NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

an asset and a hedging derivative when the criteria for hedge accounting are not met; where a portfolio of financial assets and liabilities is managed and V recognized at fair value as part of a documented policy of asset and liability management. Financial assets designated at fair value through profit or loss mainly consist of financial assets representativeof unit-linked policies from insurance activities.

8.4.1.1

Conditions for classification of financial

assets under the fair value option Financial assets are designated at fair value through profit or loss when this choice providesmore pertinent informationor when these instruments incorporate one or more significant and separable embedded derivatives. The use of the fair value option is considered to provide more pertinent information in two situations: where there is an accounting mismatch between economically V linked assets and liabilities. This arises for example in the case of

31/12/2020

31/12/2019

Managed on a fair value basis

Managed on a fair value basis

Carrying amount

Accounting mismatch

Embedded derivatives

Carrying amount

Accounting mismatch

Embedded derivatives

(in millions of euros)

Loans and receivables due from banks Loans and receivables due from customers Debt instruments in the form of securities

2,257

553

1,704

2,670

622

2,048

19,933 22,190

19,933 20,486

18,385 21,055

18,385 19,007

Other equity instruments issued

TOTAL

1,704

2,048

Available-for-sale financial assets 8.4.2 The table below shows available-for-sale financial assets by type of instrument (fixed-income securities, variable-income securities). It discloses the gross value before impairment, theamount of impairment and the net value after impairment.

(in millions of euros)

31/12/2019

31/12/2020

Securities

52,161 43,186

51,592 42,651

Debt instruments V

Other equity instruments issued (a) V

8,571

8,509

Accrued interest V

404

432

Impairment of available-for-sale assets

(223)

(201)

Debt instruments V

(57)

(50)

Other equity instruments issued (b) V

(166)

(151)

TOTAL (c)

51,939

51,391

Including mutual fund units. (a) At December 31, 2020, permanent impairment of variable-income securities stood at €168 million, compared with €53 million at December 31, 2019. (b) This expense is offset by an amount of 87% respectively, taking into account the profit-sharing mechanism (89% at December 31, 2019). The 2020 expense can be broken down into an additional impairment loss on previously impaired securities for €144 million (€16 million at December 31, 2019) and an allowance for newly impaired securities for €25 million (€37 million at December 31, 2019). Coface contributed €2,911 million to “Available-for-sale financial assets” as of December 31, 2019. (c)

8.4.3

Investment property

31/12/2020

31/12/2019

Gross value

Impairment and

Gross value

Impairment and

amortization Net value

(in millions of euros)

amortization Net value

1,018

1,018

1,070

1,070

Investment property – At fair value Investment property – At historical cost Investment property – UL policies

40

(14)

26

40

(14)

26

394

394

402

402

TOTAL

1,452

(14)

1,438

1,512

(14)

1,498

Changes in fair value give rise to the symmetrical recognition of a deferred profit-sharing reserve equal to 87% of the related base amount on average at December 31, 2020, compared with 89% at December 31, 2019.

The fair value of investment property, for which the valuation techniques are described in Note 5.7, is classified in Level 3 of the fair value hierarchy of IFRS 13.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020