NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

Financial liabilities under the fair value option and credit risk 7.1.2.1 The carrying amount of financial liabilities designated at fair value through profit or loss corresponds to their fair value shown on the balance sheet. The amount contractually due on loans at maturity represents the principal amount outstandingat the reportingdate, plus any accrued interest not yet due. The amount contractually due on securitiesrepresents their redemption value. Financial liabilities under the fair value option for which credit risk is recognized in “shareholders’ equity”

31/12/2020

31/12/2019

Cumulative changes in the fair value of financial liabilities, designated at fair value through profit or loss, attributable to credit risk

Cumulative changes in the fair value of financial liabilities, designated at fair value through profit or loss, attributable to credit risk

Difference between carrying amount and amount contractually due at maturity

Difference between carrying amount and amount contractually due at maturity

Amount contractually due at maturity

Amount contractually due at maturity

Carrying amount

Carrying amount 22,677

(in millions of euros)

22,339

338

136

24,659

23,921

738

115

Debt securities (a)

Subordinated debt (a)

99

100

(1)

(1)

100

100

0

(1)

TOTAL (B) 114 Balancing payments relating to the early redemption of Natixis issues recognized in shareholders’ equity over the 2020 fiscal year totaled €0.2 million versus (a) -€2 million over the 2019 fiscal year. The fair value, determined using the calculation method described in Note 7.5, recorded in respect of internal credit risk on Natixis issues, totaled (b) -€134.9 million at December 31, 2020 versus -€113.5 million at December 31, 2019. 22,776 22,439 337 135 24,759 24,021 738

5

Besides changes in the outstanding amount, this difference reflects changes in the Natixis spread since the close of the previous year’s accounts.

Financial liabilities under the fair value option for which credit risk is recognized in net income

31/12/2020

31/12/2019

Difference between carrying amount and amount contractually due at maturity

Difference between carrying amount and amount contractually due at maturity

Amount contractually due at maturity

Amount contractually due at maturity

Carrying amount

Carrying amount

(in millions of euros)

Due to banks

151 120

146 119

5 0 0 5

96

92

4

Customer deposits

139

140

(1)

Other liabilities

3,525 3,795

3,525 3,790

3,699 3,933

3,699 3,930

0 3

TOTAL

309

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020