NATIXIS // 2021 Universal Registration Document

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

7.19 The table below shows the financial instruments by index to be transitioned as part of the index reform (see Note 5.22) . The data presented are taken from the ALM management databases and concern financial instruments with a maturity exceeding December 31, 2021, taking into account the following conventions: financial assets and liabilities excluding derivatives are presented V on the basis of their nominal value (outstanding capital), excluding provisions, with the exception of fixed-rate securities (excluding issues) which have been deferred, including valuation;

Financial instruments subject to the index reform

derivatives are presented on the basis of their notional value at V December 31, 2021; repurchase agreements are broken down by EONIA, EURIBOR and V LIBOR indices before accounting offsetting; for derivatives comprising a borrowing leg and a lending leg, each V exposed to a benchmark rate, the two legs have been reported in the notes to the financial statements to effectively reflect Natixis’ exposure to the benchmark rates on these two legs;

31/12/2021

Financial assets

Financial liabilities

Derivatives (notional)

(in millions of euros)

EURIBOR – Euro Interbank Offered Rate EONIA – Euro OverNight Index Average

Euro Short-Term Rate (€STER) Euro Short-Term Rate (€STER)

44,239

19,505 2,572,929

175 862 184 478 220

278

4,944

LIBOR – London Interbank Offered Rate – GBP Reformed Sterling Overnight Index Average (SONIA) LIBOR – London Interbank Offered Rate – CHF Swiss Average Rate Overnight (SARON)

0 3

130,630 30,522 126,100

LIBOR – London Interbank Offered Rate – JPY Tokyo Overnight Average (TONA) LIBOR – London Interbank Offered Rate – EUR Euro Short-Term Rate (€STER)

1,154

0

261

LIBOR – London Interbank Offered Rate – USD 1W – 2M LIBOR – London Interbank Offered Rate – USD excluding tenors 1W – 2M 1

Secured Overnight Financing Rate (SOFR)

1,611

0

0

Secured Overnight Financing Rate (SOFR)

12,905 60,674

4,303 1,959,706 25,244 4,825,093

TOTAL

366

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021