NATIXIS // 2021 Universal Registration Document

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

and (ii) for the foreign exchange component in the item “Accrual accounts”. At December 31, 2021, the accounting principle for the valuation portion of currency swaps was revised, thus the two interest rate and foreign exchange components of the term leg are included in the valuation of derivatives at the level of financial assets/liabilities at fair value through profit or loss (“Derivatives excluding hedges”). This change had no impact on the income statement.

Change in the method of accounting and presentation of currency swaps At December 31, 2021, Natixis changed the presentation and accounting of currency swaps. Before December 31, 2021, the valuation of the currency swaps of the forward leg was recognized in the balance sheet (i) for the interest rate component in the item “Derivatives excluding hedging”

The following table summarizes the effects of this change in presentation on the various items:

31/12/21

31/12/20

Before change

After change

Before change

After change

Change

(in billions of euros)

Change

Assets Financial assets at fair value through profit or loss

210.4

5.9

216.3

206.1

5.9 0.0 5.9

212.0

Accrual accounts and other assets

5.1

(0.2)

4.9

4.7

4.6

TOTAL ASSETS

495.3

5.8

501.1

562.7

568.6

Liabilities Financial liabilities at fair value through profit or loss

208.5

5.8

214.2

194.8

5.9

200.6

Accrual accounts and other liabilities

6.3

6.3

6.4

6.4

TOTAL LIABILITIES

495.3

5.8

501.1

562.7

5.9

568.6

Hedging instruments In line with the option offered by IFRS 9, Natixis has chosen to continue applying IAS 39 to account for its hedging transactions. IAS 39 recognizes three types of hedging relationship: cash flow hedges, fair value hedges and hedges of net investments in foreign operations. Derivatives may only be designated as hedges if they meet the criteria set out in IAS 39 at inception and throughout the term of the hedge. These criteria include formal documentation that the hedging relationship between the derivatives and the hedged items is both prospectively and retrospectively effective. Hedging relationships are presumed to be effective when, retrospectively, changes in the value of the hedging instrument offset changes in the value of the hedged item within a range of 80-125%. Cash flow hedging Cash flow hedging is used to hedge future cash flows from an existing or highly probable future transaction. Hedging of variable-rate borrowings and issues Natixis uses interest rate swaps borrowing at fixed rates to fix future costs of interbank borrowings and public/private issues. Hedging of variable-rate loans Natixis uses plain vanilla interest rate swaps lending at fixed rates to fix future variable-rate borrowing costs. Overall hedging of interest rate risk Cash flow hedges are mainly used to hedge Natixis’ overall interest rate risk. The documentation for these structural hedges is based on future variable cash management schedules for all variable-rate transactions.

5

Prospective hedge effectiveness tests involve establishing (by index and currency): cumulative variable-rate borrowings and fixed-rate borrower swaps by maturity bracket, cumulative variable-rate loans and fixed-rate lender swaps, by maturity bracket. Hedging is demonstrated if, for each maturity, the nominal amount of the items to be hedged is greater than the notional amount of the hedging derivatives. Retrospective hedge effectiveness tests are used to verify whether the hedge was effective at different reporting dates. At each such date, changes in the fair value of hedging instruments (excluding accrued interest) are compared with changes in the fair value of the hypothetical derivative instruments hedged (synthetic instruments representative of hedged assets or liabilities and management intentions). Changes in the fair value of hedging instruments must offset changes in the fair value of hedged items within a range of 80-125%. Outside these limits, the hedge would no longer qualify. Accounting for cash flow hedges The effective portion of the gain or loss on the hedge is recognized directly in equity, while the ineffective portion is taken to income statement at each reporting date under “Net gains or losses on financial instruments at fair value through profit or loss”. No specific entries are made for hedged items (other than those that would be made if they were not hedged). When a hedging relationship is interrupted, in particular when the efficiency ratio goes out of range [80-125%], the accounting treatment then consists of reclassifying the derivative under “Financial instruments at fair value through profit or loss” and reversing through profit or loss, as and when the hedged transaction has its effects in profit or loss, the amount of the efficiency accumulated in respect of previous hedging periods in equity that can be recycled under “Gains and losses recognized directly in equity”.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021