NATIXIS // 2021 Universal Registration Document

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

Securitization assets for which the counterparties to the associated debts have recourse only to the transferred assets

31/12/2021

31/12/2020

Fair value of associated liabilities

Fair value of transferred assets

Carrying amount of associated liabilities

Fair value of associated liabilities

Fair value of transferred assets

Carrying amount of associated liabilities

Carrying amount of assets

Carrying amount of assets

Net position

Net position

(in millions of euros)

Securitization assets

4,015 4,015

3,792 3,792

4,015 4,015

3,792 3,792

(223) (223)

4,172 4,172

4,412 4,412

4,172 4,172

4,412 4,412

(240) (240)

TOTAL

7.7.2.2

Fully derecognized transferred financial assets for which continuing involvement

is maintained The fully derecognized transferred financial assets for which Natixis maintains continuing involvement include transfers of assets to a deconsolidated securitization vehicle in which Natixis has an interest or an obligation, where these latter do not compromise the transfer of virtually all of the advantages and risks attached to the transferred assets. At December 31, 2021 (as at December 31, 2020), there was no material impact from continuing involvement in a securitization vehicle maintained by Natixis. Financial assets received as security 7.7.3 and able to be sold or reused as security This heading covers financial assets received as security under financial guarantee agreements with the right to reuse the assets in the absence of any default on the part of the owner of the guarantee. The fair value of the financial assets received as security that Natixis may sell or reuse as security was €230 billion at December 31, 2021, versus €219 billion as at December 31, 2020. The fair value of the financial assets received as security that were resold or reused as security was €163 billion at December 31, 2021, versus €167 billion as at December 31, 2020.

7.7.4

Financial assets that are past due

but not impaired The table below provides, by type of financial instrument, a breakdown of the age of financial assets which were past due but not individually impaired at the reporting date. It does not take into account impairments based on any portfolios that may have been created. Past due assets are assets in arrears (i.e. missed principal or interest payments), but which have not yet been impaired. For overdrafts, arrears are counted as of the date when the customer is notified; the amount shown represents the total overdraft. “Technical” delinquencies, meaning those related to incidents occurring in the collection process and unrelated to the counterparty’s financial situation, are not included. The age of each amount in arrears is determined according to the age of the first missed payment on the balance in question. The breakdown for the period is prepared on the basis of the first missed payment.

5

Payment arrears as at 31/12/2021

Payment arrears as at 31/12/2020

> 180 days but ≤ 1 year

More than 1 year

> 180 days but ≤ 1 year

More than 1 year

> 90 days ≤ 180 days

> 90 days ≤ 180 days

Type of assets (in millions of euros)

≤ 90 days

Total ≤ 90 days

Total

Loans and receivables due from banks Customer loans and receivables Other financial assets TOTAL

349

349

333

333

349

349

333

333

347

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021