NATIXIS // 2021 Universal Registration Document

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

Conditions for classification of financial assets under the fair value option Financial assets are designated at fair value through profit or loss when this choice provides more pertinent information or when these instruments incorporate one or more significant and separable embedded derivatives. The use of the fair value option is considered to provide more pertinent information in two situations:

where a portfolio of financial assets and liabilities is managed and V recognized at fair value as part of a documented policy of asset and liability management. Financial assets designated at fair value through profit or loss mainly consist of financial assets representative of unit-linked policies from Insurance activities.

where there is an accounting mismatch between economically V linked assets and liabilities. This arises for example in the case of an asset and a hedging derivative when the criteria for hedge accounting are not met;

31/12/2021

Accounting mismatch

Managed on a fair value basis

Embedded derivatives

Carrying amount

(in millions of euros)

Loans and receivables due from banks Loans and receivables due from customers Debt instruments in the form of securities

2,170

534

1,636

Equity instruments

25,518 27,688

25,518 26,052

TOTAL

1,636

Available-for-sale financial assets 7.10.2.3 The table below shows available-for-sale financial assets by type of instrument (fixed-income securities, variable-income securities). It discloses the gross value before impairment, the amount of impairment and the net value after impairment.

5

(in millions of euros)

31/12/2021

Securities

54,844 43,581 10,896

Debt instruments V Equity instruments (a) V

Accrued interest V

366

Impairment of available-for-sale assets

(276)

Debt instruments V Equity instruments (b) V

(51)

(225)

TOTAL

54,568

Including mutual fund units. (a) At December 31, 2021, permanent impairment of variable-income securities stood at €84 million, compared with €168 million as at December 31, 2020. (b) This expense is offset by an amount of 89% respectively, taking into account the profit-sharing mechanism (87% as at December 31, 2020). The 2021 expense can be broken down into an additional impairment loss on previously impaired securities for €8 million (€144 million as at December 31, 2020) and an allowance for newly impaired securities for €76 million (€25 million as at December 31, 2020).

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021