NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

7.2.1

Schedule of hedging derivatives

The table below shows the breakdown of the notional amounts of thdeerivatives by maturity date.

31/12/2020

31/12/2019

Less than 1 year

Less than 1 year

1 to 5 years

6 to 10 years

Over 10 years

1 to 5 years

6 to 10 years

Over 10 years

Total

Total

Notional (in millions of euros)

Interest rate hedges Cash flow hedges Fair value hedges Currency hedges Cash flow hedges Fair value hedges

16,423 62,178 36,904 28,787 144,292 26,451 85,103 51,762 33,526 196,842

1,137 1,075 6,341 6,678 15,231

313 2,436 5,064 8,924 16,738

15,285 61,103 30,563 22,109 129,061 26,138 82,666 46,699 24,601 180,104

22 22

519 519

3 3

544 544

316 316

6 6 0

322 322

0

0

TOTAL

16,423 62,200 37,423 28,790 144,836 26,451 85,103 52,078 33,532 197,164

7.2.2

Fair value hedging of assets and liabilities

Hedging of interest rate risk

Hedging of interest rate risk

31/12/2020

31/12/2019

of which revaluation of the hedged portion

of which revaluation of the hedged portion

Hedged portion still to be deferred

Hedged portion still to be deferred

Carrying amount

Carrying amount 21,654

(in millions of euros)

Assets

19,014

396

2

212

1

Financial assets at fair value through other comprehensive income

10,570 10,570

185 185

10,407 10,198

28 28

Fixed-income securities

Shares and other variable-income securities Financial assets at amortized cost Loans and receivables due from banks Loans and receivables due from customers

209

8,444 6,547 1,897 3,623 3,623 2,244

211 169

2 2

11,247

184 154

1 1

7,909 3,300

42

30

Fixed-income securities

39

Liabilities

106 106

5,471 5,471 3,924

101 101

Financial liabilities at amortized cost Amounts due to credit institutions

32 (1) 21 54

36 (1) 13 52

Amounts due to customers

25

69

Debt securities

1,224

1,348

Subordinated debt

130

129

Cash flow hedging of assets and liabilities

7.2.3

31/12/2020

31/12/2019

Fair value of hedging derivative (a)

o/w effective portion

o/w ineffective portion

Fair value of hedging derivative (a)

o/w effective portion

o/w ineffective portion

(in millions of euros)

Hedging of interest rate risk

(11)

(19)

8 0 8

(39) (24) (64)

(39) (24) (63)

Currency hedging

25 14

25

TOTAL

5

The asset and liability fair value of the hedging derivatives is presented in net terms. (a)

312

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020