NATIXIS -2020 Universal Registration Document
FINANCIAL DATA Consolidated financial statements and notes
7.5.4
Fair value of financial assets and liabilities at amortized cost
Financial assets
31/12/2020
31/12/2019
Carrying amount Fair value
Carrying amount Fair value
Level 1
Level 2
Level 3
(in millions of euros)
Level 1
Level 2
Level 3
44,691
45,002
44,313
688
48,115
48,580
48,276
303
Loans and receivables due from banks at amortized cost
Current accounts overdrawn
5,181
5,133
5,090
43
5,782
5,785
5,782
Loans and receivables
36,728
37,085
36,440
645
40,357
40,819
40,516
303
Reverse repurchase agreements
2,755
2,757
2,757
1,936
1,937
1,937
Other
27
27
27
40
40
40
Loans and receivables due from customers at amortized cost
67,939
68,312
46,199
22,113
71,089
71,281
49,262
22,019
Current accounts overdrawn Other loans and receivables Reverse repurchase agreements
2,621
2,621
2,621
2,632
2,632
2,632
61,080
61,453
39,344
22,109
62,436
62,628
40,742
21,886
4,141
4,141
4,141
3,541
3,541
3,541
Finance leases
34
34
30
4
40
40
40
Factoring
0
0
0
2,346
2,346
2,346
Security deposits paid
62
62
62
0
93
93
93
Other
1
1
1
1
1
1
Debt instruments in the form of securities at amortized cost
1,930
1,983
890
1,092
1,558
1,609
686
923
TOTAL FINANCIAL ASSETS
114,560
115,297
91,403
23,893
120,762
121,471
98,224
23,245
Financial liabilities
5
31/12/2020
31/12/2019
Carrying amount
Fair value
Carrying amount
Fair value
Level 1
Level 2
Level 3
(in millions of euros)
Level 1
Level 2
Level 3
Amounts due to credit institutions
84,408
84,502
84,440
62
71,928
72,174
71,949
225
64,917
65,162
64,937
225
o/w accounts and deposits
75,162
75,259
75,197
62
o/w repurchase agreements
9,129
9,128
9,128
6,888
6,888
6,888
o/w security deposits received
82 35
82 34
82 34
65 58
65 58
65 58
o/w other
Amounts due to customers
29,798
29,745
28,446
1,299
30,485
30,489
28,663
1,826
1,247
28,320
28,324
26,944
1,380
o/w accounts and deposits
28,469
28,445
27,198
o/w repurchase agreements
17
17
17
121
121
121
o/w other
1,312
1,283
1,230
52
2,044
2,044
1,597
446
Debt securities
35,652
35,602
33,395
2,207 3,969 7,537
47,375
47,376
44,861
2,515
Subordinated debt
3,934
4,271
303
3,971
4,307
3,686
622
153,792
154,121
146,584
153,759
154,346
149,159
5,187
TOTAL FINANCIAL LIABILITIES
IFRS 13 requires disclosure in the notes to the financial statements of the fair value, as well as the associated fair value hierarchy, of all financial instruments carried at amortized cost, including loans. The valuation methods used to determine the fair value disclosed in the notes to the financial statements are described below. Loans recognized at “amortized cost” The majority of Natixis’ loans are variable-rate loans, and their fair value is determined on the basis of discounted future cash flows. The discount rate applied for a given loan is the rate at which Natixis would grant a loan with similar characteristics to a similar counterparty at the reporting date. As these are primarily variable-rate loans, the contractual rate is adjusted according to the trend in market lending rates and in counterparty risk. The fair value of repurchaseagreements is calculatedby discounting expected cash flows at the market rate on the closing date and adding a liquidity spread.
If there is a quoted price that meets the criteria of IFRS 13, the quoted price is used. The fair value of loans with an initial term of less than one year is considered to be the same as their carrying amount. This is also generally the case for financial assets with a term of one year or less and current accounts. The corresponding receivables are classified in Level 2 of the fair value hierarchy. Borrowings and savings The measurement of the fair value of Natixis’ borrowings and debt securities is based on the discountedcash flow method using inputs at the reporting date such as the underlying’s interest-ratecurve and the spread applied to lending/borrowingbetween Natixis and Group entities. The fair value of debts maturing in less than one year is considered to be the same as their carrying amount; these debts are classified in Level 2 of the fair value hierarchy.
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
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