NATIXIS // 2021 Universal Registration Document

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

In the context of the Covid-19 crisis, Natixis has had to grant concessions in various forms (temporary suspension of maturities, rescheduling, etc.) to some of its customers, to help them overcome the temporary cash flow difficulties caused by the crisis. A case-by-case analysis was carried out in order to determine whether the financial difficulties encountered by the client were purely fleeting and of the moment, and whether the resulting restructuring would enable the counterparty to get through the crisis without jeopardizing its ability to honor its contractual agreements at maturity. The classification of these outstandings as “loans restructured due to the financial position of the debtor” is carried out in accordance with the aforementioned general principles. Furthermore, it is noted that Natixis did not grant any “en masse” (or “general”) moratoria, meaning moratoria offered on a wide scale to a set of clients with no specific conditions. At December 31, 2021, the gross outstandings that were subject to an (individual) moratorium amounted to €3,336.5 million, compared to €3,339.2 million at December 31, 2020. For loans restructured by amending the terms of the existing contract, with no derecognition of the initial asset, a discount must be recorded, corresponding to the difference between: the present value of the contractual cash flows initially expected; and V the present value of the revised contractual cash flows discounted V at the original effective interest rate. The discount is recorded in the income statement under “Provision for credit losses”, taking into account the characteristics of the loan prior to the restructuring operation (non-performing loan). It is written back to net interest income in the income statement over the remaining life of the loan. If the discount is not material, the effective interest rate of the restructured loan is changed and no discount is recognized. The restructured loan is reclassified as performing based on expert opinion when no uncertainty remains as to the borrower’s capacity to honor the commitment. A loan is no longer considered as restructured once the following conditions are met: a period of two years has passed since the date of the V restructuring; the loan is recognized as a performing loan at the reporting date; V no loan is past due by more than 30 days; V regular and material repayments (principal and interest) have been V made over a period of at least one year. For restructured loans either fully or partially converted into a substantially different asset (such as an equity instrument or an instrument changing from fixed rate to variable rate and vice versa)

5.1.4

Financial assets at fair value through recyclable and non-recyclable other comprehensive income

Financial assets recognized at fair value through other comprehensive income mainly correspond to debt instruments: government securities and bonds. A debt instrument is valued at fair value through shareholders’ equity only if it meets the following two conditions: the asset is held in a hold to collect and sell model with the V objective of both collecting contractual cash flows and selling financial assets; 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. Debt instruments at fair value through equity are initially recognized at their market value, including any transaction costs. At the reporting date, they are measured at fair value by applying the market price to listed securities, and changes in fair value are recorded under “Gains and losses recognized directly in recyclable other comprehensive income”. Interest accrued or received on debt instruments is recorded in income under “Interest and similar income” using the effective interest rate method. In case of sale, changes in the fair value of debt instruments are transferred to income under “Gains or losses on financial assets at fair value through other comprehensive income”. Specific case of equity instruments Equity instruments may be measured at fair value through other comprehensive income under an irrevocable option. This irrevocable option applies on a case-by-case basis and only to equity instruments not held for trading purposes. At the reporting date, they are measured at fair value and changes in fair value are recorded under “Gains and losses recognized directly in non-recyclable other comprehensive income”. Realized and unrealized gains or losses continue to be recognized in equity and are never recognized in income, except for dividends which impact income. Income from the disposal of equity instruments is transferred to “Consolidated reserves”. No impairment is recorded on equity instruments measured at fair value through other comprehensive income. Financial assets at fair value through 5.1.5 profit or loss Financial assets recorded in the fair value through profit or loss category correspond to: financial assets held for trading: these are debt and equity V instruments acquired or originated by Natixis principally to be sold in the near term and those forming part of a portfolio of financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking. Guarantee deposits and the corresponding margin calls relating to securities sold under repurchase agreements and derivatives transactions recorded under liabilities in the balance sheet are also included in this item; financial assets under the fair value option: these are SPPI V instruments not held for trading. They are designated at fair value through profit or loss on initial recognition under IFRS 9 only if this option reduces a measurement inconsistency with a related financial asset/liability in income;

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or that have given rise to a change of counterparty: the new instruments are booked at fair value; V

the difference between the carrying amount of the derecognized V loan and the fair value of the assets received in exchange is recorded in income under the provision for credit losses; any provision previously recorded on the loan is adjusted and fully V reversed if the loan is fully converted into a new asset.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021