NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

7.2.3.1

Cash flow hedging – Analysis of other items of comprehensive income

Reclassification of effective portion in income

Reclassification of effective portion in income

Change in effective portion

Hedged item partially or fully settled

Change in effective portion

Hedged item partially or fully settled

(in millions of euros)

01/01/2019

31/12/2019

31/12/2020

Amount of OCI for CFH transactions

(3)

2

(4)

(5)

36

(32)

7

5

TOTAL

(3)

2

(4)

(5)

36

(32)

7

5

The hedged portion still to be deferred came to €41 million aDtecember 31, 2020 and €59 million at December 31, 2019.

Offsetting of financial assets and liabilities

7.3 The table below presents the amounts offset on the Natixis balance sheet meeting the criteria set out in IAS 32, as well as the impacts linked to the existence of an enforceable right of set-off under a master netting arrangement or similar agreements that do not meet the criteria set out in IAS 32 dealing with offsetting. The net amount of financial assets and financial liabilities recognized (including amounts not offset on the balance sheet which may or may not be subject to master netting arrangements or similar agreements), after deducting the gross offset amounts, correspond to the gross balances presented on the balance sheet. The gross offset amounts reflect repurchase agreements and derivative transactions, most of which carried out with clearing houses, for which the criteria set out in IAS 32 are met: for listed derivatives, the positions recorded under the respective V asset and liability items for: index options and futures options are offset by maturity and by V currency, equity options are offset by ISIN code and maturity date; V for OTC derivatives, the information is presented in consideration V of the effects of the currency offset between asset valuations, liability valuations of the derivatives and variations inmargin; as regards repurchase agreements, Natixis records on its balance V sheet the net value of repurchase and reverse repurchase agreements that:

are entered into with the same clearing house, and V have the same maturity date, V involve the same custodian (unless the custodian has signed V up to the T2S platform), are made in the same currency, V for which the settlement/delivery is carried out by the same V custodian whose services make it possible to connect, at the same settlement date, the contracts concluded with the same counterparty and whose maturity and currency are identical. As of December 31, 2020, OTC derivatives handled with the clearing houses LCH Clearnet Ltd, Eurex Clearing AG and CME Clearing are not subjected to accountingoffsets in the sense of IAS 32, but rather a daily liquidation (applicationof the “Settlement to Market” principle, as provided by those three clearing houses so that margin calls are now considered a routine liquidation of derivatives, rather than security deposits as before). Thesetablesalso showthe impactsof masterarrangementsor similar agreementscorrespondingto derivativeamountsor outstandingrepos coveredby master netting arrangementsor similar agreementsunder which the net settlement criterion or the simultaneoussettlement of assets and liabilitiescannot be demonstratedor for which the right to set-off cannot be exercised except in the event of the default, insolvency or bankruptcy of one or more counterparties. These amounts are not offset on the balance sheet.

5

313

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020