NATIXIS // 2021 Universal Registration Document

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

7.5.4 Financial assets

Fair value of financial assets and liabilities at amortized cost

As at December 31, 2021

As at December 31, 2020

Carrying amount

Fair value Level 1 Level 2 Level 3

Carrying amount

Fair value Level 1 Level 2 Level 3

(in millions of euros)

Loans and receivables due from banks at amortized cost

86,732

86,946

86,814

131

44,691

45,002

44,313

688

Current accounts overdrawn

6,971

6,949

6,949

0

5,181

5,133

5,090

43

Loans and receivables

77,919

78,154

78,023

131

36,728

37,085

36,440

645

Reverse repurchase agreements

1,833

1,833

1,833

2,755

2,757

2,757

Other items

10

10

10

27

27

27

Loans and receivables due from customers at amortized cost

70,146

70,576

48,409

22,167

67,939

68,312

46,199

22,113

Current accounts overdrawn Other loans and receivables Reverse repurchase agreements

2,110

2,110

2,110

2,621

2,621

2,621

64,900

65,331

43,170

22,160

61,080

61,453

39,344

22,109

3,035

3,035

3,032

3 4 0

4,141

4,141

4,141

Finance leases

33 66

33 66

29 66

34 62

34 62

30 62

4 0

Security deposits paid

Other items

1

1

1

1

1

1

Debt instruments in the form of securities at amortized cost

1,277

1,276

600

676

1,930

1,983

890

1,092

TOTAL FINANCIAL ASSETS

158,155 158,798

135,824

22,975 114,560 115,297

91,403

23,893

Financial liabilities

As at December 31, 2021

As at December 31, 2020

Carrying amount

Fair value Level 1 Level 2 Level 3

Carrying amount

Fair value Level 1 Level 2 Level 3

(in millions of euros)

Amounts due to credit institutions o/w accounts and deposits o/w repurchase agreements o/w security deposits received

135,863 136,091

135,507 129,474

584 584

84,408 75,162

84,502 75,259

84,440 75,197

62 62

129,829

130,058

5,985

5,985

5,985

9,129

9,128

9,128

48

48

48

82 35

82 34

82 34

o/w other

1

0

0

Amounts due to customers o/w accounts and deposits o/w repurchase agreements

34,355 32,280

34,356 32,281

32,524 30,449

1,831 1,831

29,798 28,469

29,745 28,445

28,446 27,198

1,299 1,247

17

797

797

797

17

17

o/w other

1,278

1,278

1,278

0

1,312

1,283

1,230

52

Debt securities

38,723

38,725

36,607

2,118 4,368

35,652

35,602

33,395

2,207 3,969 7,537

Subordinated debt

4,073

4,374

6

3,934

4,271

303

TOTAL FINANCIAL LIABILITIES

213,014 213,546

204,644

8,901 153,792 154,121

146,584

IFRS 13 requires disclosure in the notes to the financial statements of the fair value, as well as the associated fair value hierarchy, of all financial instruments carried at amortized cost, including loans. The valuation methods used to determine the fair value disclosed in the notes to the financial statements are described below. Loans recognized at amortized cost The majority of Natixis’ loans are variable-rate loans, and their fair value is determined on the basis of discounted future cash flows. The discount rate applied for a given loan is the rate at which Natixis would grant a loan with similar characteristics to a similar counterparty at the reporting date. As these are primarily variable-rate loans, the contractual rate is adjusted according to the trend in market lending rates and in counterparty risk. The fair value of repurchase agreements is calculated by discounting expected cash flows at the market rate on the closing date and adding a liquidity spread.

If there is a quoted price that meets the criteria of IFRS 13, the quoted price is used. The fair value of loans with an initial term of less than one year is considered to be the same as their carrying amount. This is also generally the case for financial assets with a term of one year or less and current accounts. The corresponding receivables are classified in Level 2 of the fair value hierarchy. Borrowings and savings The measurement of the fair value of Natixis’ borrowings and debt securities is based on the discounted cash flow method using inputs at the reporting date such as the underlying’s interest-rate curve and the spread applied to lending/borrowing between Natixis and Group entities. The fair value of debts maturing in less than one year is considered to be the same as their carrying amount; these debts are classified in Level 2 of the fair value hierarchy.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021