NATIXIS // 2021 Universal Registration Document

6 INDIVIDUAL FINANCIAL STATEMENTS AT DECEMBER 31, 2021 Individual financial statements and notes

2.1

Advances to banks

Specific case of loans restructured due to the debtor’s financial situation Restructured loans correspond to loans with modified terms under which Natixis grants a concession to borrowers facing or likely to face financial difficulties. They are a combination of a concession granted by Natixis and financial difficulties experienced by the borrower. The modified terms of restructured loans must put the borrower in a more favorable situation (e.g. suspension of interest or principal payment, extension of term, etc.) and are confirmed by the use of amendments that modify the terms of an existing contract or by the full or partial refinancing of an existing loan. Financial difficulties are determined by observing a number of criteria such as amounts past due for more than 30 days or an at-risk rating. The restructuringof a loan does not necessarily result in the counterparty being classified in the Basel default category, as the financial difficulty is addressed before the counterparty is Where there is a risk of partial or total non-recovery of loans or of borrowers breaching their covenants, impairment charges (for non-performing loans) or provisions (for off-balance sheet commitments)correspondingto the amount of the probable loss are recognized on the income statement under “Cost of risk”. These impairments and provisions are assessed quarterly on a case-by-case basis taking into account an analysis of the risk and available collateral. Interest corresponding to the remuneration of impaired loans and receivables or to the reversal of the effect of discounting is recognized as interest income. Impairment losses are calculated as the difference between the gross carrying amount of the receivable and the amounts thought to be recoverable (including flows from the realization of guarantees), discounted at the original effective interest rate for fixed-rate receivablesor at the last effective interest rate determinedaccording to the contractual terms for variable-rate receivables. Impairments on non-performing loans covering risks carried on the asset side of the balance sheet are deduced from the assets in question. Probable losses stemming from off-balancesheet commitmentsare recognized as provisions on the liability side of the balance sheet. Provisions for non-specific credit risk Financial assets that have not been assigned their own specific credit risk are included in groups of assets with similar risk characteristics. The compositionof these portfoliosof similar assets is based on two criteria: geographical risk and sector risk. Portfolios are reviewed quarterly and, where appropriate, loans in sectors or countries where economic circumstances suggest problems may arise are included in the base for performing loans provisions. Each group of assets is assessed for objective evidence of impairment based on observable data indicating a likely decrease in the estimated recoverable cash flows for that group of assets. A collective write-down in the balance sheet liabilities is taken against any group of assets showing objective evidence of impairment. Assets belonging to that group, which are subsequently specifically identified as impaired (specific risk), are removed from the collective write-down calculation base. downgraded into the Basel default category. Specific impairments and provisions

and customer loans Advances to banks cover all receivables other than those represented by a security, held in connection with banking transactions with credit institutions, including subordinated loans and reverse repo stock and securities. They are broken down between demand loans and deposits and term loans and time deposits. Customer loans comprise loans to economic operators other than banks, with the exceptions of those represented by a security, and reverse repo stock and securities. They are broken down by type of loan (current accounts overdrawn, commercial loans, cash loans, equipment loans, export credit, subordinated loans, etc.). Accrued interest is credited to the correspondingreceivables item on the income statement. Fees earned on the granting or acquisition of loans, as well as marginal transaction costs, are recognized using the effective interest rate actuarial method over the effective life of the loan. Recognition is shown as net interest income in Net Banking Income (NBI). Fees and transaction costs to be recognized are included in the relevant loan book. Loans that have been granted on an irrevocable basis, but have not yet given rise to any transfer of funds, are included in off-balance sheet items under “Financing commitments given”. Performing and non-performing loans are identified separately. Loans for which there is an identified credit risk, regardless of any guarantees, which makes it probable that Natixis will be unable to recover all or part of the amount owed by the counterpartyunder the terms and conditions of the loan agreement, are considered to be non-performing. In particular, loans that include payments over three months overdue are classified as non-performing loans. Non-performing loans are receivables for which an event of default has been identified as defined in Article 178 of Regulation (EU) No. 575/2013 and the provisions of Regulation (EU) No. 2018/1845 of the European Central Bank on the threshold for assessing the significance of arrears on credit obligations, applicable no later than December 31, 2020. The definition of defaulted loans is specified by: the introduction of a relative threshold and an absolute threshold, V to be applied to payment arrears to identify default situations; the clarificationof the criteria for the return to sound outstandings V with the imposition of a probationary period (12 months for restructured assets and 3 months for other assets); and the introductionof explicit criteria for classifyingrestructuredloans V as default. Loans accelerated by the lender and loans classified among non-performing loans for more than one year for which a write-off is planned are deemed to be irrecoverable. The reversal of the effect of discounting on impairments of non-performing loans associated with the passage of time is recognized under “Interest and similar income” on the income statement.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021