NATIXIS // 2021 Universal Registration Document

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

7.3 The table below presents the amounts offset on the Natixis balance sheet meeting the criteria set out in IAS 32, as well as the impacts linked to the existence of an enforceable right of set-off under a master netting arrangement or similar agreements that do not meet the criteria set out in IAS 32 dealing with offsetting. The net amount of financial assets and financial liabilities recognized (including amounts not offset on the balance sheet which may or may not be subject to master netting arrangements or similar agreements), after deducting the gross offset amounts, correspond to the gross balances presented on the balance sheet. The gross offset amounts reflect repurchase agreements and derivative transactions, most of which carried out with clearing houses, for which the criteria set out in IAS 32 are met: for listed derivatives, the positions recorded under the respective V asset and liability items for: index options and futures options are offset by maturity and by V currency, equity options are offset by ISIN code and maturity date; V for OTC derivatives, the information is presented in consideration V of the effects of the currency offset between asset valuations, liability valuations and variations in margin; for listed derivatives, the positions recorded under the respective V asset and liability items for: index options and futures options are offset by maturity and by V currency,

Offsetting off financial assets and liabilities

equity options are offset by ISIN code and maturity date; V as regards repurchase agreements, Natixis records on its balance V sheet the net value of repurchase and reverse repurchase agreements that: entered into with the same counterparty, and which: V have the same maturity date, V involve the same custodian (unless the custodian has signed V up to the T2S platform), are made in the same currency. V As of December 31, 2020, OTC derivatives handled with the clearing houses LCH Clearnet Ltd, Eurex Clearing AG and CME Clearing were not subjected to accounting offsets in the sense of IAS 32, but rather a daily liquidation (application of the “Settlement to Market” principle, as provided by those three clearing houses so that margin calls are now considered a routine liquidation of derivatives, rather than security deposits as before). These tables also show the impacts of master arrangements or similar agreements corresponding to derivative amounts or outstanding repos covered by master netting arrangements or similar agreements under which the net settlement criterion or the simultaneous settlement of assets and liabilities cannot be demonstrated or for which the right to set-off cannot be exercised except in the event of the default, insolvency or bankruptcy of one or more counterparties. These amounts are not offset on the balance sheet.

7.3.1

Financial assets

31/12/2021

31/12/2020*

Net amount of financial assets recognized in the balance sheet

Net amount of financial assets recognized in the balance sheet

Gross amount of financial assets offset in the balance sheet

Gross amount of financial liabilities offset in the balance sheet

Gross amount of financial assets offset in the balance sheet

Gross amount of financial liabilities offset in the balance sheet

(a)

(b)

(c) = (a) - (b)

(in millions of euros)

(a)

(b)

(c) = (a) - (b)

Financial assets at fair value through profit or loss

162,053 57,817 104,237

34,586

127,467

151,481

17,703

133,777

Derivatives

3,091

54,725 72,742

56,219 95,262

2,554

53,664 80,113

Repurchase agreements

31,495

15,149

Hedging derivatives

226

37

190

254

25

230

Loans and receivables due from credit institutions

3,683 3,683 3,035 3,035

1,850 1,850

1,833 1,833 3,035 3,035

7,812 7,812 4,141 4,141

5,057 5,057

2,755 2,755 4,141 4,141

Repurchase agreements

Customer loans and receivables

0 0

0 0

Repurchase agreements

TOTAL

168,998

36,473

132,525

163,688

22,785

140,903

Amounts not restated in relation to the financial statements at December 31, 2020 (see Note 5.4). *

31/12/2021

31/12/2020*

Net amount of financial assets recognized in the balance sheet

Net amount of financial assets recognized in the balance sheet

Impact of master netting and similar agreements (a)

Impact of master netting and similar agree ments*

Guarantees received in

Guarantees received in

cash Net exposure

cash Net exposure

(c)

(d)

(f)

(g) = (c) - (d)

(in millions of euros)

(c)

(d)

(f)

(g) = (c) - (d)

Derivatives

54,915 77,610

34,773 75,990

9,253

10,889

53,894 87,009

34,577 83,766

11,246

8,071 3,238

Repurchase agreements

8

1,612

5

TOTAL

132,525

110,763

9,260

12,501

140,903

118,343

11,251

11,309

Including guarantees received in the form of securities (a) Amounts not restated in relation to the financial statements as at December 31, 2020 (see Note 5.4). *

326

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021