NATIXIS // 2021 Universal Registration Document

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

For these instruments, the following table provides the main unobservable inputs as well as value ranges.

Unobservable data intervals min – max (DEC21)

Instrument class

Main types of products

Valuation techniques used Main unobservable data

Interest rate derivatives Sticky CMS/Volatility Bond

Valuation models for interest rate options Model representing several yield curve factors

Mean-reversion parameters

[0.5% – 2.5%]

Interest rate derivatives Callable Spread Options and Corridor Callable Spread Options

Mean-reversion spread

[0% – 30%]

Interest rate derivatives Bermuda Accreting

Accreting Factor

[61% – 94%]

Interest rate derivatives Volatility cap/floor

Valuation models for interest rate options Different equity option valuation models, equity baskets or funds

Interest rate vol.

[3% – 95.21%]

Equity

Plain vanilla derivatives and complex derivatives, equity basket or funds

Equity volatility

[0.26% – 290.41%]

Fund volatility

[3.89% – 36.75%]

Stock/stock correlations

[11.87% – 99.02%]

Repo for general collateral baskets

[-0.76% – 1.20%]

Forex

Forex derivatives

Forex options valuation model

Forex volatility

[6.7612% – 13.074%]

Forex

Long-term PRDC/PRDKO/TARN Hybrid fixed income/forex options valuation model

Correlation between forex rates and interest rates as well as long-term volatility levels Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

[-40% – 60%] [6.7612% – 13.074%]

Credit

CDO

The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data Discounted cash flow expected based on the underlying portfolio’s early redemption assumptions Hybrid model coupling an equity diffusion, a FX diffusion and a fixed income diffusion

80.00%

Credit

Securitization swaps

Prepayment rate

[27.6% – 53.9%]

5

Hybrid

Hybrid equity/fixed income/forex (FX) derivatives

Equity-Forex correlations

[-49.25% – 55%]

Equity-Rate correlations

[23.1% – 42%]

Fixed Income/Forex correlations

[-35% – 32.8%]

Forex

Helvetix: Strip of long-term options, Strip of quanto options, Strip of digital options

Black & Scholes model

EURCHF/EURUSD correlation [11.25% – 20.67%]

Helvetix: Spread options and digital spread options

Gaussian copula

USDCHF & EURCHF long-term volatility

USDCHF volatility: [8.0039% – 10.9906%] EURCHF volatility: [6.9699%- 8.1764%]

d) Fair value transfers are examined and approved by the Fair Value Levels Committee, which brings together the Finance and Risk functions and the Business lines. To do this, the Fair Value Levels Committee relies on observability studies of valuation models and/or parameters that are carried out periodically. These fair value transfers are also presented to the valuation equity committee, which validated the following transfers during the fiscal year: to fair value level 3 OTC derivatives and issues due to a V methodological refinement in the observability of market parameters; from fair value level 1 to fair value level 2 a number of listed V derivatives due to a methodological refinementa number of listed derivatives;

Natixis’ policy on transfers between fair value levels

to fair value level 3 the loan trading activity due to the illiquidity of V the market; reductions that have been transferred to fair value level 2 in order V to harmonize the fair value of the reductions. As a reminder, the main reclassifications carried out at December 31, 2020 (see Note 7.5.1.) concerned: Bermudan accreters (in Australian dollars) with a residual maturity V of between 10 and 20 years, which were transferred to fair value level 2 due to the non-materiality of the accreting factor parameter (see table above) ; mono-underlying structured products indexed on equity which V were transferred to level 3 following the review of the observability horizon of the valuation inputs (volatility, repo, dividends) of the underlying assets.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021