NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

6.3

Gains and losses on financial assets and liabilities at fair value

through profit or loss This item includes gains and losses on financial assets and liabilities at fair value through profit and loss, whether held for trading or designated under the fair value option or at fair value. This line item also includes interest on these instruments, except for those presented as interest income.

“Hedging derivatives” include changes in the fair value of derivatives classified as fair value hedges, excluding interest, plus the symmetrical revaluation of the items hedged. They also include the “ineffective” portion of cash flow hedges.

(in millions of euros)

31/12/2019

31/12/2020

Net gains/(losses) on financial assets and liabilities excluding hedging derivatives

1,021 1,601 3,722

2,004 5,275 (463)

Net gains/(losses) on financial assets and liabilities held for trading (b)

o/w derivatives not eligible for hedge accounting

Net gains/(losses) on financial assets to be valued at fair value through profit or loss Net gains/(losses) on financial assets and liabilities under the fair value option

66

268

(660)

(3,714)

Other

15

175 (18)

Hedging derivatives and revaluation of hedged items Ineffective portion of cash flow hedges (CFH)

(19) (11)

0

Ineffective portion of fair value hedges (FVH)

(9)

(18)

Changes in fair value hedges Changes in hedged items

(133)

(115)

124

97

TOTAL (a) 1,986 Insofar as the expenses and income presented in the income statement are classified by type and not by function, the net income of activities on financial (a) instruments at fair value through profit and loss should be considered as a whole. The results presented above do not include the refinancing cost 1,002

of these financial instruments, which is recorded in interest income or expenses. “Net gains/(losses) on financial assets and liabilities held for trading” include: (b)

5

- reductions applied to the fair value of the CDS concluded with the monoline companies: an increase in the reduced inventory was recorded during fiscal year 2020 of €4.7 million compared to an increase in the reduced inventory of €1.8 million (expense) at December 31, 2019 (excluding the impact of foreign exchange and the effect of the BPCE guarantee), bringing the total reduced stock to €29.8 million at December 31, 2020 compared with €25.1 million at December 31, 2019; - at December 31, 2020, recognized own credit risk adjustments to derivatives (debit valuation adjustments or DVA) stood at +€11.8 million (income), versus -€35.4 million (expense) at December 31, 2019. In addition, the value adjustment concerning the valuation of the counterparty risk (CVA) of financial assets is -€39.8 million (expense) at December 31, 2020 compared to an expense of -€1.2 million at December 31, 2019; - the Funding Valuation Adjustment (FVA) used on uncollateralized derivatives or imperfectly collateralized derivatives is also recognized on this line in the amount of -€3.3 million (expense) at December 31, 2020 versus €12.8 million (income) at December 31, 2019.

6.4

Gains and losses on financial assets at fair value

through other comprehensive income

The table below shows net gains and losses in financial assets at fair value through other comprehensive income recognized in net income over the period. They primarily consist of:

income on the sale of debt instruments net of the impact of V hedging instruments; dividends on equity instruments. V

(in millions of euros)

31/12/2019

31/12/2020

Net gains on debt instruments

23

9

Net gains on loans and receivables Net gains on equity instruments (dividends)

50 72

31 40

TOTAL

Unrealized gains and losses recognized over the period are presented in the “Statement of net income (loss) and gains and losses recorded directly in other comprehensive income”.

303

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020