NATIXIS // 2021 Universal Registration Document

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

Sensitivity analysis of the fair value of financial instruments measured according to Level 3 – Assets and Liabilities Sensitivity of the fair value of financial instruments measured using unobservable inputs was estimated at December 31, 2021. The amounts reported below are intended to illustrate the uncertainty inherent in the use of the judgment required to estimate the main unobservable parameters at the valuation date. They do not represent a measure of market risk on level 3 instruments. The estimate is based on the valuation adjustment policy. For equities and debt securities, the estimate is based on a shock of +/- 1%.

Potential impact on income statement Negative

Positive

(in millions of euros)

Equity

(6) (6)

6 8

Debt securities Equity derivatives

(13)

42 18 14

Volatility Repo rate Dividends

(5) (4) (1) (3) (2) (2) (2) (3) (2) < 1

5 5

Correlations

Fixed income derivatives

(11)

28

Interest rate volatility Exchange rate volatility Exchange rate correlations Interest rate correlations

6 6 6 5 4 1

CDS spreads

Securitization rate (CPR)

SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS

(36)

84

Restatement of the deferred margin on financial instruments 7.5.2 The deferred margin concerns financial instruments measured on the basis of one or more unobservable market parameters (see Note 5.6). This margin is deferred over time to be recognized, depending on the case, at the maturity of the instrument, at the time of sale or transfer, as time passes or when market parameters become observable. The table below shows the amount remaining to be recognized in the income statement, as well as the deferred margin of new transactions for the year.

Margin recognized during the period

Margin recognized during the period

Margin on new transac tions

Margin on new transac tions

Other changes 31/12/2021

Other changes 31/12/2020

(in millions of euros)

01/01/2020

Interest rate derivative instruments

9 0

14

(12)

3 3

14

6 4 2

(10)

0 0 1

10

Currency derivative instruments Credit derivative instruments Equity derivative instruments

2 2

(2) (2)

3 4

(2) (2)

5 5

10 99

(6)

112

(67) (12) (95)

(11)

133

174

(96)

(0) (1)

210

Repurchase agreements

4

6

11

9

11

(6)

13

TOTAL

122

136

0

163

197

(117)

0

244

338

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021