NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

In the absence of rights held by third parties (e.g., withdrawal or fund redemption/liquidationrights), the control of mutual funds managed by Natixis Investment Managers and Natixis Wealth Management is assessed according to the combined interests held by the entities and business lines within Natixis’ consolidated scope: as managers, Natixis Investment Managers and Natixis Wealth V Management do not invest in the funds and generally own only a few units; Natixis Assurances may take out interests in mutual funds V managed by Natixis Investment Managers via its insurance subsidiaries. These interests are subscribed in the form of euro-denominated or unit-linked insurance policies: euro-denominatedpolicies are policies under which the insured V party receives a minimum guaranteed return plus the major share of the surpluses generated by the insurance company’s main fund. Any shortfall between the fund’s return and the minimum guaranteed return is borne by the insurer, which thus incurs the risks, unit-linked policies are policies under which the insured party V selects the funds in which the insurer invests on its behalf. The value of the insurer’s interest in such funds is reflected in the insurance policies. Invested funds representing unit-linked policiesare consolidated under IFRS 10 if all of the control criteria are met cumulatively and if the funds have a material impact; other Natixis entities and business lines may hold minority V interests, intended mainly to meet cash investment needs. A fund is subject to consolidation: if Natixis acts as principal, i.e. if Natixis is a manager and is not V revocableby a limited number of people and if Natixis holds a large enough material interest to conclude that it controls thefund; or if Natixis is not a manager but owns virtually all of the units. V Non-guaranteed mutual funds subject to consolidation but not consolidated due to their materiality are listed in Note 17.1. Guaranteed mutual funds 2. Natixis guarantees the capital and/or performanceof certain mutual funds. These packaged funds are passively-managed funds. Once the structuring is established initially, it is fixed for the fund’s entire lifetime. Natixis has relatively limited exposure to negative variable returns thanks to the fund’s strict management by Natixis TradEx Solutions (formerly Natixis Asset Management Finance) and a robust risk control system put in place upon structuring and monitoredthroughout the fund’s lifetime. These controls significantly limit the risk of guarantee activation. As with non-guaranteedmutual funds, guaranteedmutual funds are subject to consolidation under IFRS 10 whenever Natixis acts as principal (e.g., Natixis acts as a non-revocablemanager and holds a material interest). Guaranteed mutual funds subject to consolidation but not consolidated due to their materiality are listed inNote 18.1. Real estate funds The relevant activities of these funds are those involving the investment and divestment of real estate assets. These funds are managed on behalf of investors by Natixis Investment Managers’ management companies (AEW Europe, AEW Central Europe, etc.). With regard to compensation,the returns received by Natixis include incomereceivedby Natixisas a managementcompany(management fees, incentive fees, etc.) and as an investor (dividends).

A fund is subject to consolidation if Natixis acts as principal (e.g., Natixis is a manager and is not revocable by a limited number of people and holds material variable returns). Real estate funds subject to consolidationbut not consolidateddue to their materiality are listed in Note 18.1. Private Equity funds As part of its Private Equity operations, Natixis makes equity investments in unlisted companies via Private Equity investment vehicles (Fonds Communs de Placement à Risque – FCPRs – Private Equity investment funds and SICARs – Sociétés d’Investissementà Capital Risque – venture capital companies) and limited partnerships which it typically manages. The analysis criteria for IFRS 10 consolidation applied to Private Equity funds are the same as those applied to real estate funds. A fund is subject to consolidation if Natixis acts as principal (e.g., Natixis is a manager and is not revocable by a limited number of people and holds material variable returns). Private Equity funds subject to consolidation but not consolidateddue to their materiality are listed in Note 17.1. Securitization transactions 4.1.4 Securitization vehicles Securitization transactions are generally constituted in the form of structured entities used to segregate assets or derivatives representative of credit risks. The purpose of such entities is to diversify and tranche the underlying credit risks, most often with a view to their acquisition by investors seeking a certain level of compensationbased on the level of risk assumed. The assets of these vehicles, and the liabilities they issue, are rated by rating agencies, which continuallymonitor the suitability between the level of risk associated with each tranche sold and the rating attributed. The following types of securitization are encountered at Natixis and involve structured entities: transactions through which Natixis (or a subsidiary) transfers V credit risk relating to one of its asset portfolios to a dedicated vehicle in cash or synthetic form; securitization transactions on behalf of third parties. These V transactionsconsist in placing the assets of a third-partycompany in a dedicatedstructure (generallya special purpose entity [SPE] or a conduit). The SPE issues units that may in some cases be subscribedto directly by investors,or subscribedto by a multi-seller conduit which refinances the purchases of its units by issuing short-maturity “notes” (treasury notes or commercial paper). Natixis is mainly involved in these entities in its capacitays: structurer/arranger of securitization transactions; V originator of securities or loans held as assets pending V securitization; credit risk intermediary between the market and the securitization V entity. Natixis completed various securitization transactions in 2020, as in 2019, relating to commercial real estate financing originated by Natixis Real Estate Capital LLC. Securitizationvehicles subject to consolidationbut not consolidated due to their materiality are listed in Note 17.1.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020