NATIXIS // 2021 Universal Registration Document

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

The highly uncertain environment caused by the health crisis on the global economy has required close attention in 2020 in order to make reasonable, justifiable forecasts. Natixis has thus constructed a new central scenario based on macroeconomic projections and validated by its governance bodies. Natixis therefore used the various press releases published by ESMA, the EBA, the ECB and the IASB to determine expected credit losses in the context of the COVID-19 crisis. In view of this, Natixis has revised its macroeconomic forecasts (forward looking) and adapted them to take into account the specific context of COVID-19 and the measures taken to support the economy. In 2021, Natixis used three main scenarios to calculate the IFRS 9 provisioning parameters with projections for the year 2023: the central scenario was updated based on the scenarios V determined by its economists and validated by Natixis’ governance bodies in June 2021. This scenario was defined as part of the preparation of the 2021-2024 Strategic Plan; a pessimistic scenario, corresponding to a deterioration of the V macroeconomic variables defined under the central scenario; an optimistic scenario, corresponding to a more favorable V outcome for the macroeconomic variables defined under the central scenario. Following the historic economic shock related to the COVID-19 crisis, the baseline scenario provides for economic activity to return to its pre-crisis level in 2023 and takes into account the improvement in the various economic indicators (growth in GDP, decline in the unemployment rate) which reflect the economic recovery in France since May. The situation in the United States is also better with a level of GDP growth similar to that of the end of 2019. Although the effects of the health crisis seem to have faded in the last quarter, the US economic recovery is slower than expected and there are still uncertainties about the evolution of the economic environment. The three-year projections of the main macroeconomic variables used on the basis of the Natixis economists’ scenario for the central markers are presented below:

Taking into account both the improved outlook for the global economy and the current state of the economic recovery along with the accompanying uncertainty, Natixis has therefore decided to place significant weighting on the pessimistic scenario, while also increasing the weighting of the optimistic scenario. It therefore used the following scenario weightings for the calculation of provisions at December 31, 2021: pessimistic: 35% – central: 60% – optimistic: 5%. Probabilities of default (PD) are adjusted by sector based on an assessment of each sector’s rating over a 6- to 12-month period. The sector’s forward looking weighted average PD, determined by the transition matrix, is compared and adjusted to align with the PD equivalent to the sector’s expected rating. Lastly, it should be noted that the various models for estimating expected credit losses may be supplemented by expert adjustments increasing the amount of expected losses in an economic context of great uncertainty related to the unprecedented nature of the health crisis. In this respect, Natixis recognized an additional provision of €32 million at December 31, 2021 (compared to €22 million as at December 31, 2020). Valuation of cash-generating units (CGUs) All goodwill is assigned to a CGU so that it may be tested for impairment. The tests conducted by Natixis consist of comparing the carrying amount of each CGU (including goodwill) with its recoverable value. Where the recoverable value equals the value in use, it is determined by discounting annual free cash flows to perpetuity. Use of the discounted cash flow method involves: estimating future cash flows. Natixis has based these estimates V on forecasts included in its business units’ medium-term plans; projecting cash flows for the last year of the plan to perpetuity, at a V rate reflecting the expected annual growth rate; discounting cash flows at a specific rate for each CGU. V Fair value of loans and receivables at amortized cost The fair value of loans not quoted on an active market is determined using the discounted cash flow method. The discount rate is based on an assessment of the rates used by the institution during the period for groups of loans with similar risk characteristics. Loans have been classified into groups with similar risk characteristics based on statistical research, enabling factors having an impact on credit spreads to be identified. Natixis also relies on expert judgment to refine this segmentation. Employee benefits Natixis calls on independent actuaries to calculate its principal employee benefits. These commitments are determined using assumptions such as the salary growth rate, discount rates and rates of return on plan assets. These discount rates and rates of return are based on observed market rates at the end of each calculation period (e.g. the yield curve on AA Corporate bonds for discount rates). When applied to long-term benefit obligations, these rates introduce uncertainty into the valuations.

5

2022

2023

2024

S&P 500

4,608

4,656

4,656

SLS VIX

(9) 14

(5) 13

(6) 12 1.5

Fed ref rate

0.25 (0.2)

0.75 (0.2)

Spread Libor 6-12M

(0.1)

The quarterly update of the scenarios was carried out in November 2021 leading to the retention of the IFRS 9 scenario validated in June 2021. The figures of the Consensus Forecast of November 2021 are in fact aligned with the central markers on all indicators except for the consumer price index. The Consensus forecasts an increase in inflation which should continue in 2022 following the post-COVID economic recovery and increasing pressure on prices. However, it should be noted that the data on the consumer price index are not part of the parameters used by the IFRS 9 impairment models. In addition, although the economic outlook is improving, several European countries have again had to introduce lockdowns due to the emergence of a new variant. In order to take into account the economic consequences of these new lockdowns, it was decided to give more weight to the pessimistic scenario in the calculation of provisions.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021