NATIXIS // 2021 Universal Registration Document

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

For its part, the European Union published on October 22, 2021 two regulations (Implementing Regulations (EU) 2021/1847 and 2021/1848) providing for the legal replacement rate, on the one hand, for the CHF LIBOR, the compound SARON rate, plus the spread adjustment with the CHF LIBOR determined by the ISDA on March 5, 2021 (adjustment determined following the FCA announcement concerning the discontinuation of the index), and on the other hand, for EONIA, the €STER rate (successor rate of the EONIA recommended by the working group on the euro risk-free rate) plus the margin of 8.5 basis points calculated by the European Central Bank (since October 2, 2019 the EONIA has therefore become an €ster tracker). These replacement rates will be applied following the end of the publication of the CHF LIBOR (January 1, 2022) and the EONIA (January 3, 2022), to all contracts and financial instruments for which a transition to alternative reference rates or the inclusion of a robust fallback clause (contractual provision providing for the replacement terms and conditions of the contract initially agreed between the parties), will not have been made. As regards the EURIBOR, a new calculation methodology (recognized by the Belgian regulator as complying with BMR requirements), aimed at switching to a “hybrid” EURIBOR, was finalized in November 2019. At this stage, there is moderate uncertainty as to the sustainability of EURIBOR, resulting from the limited number of banks contributing to the determination of the index and the ability to maintain, or not, the hybrid method on all tenors. In the context of this reform, in the first half of 2018, Natixis set up a project team tasked with anticipating the impacts associated with the reform of the benchmark indices, from a legal, commercial, financial, risk, systemic and accounting standpoint. Governance involving all four Natixis business lines has been set up to analyze the operational aspects of this issue. During 2019, work focused on the reform of the Euribor, the transition from the Eonia to the €STR and the strengthening of contractual clauses regarding the termination of indices. A new, more operational phase began in 2020 on the transition and the reduction of exposure to benchmarks that may disappear. It includes the use of new indices, the identification and implementation of inventory remediation plans as well as active communication with the bank’s customers. As such: The process of remediation of derivative contracts was V accelerated with the entry into force, on January 25, 2021, of Supplement 70 to the 2006 ISDA Definitions (known as the “ISDA IBOR Fallbacks Supplement”), and new definitions of FBF rates aimed at explicitly providing – for future transactions – fallback rates following the announced disappearance of LIBORs. The entry into force on the same date of the ISDA 2020 IBOR Fallbacks Protocol, which Natixis joined on December 21, 2020, also makes it possible to apply the same fallback clauses to the stock of transactions in progress with the other members of this protocol. In addition, the clearing houses switched over from cleared products to RFRs (excluding USD LIBOR) in December 2021, with the transition to €STER and SOFR The transition to the €STR and SOFR rates with regard to the compensation of collateral and the discounting of flows of collateralized derivatives was carried out by these same clearing houses in 2020. Natixis proactively approached its customers to remedy transactions under the same conditions as the clearing houses. For structured derivatives, new model clauses published by the ISDA allowing the use of risk-free rates (“RFRs”) as reference rates in transactions, were notably used. After December 31, 2021, for a very limited number of contracts, pending a transition to RFRs, synthetic YEN or GBP LIBOR will be applied;

Natixis took part in the ACPR climate pilot exercise on transition risk, which made it possible, concerning credit risk, to reflect on the methodological framework and to identify work ahead of these exercises to overcome several difficulties related in particular to the differences between the sector classification used by the ACPR and the internal classification, and the inadequacy of certain aspects of internal portfolio projection methodologies over such long horizons (projections requested until 2050). In addition, this exercise made it possible to identify the limits of the proposed scenarios that would deserve to be rethought in their severity and to question the scope of the economic sectors covered with regard to the urgency of action to limit climate change because of the major impact it could have on our societies and economies. Thus, by the end of these exercises, the impact in terms of credit risk is negligible at the time scales considered, hence the need to improve them in the future to adapt them to this type of exercise. In particular, it is necessary to fundamentally review the assumptions of the economic impacts of the ecological transition, to propose other measurement indicators that better reflect those generally used by banks, and additional work on the models and projection mechanisms must be carried out to better control of its long-term impacts. Uncertainties related to the application of certain provisions of the BMR. European Regulation (EU) 2016/1011 of June 8, 2016 on indexes used as benchmarks (the "Benchmarks Regulation" or BMR) introduces a common framework aimed at guaranteeing the accuracy and integrity of indexes used as benchmarks in financial instruments and financial contracts and to measure the performance of investment funds within the European Union. The purpose of the BMR is to regulate the provision of benchmarks, the provision of data underlying benchmarks, and the use of benchmarks within the European Union. It provides for a transition period for administrators, who have until January 1, 2022 to be approved or registered. After this date, the use by entities supervised by the EU of benchmarks whose administrators are not authorized or registered (or, if they are not located in the EU, are not subject to equivalent or otherwise recognized or approved regulations) will be prohibited. Under the BMR, interest rate benchmarks Euribor, Libor and Eonia have been designated as critical. The reform of benchmarks, was accelerated by the announcements, as of March 2021, from the Financial Conduct Authority (FCA), the UK regulator overseeing the ICE Benchmark Administration (LIBOR administrator): confirming the cessation, after December 31, 2021, of the V publication of EUR, CHF, JPY and GBP LIBORs, with the publication of the USD LIBOR being prolonged to June 30, 2023 (except for tenors 1W and 2M that will end after December 31, 2021); authorizing, for contracts entered into before December 31, 2021 V (with the exception of cleared derivatives) indexed to the YEN and GBP LIBORs (tenors of 1M, 3M and 6M), from January 1, 2022, the use of synthetic LIBOR indices based on risk-free rates published by the ICE Benchmark Administration; intended to limit the use, for new contracts (with a few rare V exceptions), from the end of 2021, of the USD LIBOR, a similar announcement having been made in November 2021 by the American authorities.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021