NATIXIS // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS AT DECEMBER 31, 2021 Consolidated financial statements and notes

Securitization vehicles subject to consolidation but not consolidated due to their materiality are listed in Note 16.1. Natixis is also the sponsor of two ABCP (asset-backed commercial paper) conduits: Magenta and Versailles. The Versailles conduit is consolidated, with Natixis holding power over activities relevant to the conduit enabling it to influence its returns, given its prominent role in choosing and managing acquired receivables as well as managing the issuance program. In contrast, given that Natixis is not part of the governing body holding the power to decide on the Magenta conduit’s relevant activities, it is not consolidated in Natixis’ financial statements. Natixis Investment Managers is involved in such funds as manager of the underlying portfolio for third-party investors. Its role is strictly defined by the portfolio management agreement, which never provides it with effective control of the structure but rather with the role of agent. Furthermore, neither Natixis Investment Managers nor any other Natixis entity holds a material interest in these funds. Natixis is therefore not significantly exposed to the variability of returns. 4.2 The table below shows the (i) carrying amount of interests held by Natixis in structured entities, broken down by major activities, as well as (ii) the maximum exposure to the risk of loss attributable to these interests. As well as the breakdown of Natixis’ interests in these entities, the table below also provides information on the size of the entities. This information is reported on an aggregate basis, in which all entities that Natixis has an interest in, regardless of the level of the interest, are grouped together by business. The size of structured entities equates: for Securitization , to the total issues on the liability side of the V balance sheet; for Asset Management , to the fund’s net assets; V Management of CDO Asset Management structures

Other transactions 4.1.5 Natixis controls a certain number of vehicles whose purpose is to V manage operating property and non-operating property. The relevant activity is mainly the management of property as sources of returns for shareholders. Natixis generally has power over these activities. Such SPEs are consolidated once Natixis has a material interest and if they are material to the consolidated financial statements of Natixis; Natixis Coficiné has relationships with: V structured entities created by producers to host a film V production. Coficiné is involved only as a lender. It has no stake in the entity, which is wholly owned by the producer. Coficiné does not participate in managing the entity, as activity falls within the remit of the producer. Coficiné, and therefore Natixis, has no power over the relevant activities of these structured entities and has no control under IFRS 10, Film Industry Financing companies (SOFICA). Natixis holds a V non-material stake in these SOFICAs and receives management fees at market rates consistent with the services rendered. Natixis does not hold any other interests in these structured entities. They are therefore not subject to consolidation under IFRS 10. for Structured Financing , to the amount of the remaining loan V outstandings due to banks in the pool (drawn outstandings); for other activities, to the total assets. V The maximum risk exposure corresponds to the cumulative amount of interests recorded under balance sheet assets and commitments given, minus contingency reserves recorded under liabilities and guarantees received: the “Notional amount of derivatives” item corresponds to the V notional amount of option and CDS sales agreed to by Natixis with structured entities; guarantees received are guarantees granted by third parties to V Natixis to cover its exposure related to structured entities. They are only included on the “Guarantees received” line and are not deducted from the asset items.

Interests held in non-consolidated structured entities

5

31/12/2021

31/12/2020

Asset

Asset

Excluding insurance business investments (in millions of euros)

Securi tization

Mana gement

Structured Financing

Other activities Total

Securi tization

Mana gement

Structured Financing

Other activities Total

Financial assets at fair value through profit or loss

206

1,867

1,867

628 4,568

127

1,690

1,308

592 3,717

25 48

42 29

455 640

517

1,040

Trading derivatives

18 99

80 26

211

451 169

759

Trading instruments (excluding derivatives) Financial instruments measured using the fair value option Financial instruments to be valued at fair value through profit or loss

1,648

1,941

63

780

-

-

0

-

0

-

-

-

-

-

90

1,761

8

9

1,868

54

1,619

213

12

1,897

Financial assets at fair value through other comprehensive income Financial assets at amortized cost

-

-

4

-

4

-

-

3

0

3

6,565

1,186

10,268

1,090 19,108

6,241

975

11,315

824 19,355

Other assets

13

34

8

2

58

13

37

19

6

75

TOTAL ASSETS

6,784

3,087

12,146

1,720 23,737

6,381

2,701

12,646

1,422 23,149

Financial liabilities at fair value through profit or loss (derivatives)

15

35

115

124

289

5 5

82

140

249

476

Provisions

4

0

11

2

17

-

15

2

22

TOTAL LIABILITIES

18

35

126

126

305

10

82

155

252 418

498

Financing commitments given Guarantee commitments given

8,072

254 123

3,462 2,831 7,678 8,551

429 12,218

7,088

274 158

2,064 3,098 4,127 6,556

9,846 3,501 4,387 7,652

96

203 189

3,253 9,527

161 233 814

84 27

Guarantees received

1,660 1,253

- -

- -

Notional amount of sales of options and CDS MAXIMUM EXPOSURE TO RISK OF LOSS

333 10,137 2,495 39,801

281

14,541

3,464

19,301

14,206

3,134

20,223

2,176 39,739

289

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021