NATIXIS // 2021 Universal Registration Document

5 CONSOLIDATED FINANCIAL STATEMENTS AT DECEMBER 31, 2021 Consolidated financial statements and notes

7.1.3 Derivatives not eligible for hedge accounting Derivative financial instruments not eligible for hedge accounting are classified as held for trading, irrespective of the period over which they are expected to be held.

31/12/2021

31/12/2020

Notional

Assets Liabilities

(in millions of euros)

Notional

Assets Liabilities

Organized market

377,929 305,422

1,621

1,579

343,177 269,680

993 502

622 250

Interest rate derivatives

0

Foreign exchange derivatives

200

583

Equity derivatives Credit derivatives Other contracts

71,583

1,621

1,579

72,139

491

372

0

0

0

724

775

Over-the-counter

8,622,310 7,291,330 1,096,399

53,104 30,010 18,586

50,296 6,044,952 26,221 4,902,693

58,599 37,895 15,642

55,031 32,749 16,340

Interest rate derivatives

Foreign exchange derivatives *

18,673

911,861 103,966 45,077 81,354

Equity derivatives Credit derivatives Other contracts

111,349 36,340 86,892

2,666

3,352

3,042

3,892 1,062

706

730

830

1,136

1,321

1,190

988

TOTAL

9,000,240 1,743,158 6,607,114

54,725 37,606

51,875 6,388,129 33,748 1,657,537 11,745 4,146,948

59,591 36,963

55,652 36,432

o/w banks

o/w other financial companies

9,569

8,481

9,618

Amounts restated in relation to the financial statements at December 31, 2020 (see Note 5.4). *

The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments market, and do not reflect the market risks associated with such instruments.

Hedging derivatives 7.2 Derivatives may only be designated as hedges if they meet the criteria set out in IAS 39 at inception and throughout the term of the hedge. These criteria include formal documentation that the hedging relationship between the derivatives and the hedged items is both prospectively and retrospectively effective. Hedging relationships are presumed to be effective when, retrospectively, changes in the value of the hedging instrument offset changes in the value of the hedged item within a range of 80-125%.

Cash flow hedges are mainly used by Natixis to hedge the overall interest rate risk. Fair value hedging is used to hedge changes in the fair value of fixed-income securities on an individual basis, as well as comprehensive hedging of the interest-rate risk of Natixis Financial Products LLC according to the carve-out provisions of IAS 39.

31/12/2021

31/12/2020

Fair value liabilities

Fair value liabilities

Fair value assets

(in millions of euros)

Fair value assets

Cash flow hedges Over-the-counter

62 62 62

29 29 29

59 59 59

70 70 70

Interest rate derivatives Currency derivatives

Fair value hedges Over-the-counter

127 127 127

259 259 259

171 171 171

455 455 455

Interest rate derivatives Currency derivatives

TOTAL

190

288

230

525

The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments market, and do not reflect the market risks associated with such instruments.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021