NATIXIS // 2021 Universal Registration Document

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

7.1.2.1 The carrying amount of financial liabilities designated at fair value through profit or loss corresponds to their fair value shown on the balance sheet.

Financial liabilities under the fair value option and credit risk

The amount contractually due on loans at maturity represents the principal amount outstanding at the reporting date, plus any accrued interest not yet due. The amount contractually due on securities represents their redemption value.

Financial liabilities under the fair value option for which credit risk is recognized in “shareholders’ equity”

31/12/2021

31/12/2020

Cumulative changes in

Cumulative changes in the fair value of financial liabilities, designated at fair value through profit or loss, attributable to credit risk

the fair value of

financial liabilities, designated at fair value through profit or loss, attributable to credit risk

Difference between carrying amount and amount contrac tually due at maturity

Difference between carrying amount and amount contrac tually due at maturity

Amount

Amount

contrac tually due at maturity

contrac tually due at maturity

Carrying amount

Carrying amount

(in millions of euros)

Debt securities (a)

22,267

22,169

98

124

22,677

22,339

338

136

Subordinated debt (a)

100

100

0

(0)

99

100

(1)

(1)

TOTAL (b) 135 Balancing payments relating to the early redemption of Natixis issues recognized in shareholders’ equity over the 2021 fiscal year totaled a negative €3 million (a) versus €0.2 million over the 2020 fiscal year. The fair value, determined using the calculation method described in Note 7.5, recorded in respect of internal credit risk on Natixis issues, totaled a negative (b) €123.9 million at December 31, 2021 versus a negative €134.9 million as at December 31, 2020. Besides changes in the outstanding amount, this difference reflects changes in the Natixis spread since the close of the previous year’s accounts. 22,367 22,269 98 124 22,776 22,439 337

5

Financial liabilities under the fair value option for which credit risk is recognized in net income

31/12/2021

31/12/2020

Difference between carrying amount and amount contractually due at maturity

Difference between carrying amount and amount contractually due at maturity

Amount contractually due at maturity

Amount contractually due at maturity

Carrying amount

Carrying amount

(in millions of euros)

Due to banks

151

156

(5)

151 120

146 119

5 0 0

Customer deposits Other liabilities (a)

36

36

0 0

113 300

113 305

3,525 3,795

3,525 3,790

TOTAL 5 Including €3,459 million for the Insurance business line, classified as “Non-current liabilities held for sale” at December 31, 2021 (see Notes 1.2 and 7.10). (a) (5)

323

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021