NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Statutory Auditors’ report on the parent company financial statements

Valuation of financial instruments not quoted on an active market Risk identified and main judgments

Our audit approach We examined the internal control procedures and systems for the identification, valuation and accounting of financial instruments not quoted on an active market. We tested the effectivenessof the 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, as well as V the value adjustments made. 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 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. 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.

As part of its capital markets activities within the Corporate & Investment Banking division, Natixis holds a significant portion of financial instruments on its balance sheet that are not quoted on an active market. The determinationof the market value of these financial instruments is based on valuation techniques that include a significant amount of judgment in the choice of methodologies and data used, 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 1.2.4. We considered financial instrumentsnot quoted on an active market to be a key audit matter due to the material nature of the exposures and the use of judgment in determining fair value and the effects of the health crisis. Financialinstrumentsnot listed on activemarketsare brokendownintoGovernmentsecuritiesandequivalent, receivablesduefrom creditinstitutionsandtransactions with customers.Please refer to Note 1, to paragraphs 1 and2 of Note2, and to Notes4, 5, 6, 27 and 28 to the parent company financial statements for more details.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020