NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

Natixis’ liquidity reserve, as defined by Basel 3 regulations. “Investmentgrade” status refers to securitieswith a rating of BBB- or higher and equivalent at Standard and Poor’s, Moody’s or Fitch. If the downgrading since the start is no longer recorded, the impairment is recognized in losses expected within 12 months. Financial assets where there is objective evidence of impairment loss due to an event which representsa known counterpartyrisk and which occurs after their initial recognition are considered as being classified as Stage 3. Asset identificationcriteria are similar to those under IAS 39 and are alignedwith the concept of default in prudential terms. Accordingly, loans and receivablesare categorizedas Stage 3 if both of the following conditions are met: there are objective indications of impairment: these are “trigger V events” or “loss events” that characterize a counterparty risk and occur after the initial recognition of the loans concerned. On an individual basis, probable credit risk arises from default events defined in Article 178 of Regulation (EU) No. 575/2013 dated June 26, 2013 relating to prudential requirements applicable to credit institutions. Objective evidence of impairment includes any payments exceeding the relative and absolute thresholds by €500 or 1% of gross exposure, that are past due by at least 90 consecutivedays, or regardless of whether any payment has been missed, the observation of financial hardship experienced by the counterparty leading to the expectation that some or all of the amounts owed may not be recovered or to the initiation of legal proceedings. Restructured loans are classified as defaulted when the loss is greater than 1% of the difference between the net present value before restructuring and the net present value after restructuring; these events are liable to lead to the recognitionof incurred losses, V that is, expected losses for which the probabilityof occurrencehas become certain. Debt instruments such as bonds or securitized transactions (ABS, CMBS, RMBS, cash CDOs) are considered impaired and are classified as Stage 3 when there is a known counterparty risk. The Group uses the same impairment indicators for debt securities classified at Stage 3 as those used for individually assessing the impairment risk on loans and receivables. For perpetual deeply subordinated notes that meet the definition of financial liabilities within the meaning of IAS 32, particular attention is also paid if, under certain conditions, the issuer may be unable to pay the coupon or extend the issue beyond the scheduled redemption date. Provision recording method Calculating expected losses on Stage 1 or Stage 2 assets Expected credit losses on Stage 1 or Stage 2 assets are calculated using the following formula: Σ t EAD(t) x PD(t) x LGD which is the sum, discounted for each projection year, of the product of the EAD, PD and LGD parameters: EAD(t) (ExposureAt Default): the amount of loss that the institution V may be exposed to on the loan in question during year t, including accelerated amortization and credit conversion factors where necessary;

Principles of recognition of impairment losses and provisions Credit risk deterioration criteria The principles for measuring the increase in credit risk and expected credit losses applicable to most of the Natixis' exposures are described below. The significant increase in credit risk is valued on an individual basis by taking into account all reasonable and justifiable information and by comparing the default risk on the financial instrument at the end of the fiscal year with the default risk on the financial instrument at the date of its initial recognition. Measuring an increase in the risk should, in most cases, lead to a downgrade to Stage 2 before the transaction is individually impaired (Stage 3). More specifically, the change in credit risk is measured on the basis of the following criteria: for Large Corporates, Banks and Sovereigns loan books: an V increase in credit risk is measured based on a combination of quantitative and qualitative criteria. The quantitative criterion is based on the change in rating since initial recognition. The additional qualitative criteria make it possible to classify as Status 2 all contracts, whether 30 days past due (i.e. the assumption that payments are more than 30 days past due is not refuted), or recorded as assets on a non-S3 “Watch list”, i.e. undergoing financial hardship (forbearance). Additional criteria based on the sector rating and level of country risk in the fiscal year 2019 are also used (see below) ; Individual Customer, Professional Customer, SME, Public Sector V and Social Housing loan books: an increase in credit risk is measured based on a combination of quantitative and qualitative criteria. The quantitative criterion is based on the measurementof the change in 12-monthprobabilityof default (measuredas a cycle average) since initial recognition. The additional qualitative criteria make it possible to classify as Status 2 all contracts, whethermore than 30 days past due (i.e. the assumption that payments are 30 days past-due is not refuted), or recordedas assets on a non-S3 Watch List, i.e. in a situation of redevelopment whilst undergoing financial hardship (forbearance). Since the fiscal year 2020, a sectoral adjustment of the probabilities of default has been made and replaces the use of the change in the rating of the sector as a criterion for monitoring the deterioration of the risk. This more accurate approach makes it possible to better account for sector-specific aspects when assessing credit risk while strengthening the discrimination related to counterparty rating. It makes it possible to mitigate the pro-cyclical impact of the previous methodology,which consistedof always downgradingto Status 2 all counterparty contracts in a sector whose rating had fallen below a certain threshold. It should be noted that the granting of an GBL or an individual moratoriumin the context of the health crisis are not, in themselves, criteria for the deterioration of the risk resulting in a transition to status 2 or 3 (see Note 1.4.1) . For all of these loan books, the ratings on which the measurementof the increase in risk is based are any available ratings produced by internal systems, as well as external ratings, particularly when an internal rating is not available. If there is no rating on the date the loan is granted or on the reporting date, it is automatically categorized as Stage 2. The standard provides that the credit risk of a financial instrument has not increased materially since its initial recognition if this risk is considered to be low at the end of the fiscal year. This provision is applied to certain investment grade debt securities managed under

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020