NATIXIS // 2021 Universal Registration Document

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

For the portfolios of Large Corporates, Banks and Sovereigns, which represent the largest portion of exposures, the quantitative criterion is based on the level of change in the rating since initial recognition. The deterioration thresholds for the Large Corporates and Banks portfolios are as follows:

For debt instruments recognized on the asset side of the balance sheet at amortized cost, impairments are recorded against the line on which the asset was initially shown at its net value (irrespective of whether the asset is S1, S2, S3 or POCI). Impairment charges and reversals are recorded in the income statement under “Provision for credit losses”. For debt instruments recognized on the asset side of the balance sheet against recyclable other comprehensive income, impairments are carried on the liability side of the balance sheet in recyclable other comprehensive income, with a corresponding entry on the income statement under “Provision for credit losses” (irrespective of whether the asset is S1, S2, S3 or POCI). For loan and financial guarantee commitments, provisions are recorded on the liability side of the balance sheet under “Provisions” (irrespective of whether the commitment is S1, S2, S3 or POCI). Changes in provisions are recognized in the income statement under “Provision for credit losses”. Principles of recognition of impairment losses and provisions Credit risk deterioration criteria The principles for measuring the increase in credit risk and expected credit losses applicable to most of the Natixis’ exposures are described below. The significant increase in credit risk is valued on an individual basis by taking into account all reasonable and justifiable information and by comparing the default risk on the financial instrument at the end of the fiscal year with the default risk on the financial instrument at the date of its initial recognition. Measuring an increase in the risk should, in most cases, lead to a downgrade to Stage 2 before the transaction is individually impaired (Stage 3). More specifically, the change in credit risk is measured on the basis of the following criteria: for Large Corporates, Banks and Sovereigns loan books: an V increase in credit risk is measured based on a combination of quantitative and qualitative criteria. The quantitative criterion is based on the change in rating since initial recognition. The additional qualitative criteria make it possible to classify as Stage 2 all contracts, whether 30 days past due (i.e. the assumption that payments are more than 30 days past due is not refuted), or recorded as assets on a non-S3 Watch List, i.e. undergoing financial hardship (forbearance). Additional criteria based on the sector rating and level of country risk ; Individual Customer, Professional Customer, SME, Public Sector V and Social Housing loan books: an increase in credit risk is measured based on a combination of quantitative and qualitative criteria. The quantitative criterion is based on the measurement of the change in 12-month probability of default (measured as a cycle average) since initial recognition. The additional qualitative criteria make it possible to classify as Stage 2 all contracts, whether more than 30 days past due (i.e. the assumption that payments are 30 days past-due is not refuted), or recorded as assets on a non-S3 Watch List, i.e. in a situation of redevelopment whilst undergoing financial hardship (forbearance).

Rating at origin

Significant deterioration

1 to 7 (AAA to A-)

3 notches 2 notches

8 to 10 (BBB+ to BBB-) 11 to 21 (BB+ to C)

1 notch

For Sovereigns, the deterioration thresholds on the eight-point rating scale are as follows:

Rating at origin

Significant deterioration

1 2 3 4 5 6 7 8

6 notches 5 notches 4 notches 3 notches 2 notches

1 notch

S2 directly (unless new contract originated) S2 directly (unless new contract originated)

For the portfolios of individuals, professionals and small and medium-sized companies, the quantitative criterion is based on the measurement of the change in the probability of default at one year (cycle average) since the initial recognition. The significant deterioration in credit risk is calculated on the basis of the following condition: PD_(t_calcul)^(12 months)>Δ+μ×PD_(t_octroi)^(12 months) The multiplicative (μ) and additive (Δ) criteria for the various portfolios are detailed below (transition to S2 if PD _ (to date)> μ × PD _ (at grant)+Δ):

Portfolio

MU

Delta

SME

2 1 1

0.005

Professionals

0.06 0.03

Individuals

For Specialized Financing: the criteria applied vary according to the characteristics of the exposures and the related rating system. Exposures rated under the calculation engine dedicated to large exposures are treated in the same way as Large Corporates; other exposures are treated like Small and Medium Enterprises. For all of these loan books, the ratings on which the measurement of the increase in risk is based are any available ratings produced by internal systems, as well as external ratings, particularly when an internal rating is not available. In accordance with IFRS 9, the recognition of guarantees and sureties does not affect the assessment of the significant increase in credit risk: this is based on changes in the credit risk of the debtor, without taking into account guarantees.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021