NATIXIS // 2021 Universal Registration Document

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

Valuation inputs used to calculate the expense of these plans

31/12/2020

31/12/2021

Share price

2.79

Fair value of the indexed cash unit (a)

[€4.40- €5.49]

Risk-free interest rate Dividend payment rate (b)

(0.69)%

(0.56)%

7.17% 4.55%

Rights loss rate

4.97%

Corresponds to the range of fair values of indexed cash units, which from 2021 are differentiated by plan and year. (a) From 2021, the dividend forecasts are included in the fair value of the indexed cash unit. (b)

Cash-settled deferred variable compensation plans

Deferred retention and performance bonuses paid in cash are awarded to some staff. These bonuses are subject to a continued service requirement and performance criteria. In terms of accounting treatment, they are recorded under “Other long-term employee benefits”. The estimated expense is based on an actuarial estimate of the probability of these conditions being met. The expense is recognized over the vesting period. The amount recognized in respect of the 2020 fiscal year was as follows:

Expense for 2020 (in millions of euros)

Expense for 2021 (in millions of euros)

Year of allocation of the plan

Grant date

Acquisition date

March-2019 March-2020 March-2020 March-2021 March-2021 March-2022 March-2022 March-2023

2018 plan

23/02/2018

(1.1)

2019 plan

26/02/2019

(0.5)

(5.0)

2020 plan

22/01/2020

(3.6)

(3.2)

2021 plan

20/01/2021

(8.6)

(8.0)

TOTAL

(12.7)

(17.4)

Pension commitments and other long-term benefits (excluding deferred compensation 10.2.3 treated as other long-term benefits)

Post-employment defined-contribution plans Under post-employment defined-contribution plans, Natixis pays fixed contributions into a separate entity and has no obligation to pay further contributions. The main defined-contribution plans available to Natixis employees are operated in France. They include the mandatory pension scheme and the national schemes AGIRC and ARRCO.

Pension plans for which employees can voluntarily opt are operated by certain Natixis entities and are also classified as defined-contribution plans. These entities have a single contribution obligation (PERCO contribution). Contributions paid under defined-contribution plans are expensed for the period in which the services were provided.

(in millions of euros)

31/12/2020 (a)

31/12/2021

Contributions expensed under post-employment defined-contribution plans 107 Including €11 million at December 31, 2020 corresponding to the contribution of the Insurance and Payments business lines treated as discontinued operations (a) at December 31, 2021. 86

Post-employment defined-benefit plans and other long-term employee benefits Post-employment defined-benefit plans include all post-employment benefits for which Natixis has committed to pay a specified level of benefits.

Insurance contracts taken up with a related party to Natixis and intended to finance all or part of Natixis’ defined-benefit plan commitments are recorded in the asset side of the balance sheet as “Accruals and other assets”. Other long-term employee benefits comprise benefits other than post-employment and termination benefits not wholly due within twelve months of the end of the period in which employees have provided the related services. These notably include long-service awards, deferred compensation payable in cash twelve months or more after the end of the period and, since 2020, the Time Savings Account (CET). Information concerning deferred compensation treated in accordance with IAS 19 is presented in Note 10.2 and not in the tables below.

Liabilities in respect of these awarded benefits are hedged, in full or in part, by assets comprised mainly of outsourced insurance contracts managed by French insurers specializing in retirement. The insurers carry the longevity risk once the annuities are liquidated. Plan assets are invested in the insurers’ general funds, which, for the most part, generally consist of bonds. The insurers are subject to French prudential standards and regulations. The insurers also manage the asset/liability strategy for the portion of the benefit liabilities that they cover. For the other portion, Natixis has set up interest rate and liquidity hedges backed by long-term cash flows.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021