NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

7.18 The table below shows the financial instruments by index to be transitioned as part of the index reform (see Note 6.22) . The data presented are taken from the ALM management databases and concern financial instruments with a maturity exceeding December 31, 2021, taking into account the followingconventions: financial assets and liabilities excluding derivatives are presented V on the basis of their nominal value (outstandingcapital), excluding provisions, with the exception of fixed-rate securities (excluding issues) which have been deferred, including valuation; derivatives are presented on the basis of their notional value at V December 31, 2020;

Financial instruments subject to the index reform

repurchase agreements are broken down by Eonia, Euribor and V Libor indices before accounting offsetting; for derivatives comprising a borrowing leg and a lending leg, each V exposed to a reference rate, the two legs have been reported in the notes to the financial statements to effectively reflect Natixis’ exposure to the reference rates on these two legs; demand financial assets and liabilities are excluded from the V exposures presented, as their maturity was considered to be prior to December 31, 2021.

Financial assets

Financial liabilities

Derivatives (notional)

(in millions of euros)

EURIBOR – Euro Interbank Offered Rate EONIA – Euro OverNight Index Average

35,473

18,689 1,539,938

Euro Short-Term Rate (€STER)

1,578

1,305

188,369

LIBOR – London Interbank Offered Rate – USD Secured Overnight Financing Rate (SOFR) LIBOR – London Interbank Offered Rate – GBP Reformed Sterling Overnight Index Average (SONIA) LIBOR – London Interbank Offered Rate – CHF Swiss Average Rate Overnight (SARON)

16,319

6,096 1,410,984

799 125 158 187

0 0

173,887 28,635 134,070

LIBOR – London Interbank Offered Rate – JPY Tokyo Overnight Average (TONA) LIBOR – London Interbank Offered Rate – EUR Euro Short-Term Rate (€STER)

1,025

0

2,901

TOTAL

54,639

27,115 3,478,784

346

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020