NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

The government guarantee meets the IFRS definition of a financial guarantee because it follows the principle of indemnification and is considered as an integral part of the terms of the contract. The guarantee commission paid when the loan is awarded by Natixis to the government is booked on the income statement over time for the initial term of the GBL using the Effective Interest Rate method, and is booked under “Interest margin”. It should be noted that awarding a GBL to a given counterpartydoes not in and of itself constitute a risk degradation threshold, as it must lead to that counterparty’sother outstanding items being changed to status 2 or 3. As of December 31, 2020, Natixis had granted 86 GBL applications for an outstanding amount of €2,503 million (including €800 million for the automotiveindustry, €783.5 millionfor the air transport sector and €118.5 million for the hotel and catering sector) and the related guarantees received from the State totaled €2,269 million. Of these, 12 are classified as Purchased or Originated Credit Impaired (POCI) for an amount of €72.3 million and 19 are classified as restructured loans for an amount of €69.9 million. Commitmentsnot yet drawn down totaled €75 million, all relating to the press and publishing sector. (moratoria) and other restructurings In the context of the COVID-19 crisis, Natixis granted concessions in various forms (temporary suspension of maturities, rescheduling, etc.) to some of its customers, to help themovercome the temporary cash flow difficulties caused by the crisis. A case-by-case analysis was carried out in order to determine whether the financial difficulties encountered by the client were purely fleeting and of the moment, and whether the resulting restructuring would enable the counterparty to get through the crisis without jeopardizing its ability to honor its contractual agreements at maturity. The classification of these outstandings as “loans restructured due to the debtor’s financial situation” is carried out according to the general principles defined in Note 5.1.3. Furthermore, it is noted that Natixis did not grant any “en masse” (or “general”)moratoria, meaningmoratoria offered on a wide scale to a set of clients with no specific conditions. As of December 31, 2020, 245 loans had received moratoria for a total gross loan value of €3,339.2 million (of which €1,342.5 million was for the real estate finance sector, €258.3 million was for the nonferrousmetal producers sector, €129.7 million for the cosmetics and drugstore sector and €105 million was for the road transportation sector). Of these projects, only 24 projects, representing €269.3 million, are classified as restructured assets under concession. Provisions related to these restructured loans amount to €9 million as of December 31, 2020. Deferment of loan maturities 1.4.1.2

1.4.2

Impairment of assets at amortized cost and at fair value through other comprehensive income and provisions for financing and guarantee commitments

In order to determine the amount of expected losses at December 31, 2020 for all of its exposures eligible for provisioning, Natixis applied the methodology relating to impairments or provisions for expectedcredit losses described in Note 5.3, but made changes thereto, in order to take into account the recommendations published in the context of the health crisis by standard setters and supervisory authorities: Scenario determination The health crisis has had a major impact on the economy, with significant repercussions on many business sectors. Due to the exceptional circumstances and uncertainties, Natixis relied on the various press releases published by ESMA, the EBA, the ECB and the IASB to determine the expected credit losses in the context of the COVID-19 crisis. With this in mind, Natixis has revised its macroeconomic forecasts and adapted them to take into account the specific context of COVID-19 and measures to support the economy. Natixis used three main scenarios to calculate the IFRS 9 provisioning parameters with projections for the year 2023: the central scenario was updated based on the scenarios V determinedby its economistsand validatedby Natixis’ governance bodies in September 2020; a pessimistic scenario, corresponding to a more degraded V realization of the macroeconomic variables defined in the framework of the central scenario; an optimistic scenario, corresponding to a more favorable V realization of the macro-economic variables defined under the central scenario. Following the historic economic shock related to the COVID-19 crisis in 2020, the central scenario forecastsa strong recovery in GDP from 2021, and then return to the gradually in subsequent years at a more usual long -term pace of economicactivity. Economicactivity should thus return to its pre-crisis level (2019) in 2023. The three-year projections of the main macroeconomic variables used on the basis of the Natixis economists’ scenario for the central terminal are presented below:

5

2021

2022

2023

S&P 500

2,667

2,707

2,748

SLS VIX

13.8

5.8

5.8

22

15

12

0.25

0.25

0.25 (0.3)

Fed ref rate

Spread Libor 6-12M

(0.27)

(0.35)

263

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020