors’ report on the consolidated financial statements

Assessment of complex financial instruments Risk identified and main judgments As part of its capital markets activities within the Corporate & Investment Banking division, the Natixis Group holds on its balance sheet a significant portion of financial instruments recognizedat fair value. Differentapproaches are used to determinemarketvaluedependingon the natureand complexityof the instruments:use of directlyobservable quoted prices (instruments classified in Level 1 of the fair value hierarchy), valuation models with inputs that are mostly observable (instrumentsclassifiedin Level2) andvaluationmodelswith inputsthat are mostly non-observable (instruments classified in Level 3). In the case of complex financial instruments, particularly those in Level 3 and some in Level 2 of the fair value hierarchy, these approaches may include a significant amount of judgment given: the use of internal valuation models; V the use of valuation inputs unobservable on the market; V additional valuation adjustments made, to reflect certain market, V counterparty or liquidity risks. In the context of the health crisis and its effects on the financial markets, certain market parameters were adjusted with significant effects, notably on the valuations of equity products, in particular during the first half of 2020, as described in Note 1.4.3. We considered the assessment of complex financial instruments to be a key audit matter due to the material nature of the exposuresand the use of judgment in determining fair value and the effects of the health crisis. At December 31, 2020, Level 2 financial instruments represented assets of €155,944 million and liabilities of €173,857 million. At December 31, 2020, Level 3 financial instruments represented assets of €5,534 million and liabilities of €10,809 million. For more details, please refer to Notes 1.4.3, 5.6, 5.22 and 7.5 to the consolidated financial statements.

Our audit approach We examined the internal control procedures and systems for the identification, valuation, recognition and classification of complex financial instruments, in particular those classified inLevels 2 and 3. We tested the effectiveness of the key controls that we deemed relevant to our audit, including those relating to: the validation and periodic review, by the Risk division, of valuation V models and related adjustments; the independent verification of valuation inputs; V the determination of the main valuation adjustments; V documenting and periodically reviewing the observability criteria V used to classify complex financial instruments in the fair value hierarchyand taking into account the impacts on Day-One Profit. We carried out these checks with the assistance of our valuation specialists,with whom we also carried out independentvaluationsby examining, on a sample basis, the assumptions, methodologiesand market inputs of the valuation models used to estimate the main valuation adjustments at December 31, 2020. The valuation impacts related to the health crisis, particularly on equity products, were taken into account in our work with particular attention to the estimates used by Natixis (determination of valuation parameters and adjustments). We also examined, on a sample basis, any variances in margin calls with Natixis’ market counterparties, which helped us assess the appropriateness of the valuations. Lastly, we verified the informationpresented in the notes on financial instruments at December 31, 2020, including that relating to the impacts of the health crisis on the fair value of financiailnstruments.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020