NATIXIS // 2021 Universal Registration Document

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

7.2.1

Fair value hedging of assets and liabilities

Hedging of interest rate risk

Hedging of interest rate risk

31/12/2021

31/12/2020

of which revaluation of the hedged portion

Hedged portion still to be deferred

of which revaluation of the hedged portion

Hedged portion still to be deferred

Carrying amount

Carrying amount

(in millions of euros)

Assets

17,194

71

0

19,014

396

2

Financial assets at fair value through other comprehensive income

10,171 10,171

(37) (37)

10,570 10,570

185 185

Fixed-income securities

Equities and other variable-income securities Financial assets at amortized cost Loans and receivables due from banks

7,023 5,364

108

0 0

8,444 6,547

211 169

2 2

99

Loans and receivables due from customers

1,660

9

1,897

42

Fixed-income securities Liabilities

3,498 3,498 2,033

40 40 (3) (0)

3,623 3,623 2,244

106 106

Financial liabilities at amortized cost Amounts due to credit institutions

32 (1) 21 54

Amounts due to customers

5

25

Debt securities

1,331

1

1,224

5

Subordinated debt

130

42

130

7.2.2

Cash flow hedging of assets and liabilities

31/12/2021

31/12/2020

Fair value of hedging derivative (a)

o/w ineffective portion

Fair value of hedging derivative (a)

o/w ineffective portion

o/w effective portion

o/w effective portion

(in millions of euros)

Hedging of interest rate risk

33

30

3

(11)

(19)

8 0 8

Currency hedging

(25)

(20)

(4) (1)

25 14

25

TOTAL

9

10

5

The asset and liability fair value of the hedging derivatives is presented in net terms. (a)

7.2.2.1

Cash flow hedging – Analysis of other items of comprehensive income

Reclassi fication of effective portion in income

Hedged item partially or fully settled 31/12/2020

Reclassi fication of effective portion in income

Hedged item partially or fully settled 31/12/2021

Change in effective portion

Change in effective portion

(in millions of euros)

01/01/2020

Amount of OCI for CFH transactions

(3) (3)

36 36

(32) (32)

7 7

5 5

(41) (41)

66 66

16 16

46 46

TOTAL

The hedged portion still to be deferred came to €37 million at December 31, 2021 and €41 million as at December 31, 2020.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021