NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

Natixis is also the sponsor of two ABCP (asset-backed commercial paper) conduits: Magenta and Versailles. The Versailles conduit is consolidated, with Natixis holding power over activities relevant to the conduit enabling it to influence its returns, given its prominent role in choosing and managing acquired receivables as well as managing the issuance program. In contrast, given that Natixis is not part of the governing body holding the power to decide on the Magenta conduit’s relevant activities, it is not consolidated in Natixis’ financiasl tatements. Natixis Investment Managers is involved in such funds as manager of the underlying portfolio for third-party investors. Its role is strictly defined by the portfolio management agreement, which never provides it with effective control of the structure but rather with the role of agent. Furthermore, neither Natixis InvestmentManagers nor any other Natixis entity holds a material interest in these funds. Natixis is therefore not significantly exposed to the variability of returns. Credit insurance (Coface) Given the equity method of Coface’s equity investment (see Note 1.2 Significant events) , Natixis no longer has any interest in structured entities held by Coface as of December 31, 2020. At December 31,2019, Natixis had the following interests in Coface’s structured entities: The Coface sub-group’s credit enhancement operations consist of insuring receivables securitized by a third party for investors via a structured entity for losses in excess of a predefined amount. A distinction must be made between the policies taken out by the German branch Coface Deutschland and those taken out by Compagnie Française d’Assurance pour le Commerce Extérieur: under the German policies, the credit insurer is only liable for V losses in excess of a deductible termed the Aggregate First Loss. This first loss tranche contractually defines the amount of first losses that are not covered by the credit insurer. The coverage provided by Coface Kredit via these policies is similar to “Natural disaster” type coverage. An analysisof these structuresshows that the amount of the first loss is systematically higher than the expected loss, namely the average losses expected over the year. Furthermore, the activity of the structured entity is not conducted on behalf of the credit insurer, which is only a protection seller. Coface Kredit does not sponsor the securitization structures. Coface Kredit does not play any role in determining the activity of the structured entity, nor in its operational or administrative management. Coface Kredit has no power over the relevant activities of the securitization vehicle (selecting receivables comprising the portfolio, managing receivables, etc.). The criteria of power and significant exposure to returns are not met. These funds have not been consolidated in Natixis’ financial statements at December 31, 2019; the French policies taken out by Coface rarely include non-covered V “first losses”. However, the policies only cover a small portion of the receivables held by the SPE. Furthermore, the quality of portfolio risk covered by Coface, compared with that borne by the other stakeholders(other insurers, sponsors, sellers) is not such as to significantly transfer the structure’s risks to Coface. In addition, Coface does not play any role in determining the activity of the structured entity, nor in its operational or administrative management. In the event of a guarantee activation, Coface only has powers correspondingto its protective rights. As Coface does not have powers over the relevant activities of the securitization vehicle, these funds have not been consolidated in Natixis’ financial statements as of December 31, 2019. Management of CDO Asset Management structures

Other transactions 4.1.5 Natixis controls a certain number of vehicles whose purpose is to V manage operating property and non-operating property. The relevant activity is mainly the management of property as sources of returns for shareholders.Natixis generally has power over these activities. Such SPEs are consolidatedonce Natixis has a material interest and if they are material to the consolidated financial statements of Natixis. Natixis Coficiné has relationships with: V structured entities created by producers to host a film V production. Coficiné is involved only as a lender. It has no stake in the entity, which is wholly owned by the producer. Coficiné does not participate in managing the entity, as activity falls within the remit of the producer. Coficiné, and therefore Natixis, has no power over the relevant activities of these structured entities and has no control under IFRS 10. Film Industry Financing companies (SOFICA). Natixis holds a V non-material stake in these SOFICAs and receives management fees at market rates consistent with the services rendered. Natixis does not hold any other interests in these structured entities. They are therefore not subject to consolidation under IFRS 10. The table below shows the (i) carrying amount of interests held by Natixis in structured entities, broken down by major activities, as well as (ii) the maximum exposure to the risk of loss attributable to these interests. As well as the breakdown of Natixis’ interests in these entities, the table below also provides informationon the size of the entities. This information is reported on an aggregate basis, in which all entities that Natixis has an interest in, regardless of the level of the interest, are grouped together by business. The size of structured entities equates: for Securitization , to the total issues on the liability side of the V balance sheet; for Asset Management , to the fund’s net assets; V for Structured Financing , to the amount of the remaining loan V outstandings due to banks in the pool (drawn outstandings); for other activities, to the total assets. V The maximum risk exposure corresponds to the cumulative amount of interests recorded under balance sheet assets and commitments given, minus contingency reserves recorded under liabilities and guarantees received: the “Notional amount of derivatives” item corresponds to the V notional amount of option and CDS sales agreed to by Natixis with structured entities; guarantees received are guarantees granted by third parties to V Natixis to cover its exposure related to structuredentities. They are only included on the “Guarantees received” line and are not deducted from the asset items. Interests held 4.2 in non-consolidated structured entities

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020