NATIXIS // 2021 Universal Registration Document

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

Any contractual option that creates risk exposure or cash-flow volatility that is not consistent with a basic lending arrangement, such as exposure to fluctuations in the price of stocks or of a market index, or the introduction of leverage, would make it impossible to categorize contractual cash flows as “SPPI”. Non-SPPI financial assets include mutual fund units and convertible bonds or mandatory convertible bonds with a fixed conversion ratio. Natixis has introduced the operational procedures necessary to analyze the SPPI status of financial assets when they are initially recognized. A specific cash flow analysis is also carried out for securitization fund units or any other financial assets issued by structures that establish an order of payment priority between bearers and create concentrations of credit risk (tranches). Determining the SPPI status of these instruments requires an analysis of the contractual cash flows and credit risk of the assets concerned and of the portfolios of underlying financial assets (according to the look-through approach). Financial assets at amortized cost 5.1.3 Financial assets recognized at amortized cost correspond to debt instruments, in particular loans and receivables due from credit institutions and customers as well as securities carried at amortized cost such as treasury bills and bonds. They are measured at amortized cost if they meet the following two conditions: the asset is held in a business model whose objective is to collect V contractual cash flows; and the contractual terms of the financial asset give rise to cash flows V that are solely payments of principal and interest on the outstanding amount due, on specific dates. In this case, the asset is considered basic and its cash flows are categorized as SPPI. They are initially recorded at fair value plus or minus transaction costs. In the case of loans, transaction costs include fees and any expenses directly attributable to setting up the loan. On subsequent balance sheet dates, they are measured at amortized cost using the effective interest method. The “effective interest rate” is the rate that discounts estimated future cash flows to the value of the debt instrument at inception. This rate includes any discounts and any external transaction income or costs directly related to the issue of the loans, which are treated as an adjustment to the effective yield. When loans are granted at below-market interest rates, a discount corresponding to the difference between the face value of the loan and the sum of future cash flows discounted at the market interest rate is deducted from the face value of the loan. The market rate of interest is the rate applied by the vast majority of financial institutions at any given time for instruments and counterparties with similar characteristics. Interest accrued or received on debt instruments is recorded in income under “Interest and similar income” using the effective interest rate method. If the instruments are sold, the gain or loss is recorded in the income statement under “Net gains or losses resulting from the derecognition of instruments at amortized cost”.

In the context of the Covid-19 crisis, Natixis granted SGLs (State-Guaranteed Loans) under the provisions of the amending finance law for 2020 and the conditions set by the decree of March 23, 2020. This involved financing guaranteed by the State for a proportion of the amount borrowed of between 70% and 90% depending on the size of the borrowing company (with a waiting period of two months after the date of disbursement at the end of which the guarantee became effective). With a maximum amount corresponding, in general, to three months of revenue excluding taxes, these loans are accompanied by a one-year repayment deductible. At the end of this year, the customer can either repay the loan or amortize it over one to five additional years, with the possibility of extending the capital deductible by one year (in accordance with the announcements of the Minister of the Economy, Finance and Recovery of January 14, 2021) without extending the total duration of the loan. The guarantee compensation conditions are set by the State and are applicable by all French banking institutions: the bank retains only a portion of the guarantee premium paid by the borrower (the amount of which depends on the size of the company and the maturity of the loan) remunerating the risk it bears and which corresponds to the portion of the loan not guaranteed by the State (between 10% and 30% of the loan depending on the size of the borrowing company). The contractual characteristics of the SGLs are those of basic loans (SPPI criterion). The loans are held by Natixis under a management model aimed at collecting their contractual flows until maturity. As a result, the loans were recorded in the consolidated balance sheet under “Loans or receivables to customers at amortized cost”. The State guarantee is considered to be an integral part of the terms of the contract and is taken into account in the calculation of impairments for expected credit losses. The guarantee fee paid when the loan is granted by Natixis is recognized in profit or loss over the initial term of the SGL using the Effective Interest Rate (EIR) method. The impact is presented in the net interest margin. Subsequent changes in the expected flows of these premiums resulting from the actual terms of repayment (depending on the choice of the borrowers at the end of the first year of the deductible and the possibility of extending the deductible for an additional year) give rise to immediate recognition in income (see impact disclosed in Note 6.1). As of December 31, 2021, Natixis had granted 82 SGL applications (compared with 86 as of December 31, 2020) for an amount outstanding of €2,152 million (compared to €2,503 million as of December 31, 2020). The SGLs currently classified as non-performing represent an amount of €0.3 billion (of which approximately 95% are classified as forbearance) and are provisioned in the amount of €9.4 million (i.e. approximately 30% of the unhedged portion). SGLs classified as forbearance on healthy exposures are marginal (less than 5% of outstandings). “Restructured” loans correspond to loans with modified terms under which Natixis grants a concession to borrowers facing or likely to face financial difficulties. They are a combination of a concession granted by Natixis and financial difficulties experienced by the borrower. The modified terms of restructured loans must put the borrower in a more favorable situation (e.g. suspension of interest or principal payment, extension of term, etc.) and are confirmed by the use of amendments that modify the terms of an existing contract or by the full or partial refinancing of an existing loan. Financial difficulties are determined by observing a number of criteria such as amounts past due for more than 30 days or an at-risk rating. The implementation of “restructuring” does not necessarily mean the counterparty concerned by the restructuring is to be classified in the Basel defaults category. The default classification of the counterparty depends on the result of the viability test carried out during the restructuring of the counterparty. Specific case of loans restructured due to the debtor’s financial situation

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021