NATIXIS // 2021 Universal Registration Document

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

operational risks related to the ability to execute new transactions V referencing the new rates and to the remediation of the stock of transactions. The project teams ensure compliance with the implementation schedules for the affected systems, and early renegotiation actions are carried out to spread the remediation workload over time; the potential financial risk which would be reflected in a financial V loss resulting from the remediation of the stock of products indexed to LIBOR. Simulations of revenue losses related to remediation without taking into account a spread adjustment applied to the alternative reference rates, are monitored directly by General Management to raise awareness of the business lines during renegotiations with customers. The application of this adjustment (or “credit adjustment spread”) aims to ensure the economic equivalence of the cash flows of the contracts before and after the replacement of the reference index by an RFR rate; valuation risks related to price volatility and basis risk resulting V from the transition to alternative reference rates. The necessary updates concerning both risk management methodologies and valuation models are used. Regarding accounting aspects, the IASB has published: in September 2019, amendments to IFRS 9, IAS 39 and IFRS 7. V They provide for exceptions, applicable temporarily to the requirements of IFRS 9 and IAS 39 on matters related to hedging, allowing the continuation of hedging relationships during the transition period of the hedged instruments and hedging to the new rates. The amendments to IFRS 7 require, for the hedging relationships to which these exceptions are applied, information on the exposure of entities to the IBOR reform, on their management of the transition to alternative benchmark rates as well as on the assumptions or important judgments they have adopted to apply these amendments. Through these amendments, the IASB aims to prevent entities from having to discontinue hedging relationships due to uncertainties associated with the IBOR reform during the period preceding the transition to alternative benchmark rates. Natixis believes all of these hedging at December 31, 2021, are affected by the reform as they have a BOR component (mainly EURIBOR or LIBOR USD). They may therefore benefit from said amendments for as long as uncertainty remains with regard to the contractual changes to be implemented as a result of the regulations, the replacement index to be applied or the period of application of provisional interest rates. Regarding the USD LIBOR rate, the counterparty of the hedging derivatives indexed to this latter index is, for the most part, the clearing house LCH Clearnet ltd, which has not, at this stage, decided on the transition methods that it intends to apply for this index; in August 2020, amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and V IFRS 16, to address issues arising from the replacement of benchmark rates by their alternative reference rate. These fair value transfers are also presented to the valuation equity committee, which validated the following transfers during the fiscal year: The application of these amendments thus enabled Natixis to not recognize any impact in the income statement at the transition date. With regard to hedge accounting, these amendments introduced new exceptions to the criteria for applying hedge accounting under IFRS 9 and IAS 39, aimed at avoiding the termination of hedging relationships. Since Natixis has not entered into hedging derivatives indexed to benchmark indices whose publication ceased after December 31, 2021 and whose maturity is after that date, these amendments have not yet been applied.

with regard to loans indexed to GBP, CHF, YEN and USD LIBOR (for V the tenors 1W week and 2M), Natixis launched remedial actions in June 2021, with a differentiated approach depending on its role in the financing (agent or participant) and the nature of said financing (syndicated or bilateral loans). At December 31, 2021, all Natixis customers committed to loans indexed to these indices were contacted to update the fallback clauses. Loans not yet remediated at this date, which also represent a very limited number of contracts, are being renegotiated, with most of the contracts in question being signed for the first quarter of 2022. Until the finalization of their remediation, these contracts will be subject to the synthetic LIBOR or the statutory fallback designated by the authorities Concerning the USD LIBOR, Natixis no longer grants loans indexed to this index since December 31, 2021; concerning issues of securities, in 2021, issues carried by Natixis V and indexed to the YEN LIBOR are remedied through the process of soliciting consent via the custodians. In the event that the holders of securities do not consent to their vote before the start of the first interest period set in 2022, the contingency plan, the terms of which depend on contractual fallback clauses (ISDA fallback clauses or synthetic LIBOR), will apply. Natixis plans to remediate issues indexed to USD LIBOR from 2022. With regard to securitization transactions, all transactions affected by the indices that ceased to be published on December 31, 2021 have been remediated. The remedial actions were carried out in accordance with the recommendations issued by the regulatory authorities and local working groups, recommending the maintenance of economic equivalence before and after the replacement of the benchmark in a contract. This principle results in the replacement of the historical reference by an alternative reference rate to which is added a fixed margin compensating the difference between these two rates. This adjustment of the index margin is mainly due to the use of credit risk margins set by the market authorities or by market practice. The materiality of LIBOR exposures at December 31, 2021, as detailed in Note 7.19, is linked to the existence, at that date, of transactions whose interest period uses a last fixing referenced to LIBOR, combined, for derivatives, with the application of ISDA fallbacks, as of January 3, 2022. The transition to benchmark rates exposes the Natixis Group to various risks, in particular: the risk associated with the management of change which, in the V event of asymmetry in the information and treatment of Natixis’ customers, could lead to disputes with them. To guard against this risk, Natixis has undertaken training initiatives for employees in the challenges of the transition of indices, customer communication campaigns and the application of a control plan; regulatory risk related to non-compliant use of reformed indices – V in particular USD LIBOR after January 1, 2022 – excluding exceptions authorized by the authorities. Employees and customers have been informed of the restrictions on these indices. In addition, Compliance has issued an exception management procedure and controls have been implemented; the risk of legal documentation on the stock of transactions for V which customers do not adopt the corrective actions to implement fallback clauses proposed by the market and/or Natixis, which could also lead to customer disputes. Natixis teams actively monitor legislative initiatives in the various jurisdictions aimed at recommending successor rates;

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021