NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

Gains and losses recognized in the period

Transactions carried out in the period

Reclassifications in the period

Income statement

On out- standing transac- tions at the reporting date

On transac- tions expired or redeemed during the period

Gains and losses recognized directly in equity

Level 3 closing balance 31/12/2019*

Level 3 opening balance 01/01/2019

Procure- ment/ Issues

Sales/ Redemp- tions

Other reclassifi- cations (a)

Change in consolida- tion scope

Translation adjust- ments

Outside Level 3

To Level 3 (a)

Financial liabilities (in millions of euros) Securities held for trading Derivative instruments not eligible for hedge accounting (negative fair value) o/w interest rate derivatives o/w currency derivatives* o/w credit derivatives o/w equity derivatives Other financial liabilities held for trading Financial liabilities under the fair value option through profit or loss o/w other

5

26

(32)

0

2,054

(151)

(225)

250

(264)

(401)

598

39

1,898

192

63

(22)

45 89

(24) (30) (23)

(15)

302

2

542 724 316 315

1,042

(32)

5

(375)

8 1

18 11

251 569

65

10

2

(249)

(218)

114

(188)

(10)

287

9

1

1

1,176

37

(37)

1,161

(1,526)

(2)

809

185

475

(2)

3,339

(1,905)

4,975

2,296

5

9,368

o/w securities under the fair value option

182

475

(2)

3,339

(1,905)

4,975

2,296

5

9,366

o/w other financial liabilities under the fair value option TOTAL FINANCIAL LIABILITIES RECOGNIZED AT FAIR VALUE

3

(1)

2

3,415

365

(264)

4,776

(3,727)

(403)

5,573

2,297

44

12,075

The flows presented under the “Reclassifications in the period” columns of the above table are determined on the basis of outstanding transactions at December 31, 2019.

Debt issues were reclassified to Level 3 of the fair value hierarchy along with the underlying derivative instruments, both for instruments deemed unobservable during the period and for issues related to instruments already (a)

classified in Level 3 at December 31, 2018 (the latter are recorded under “other reclassifications”). Amounts non restated in relation to the financial statements published in 2019 (see Note 5.4). *

5

Sensitivity analysis of the fair value of financial instruments measured according to Level 3 – Assets and Liabilities Sensitivity of the fair value of financial instrumentsmeasured using unobservable inputs was estimated at December 31,2020. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in uncertain economic environments. This estimate was established using assumptions about additional adjustments to the valuation of interest rate, currency, credit and equity instruments.

(in millions of euros)

Potential impact on income statement

Shares and other equity instruments, and derivatives

21 14 13 48

Interest rate and/or foreign exchange instruments, and derivatives

Credit instruments and derivatives

SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS

Restatement of the deferred margin on financial instruments 7.5.2 The deferred margin covers only financial instruments eligible for Level 3 of the hierarchy. It is calculated after determining the valuation adjustments for uncertainty as described in Note 5.6. The outstanding non-amortized amount is recognized on the balance sheet under “Financial instruments marked to market on the incomestatement” less the market value of the related transactions.

Margin recognized during the period

Margin recognized during the period

Margin on new transactions

Margin on new transactions

Other changes

Other changes

(in millions of euros)

01/01/2019

31/12/2019

31/12/2020

Interest rate derivative instruments Currency derivative instruments

1

7

(3)

4

9

14

(12)

3

14

0

2 8

(1) (4)

0

0

2 2

(2) (2)

3

3 4

Credit derivative instruments Equity derivative instruments Repurchase agreements

16 70

(10)

10 99

(6)

(67) (12) (95)

(11)

133

98

(69) (11) (88)

0 5

112

9

4

6

11

9

TOTAL

87

124

(1)

122

136

0

163

327

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020