NATIXIS // 2021 Universal Registration Document

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

7.4.2

Equity instruments at fair value through other comprehensive income

31/12/2021

31/12/2020

Dividends recognized over the period

Derecognition over the period

Dividends recognized over the period

Derecognition over the period

Equity instruments derecognized during the period

Equity instruments derecognized during the period

Equity instruments held as at 31/12/2021

Cumulative profit or loss on date of sale

Equity instruments held as at 31/12/2020

Cumulative profit or loss on date of sale

Fair value on date of sale

Fair value on date of sale

Fair value

(in millions of euros)

Fair value (a)

Investments in unconsolidated companies

1,022

94

0

37

7

644

50

0

13

0

Other equity instruments TOTAL

1,022

94

0

37

7

644

50

0

13

0

Including €10 million for the Payments business line, classified as “Non-current assets held for sale” at December 31, 2021 (see Notes 1.2 and 7.10). (a)

7.5

Fair value of financial assets and liabilities carried at fair value

in the balance sheet For financial reporting purposes, the fair value of financial and non-financial instruments has been broken down in accordance with a fair value hierarchy that reflects the observability of the models and parameters used to make these assessments (see Note 5.6) . The three levels of the fair value hierarchy are presented below.

For derivative instruments, fair values are broken down based on the dominant risk factor, i.e. primarily interest rate risk, foreign exchange risk, credit risk and equity risk:

31/12/2021

31/12/2020

Carrying amount 153,223 18,962 41,575 77,349 15,338 54,725 30,010 18,586

Carrying amount

Assets (in millions of euros)

Level 1

Level 2 Level 3

Level 1

Level 2 Level 3

Financial assets held for trading

56,414 16,592 39,822

92,956

3,853 152,322

48,143 102,117

2,062

5

o/w debt instruments in the form of securities

2,135 1,747

235

18,833 32,733 83,046 17,711

15,848 32,295

2,887

98

o/w equity instruments o/w loans and receivables o/w security deposits paid

6

438

73,737 15,338

3,612

81,082 17,711

1,964

Derivative instruments not eligible for hedge accounting (positive fair value)

312

51,596 29,166 17,900

2,817

53,664 38,397

1,048

50,859 37,824

1,757

o/w interest rate derivatives o/w currency derivatives*

0

844 686 191

28

545 484 184 544

9,715

9,230

o/w credit derivatives o/w equity derivatives

706

515

830

647

4,287 1,137

0

3,193

1,094

3,533 1,190

445 575

2,544

o/w other

312

822

3

615

0

Financial assets to be valued at fair value through profit or loss

4,032

1,158

940

1,935

4,368

1,167

1,996

1,205

o/w equity instruments

983

208 949

0

775 665 496

734

156

0

578 568

o/w debt instruments in the form of securities

1,721 1,329

107 833

1,703 1,931

1,011

124

o/w loans and receivables

1,873

59

Financial assets designated under the fair value option o/w debt instruments in the form of securities

44 44

44 44

23 21

2

21 21

o/w loans and receivables Hedging derivatives (assets) o/w interest rate derivatives

2

2

190 190

190 190

230 230

230 230

Financial assets at fair value through other comprehensive income

12,121

11,017

456

648 648

13,194

11,963

739

490 490

o/w equity instruments

1,020

372

0

643

152

0

o/w debt instruments in the form of securities

11,101

10,645

456

12,550

11,811

739

o/w loans and receivables TOTAL

224,336

68,901 146,138

9,298 223,800

62,321 155,944

5,534

Amounts not restated in relation to the financial statements at December 31, 2020 (see Note 5.4). *

329

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021