NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

Hedging derivatives 7.2 Derivatives may only be designated as hedges if they meet the criteria set out in IAS 39 at inception and throughout the term of the hedge. These criteria include formal documentationthat the hedging relationship between the derivatives and the hedged items is both prospectivelyand retrospectivelyeffective. Hedging relationshipsare presumed to be effective when, retrospectively,changes in the value of the hedging instrument offset changes in the value of the hedged item in a range of 80%-125%.

Cash flow hedges are mainly used by Natixis to hedge the overall interest rate risk. Fair value hedging is used to hedge changes in the fair value of fixed-income securities on an individual basis, as well as comprehensive hedging of the interest-rate risk of Natixis Financial Products LLC according to the carve-out provisions of IAS 39.

31/12/2020

31/12/2019

Fair value assets

Fair value liabilities

Fair value assets

Fair value liabilities

Notional

(in millions of euros)

Notional

17,060 17,060 16,738

60 60 60

100 100 100 526 526 526

Cash flow hedges Over-the-counter

15,775 15,775 15,231

59 59 59

70 70 70

Interest rate derivatives Currency derivatives

544

322

Fair value hedges Over-the-counter

129,061 129,061 129,061

171 171 171

455 455 455

180,104 180,104 180,104

265 265 265

Interest rate derivatives Currency derivatives

TOTAL

144,836

230

525

197,164

325

626

The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments market, and do not reflect the market risksassociated with such instruments.

5

311

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020