NATIXIS // 2021 Universal Registration Document

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

31/12/2021

31/12/2020

Asset

Asset

Securi tization

Mana gement

Structured Financing

Other activities Total

Securi tization

Mana gement

Structured Financing

Other activities Total

Insurance business investments (a) (in millions of euros) Financial assets at fair value through profit or loss

-

13,035

-

-

13,035

-

12,641

-

-

12,641

Trading derivatives

- -

-

- -

- -

-

- -

-

- -

- -

-

Trading instruments (excluding derivatives) Financial instruments measured using the fair value option

3,526

3,526

5,334

5,334

-

9,509 5,475

-

-

9,509 6,035

-

7,307 4,975

-

-

7,307 5,472

Available-for-sale financial assets

561

- - - - -

- - - - -

498

- - - - -

- - - - -

Loans and receivables

- - -

- - -

- - -

- - -

- - -

- - -

Held-to-maturity financial assets

Other assets

TOTAL ASSETS

561

18,510

19,071

498

17,616

18,113

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

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

Provisions

TOTAL LIABILITIES

-

-

-

-

-

-

-

-

-

-

Financing commitments given Guarantee commitments given

603

461

- - - -

- - - -

1,064

55

510

- - - -

- - - -

565

- - -

- - -

- - -

- - -

- - -

- - -

Guarantees received

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

1,164

18,970

-

-

20,134

553

18,125

-

-

18,678

Insurance business assets are classified as non-current assets held for sale at December 31, 2021. (a)

31/12/2021

31/12/2020

Asset

Asset

Securi tization

Mana gement

Structured Financing

Other activities Total

Securi tization

Mana gement

Structured Financing

Other activities Total

(in millions of euros)

Size of structured entities

87,768 232,846

78,621

1,693 400,928

85,163 200,884

80,876

952 367,875

4.3

Non-consolidated structured entities in which Natixis is involved

only as a sponsor With respect to information that must be disclosed under IFRS 12, Natixis sponsors a structured entity when both of the following indicators are met: Natixis is involved in the creation and structuring of the structured V entity; and Natixis contributes to the entity’s success by transferring assets to V it or by managing the structured entity’s relevant activities. Where Natixis’ participation is simply as an advisor, arranger, custodian or placement agent, the structured entity is presumed not to be sponsored by Natixis. Natixis plays the role of sponsor for:

mutual funds initiated by a Natixis management company and in V which Natixis holds no stake or any other interest. Reported income includes management and incentive fees received by Natixis, as well as profits and losses resulting from ongoing transactions with these funds; a US activity consisting of originating and selling real estate loans V to securitization vehicles, created by Natixis with third parties and in which Natixis holds no interest. Reported income includes structuring fees as well as capital gains and losses on the assignment of receivables.

31/12/2021

31/12/2020

Asset Management

Asset Management

Securitization

Total

(in millions of euros)

Securitization

Total

Revenues drawn from the entities

2 2 0

245

247

8 3 0

126

134

Revenues net of interest

0

2

0

3

139

Revenues net of fees and commissions

233

233

139

Net gains or losses on instruments at fair value through profit or loss Carrying value of the assets transferred from the entity during the year*

(0)

12

12

5

(13)

(8)

368

0

368

252

0

252

The carrying amount of assets transferred to these vehicles corresponds to the assets sold by Natixis during 2021 and 2020, if the information on the amounts sold by all of the investors * is not available.

Financial support to structured entities 4.4 Natixis did not grant any financial support to consolidated or non-consolidated structured entities.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021