NATIXIS // 2021 Universal Registration Document

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

Guarantee commitments reconciliation table

Guarantee commitments

Unimpaired commitments for which expected credit losses are measured over

Unimpaired commitments for which expected credit losses are measured on a lifetime basis (S2 bucket)

Commitments impaired after their origination/

Commitments impaired on origination/ acquisition

12 months (S1 bucket) Provisions for losses

acquisition (S3 bucket)

Total

Gross exposure

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

(in millions of euros)

BALANCE AS AT 01/01/2020

21,257

(3)

3,294

(7)

129

(41)

3

0 24,682

(51)

New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers) Transfers of guarantee commitments

3,469

(1)

300

(2)

0

0

3,769

(3)

(1,113)

(3)

(748)

(7)

(3)

5

(1)

0 (1,864)

(5)

(395)

0 1

311

0 1

84

(0)

0 0 0 0

0 2

Transfers to S1 Transfers to S2 Transfers to S3

394

(394)

0

0 0

(779)

(1)

780 (75)

(1)

(1) 85

(1)

(10)

0

0

(0)

0

Fully sold, called or matured commitments

(3,983)

1

(468)

2

(1)

0

(0)

0 (4,452)

2

Variations linked to changes in exchange rates (1,477)

0 0 0

(145)

0 0 0

(28)

2 0 0

0

0 (1,651)

2 0 1

Changes in the model used Other movements (a) BALANCE AS AT 31/12/2020 (b) New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers) Transfers of guarantee commitments

3,202

9

252

0

0

3,462

20,960

(6)

2,553

(14)

433

(34)

2

0 23,946

(54)

14,144

(5)

1,431

(4)

77

0 15,652

(9)

(959)

3

(5)

7

(224)

(8)

(1)

(6)

(1,188)

(3)

(1,003)

1 0 1 0

731

(1)

272

(1)

0 0 0 0

(1)

Transfers to S1 Transfers to S2 Transfers to S3

457

(457) 1,458 (270)

0

0

0 0

0

(1,457)

(2)

(1)

(1)

0

(3)

1

273

(1)

Fully sold, called or matured commitments Variations linked to changes in exchange rates Changes in the model used

(10,965)

2

(589)

3

(101)

12

0

0 (11,655)

17

1,209

0 0 0

177

0 0 0

24

(1)

0

0 0 0

1,410

(2)

0

Other changes

(6)

(2)

0

(1)

0

(8)

(1)

BALANCE AS AT 31/12/2021 (b)

23,378 (55) Including an amendment made on December 31, 2020 concerning guarantee commitments in the form of letters of credit granted by the New York branch. (a) In 2019, these guarantees were presented for an amount net of guarantees received from other participants. The impact is of €2,930 million on commitments classified as stage 1 and of €252 million on commitments classified as stage 3. Gross carrying amount excluding insurance company contributions, i.e. €14 million at December 31, 2021 (versus €14 million as at December 31, 2020). (b) (6) 4,297 (10) 404 (33) 78 (6) 28,157

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021