NATIXIS - Universal registration document and financial report 2019

FINANCIAL DATA Consolidated financial statements and notes

7.3

Gains and losses on financial instruments at fair value

through profit or loss This item includes gains and losses on financial assets and liabilities at fair value through profit and loss, whether held for trading or designated under the fair value option or at fair value. This line item also includes interest on these instruments, except for those presented as interest income.

“Hedging derivatives” include changes in the fair value of derivatives classified as fair value hedges, excluding interest, plus the symmetrical revaluation of the items hedged. They also include the “ineffective” portion of cash flow hedges.

(in millions of euros)

31/12/2018

31/12/2019

Net gains/(losses) on financial assets and liabilities excluding hedging derivatives

2,004 5,275 (463)

1,757

306

Net gains/(losses) on financial assets and liabilities held for trading (b)

o/w derivatives not eligible for hedge accounting

1,955 (135) 1,374

Net gains/(losses) on financial assets to be valued at fair value through profit or loss Net gains/(losses) on financial assets and liabilities under the fair value option

268

(3,714)

Other

175 (18)

213

Hedging derivatives and revaluation of hedged items Ineffective portion of cash flow hedges (CFH)

7 0 7

0

Ineffective portion of fair value hedges (FVH)

(18)

Changes in fair value hedges Changes in hedged items

(115)

(75)

97

82

TOTAL (a) 1,764 Insofar as the expenses and income presented in the income statement are classified by type and not by function, the net income of activities on financial (a) instruments at fair value through profit and loss should be considered as a whole. The results presented above do not include the refinancing cost of these 1,986

financial instruments, which is recorded in interest income or expenses. “Net gains/(losses) on financial assets and liabilities held for trading” include: (b)

5

- impairments taken against the fair value of CDS entered into with monoline insurers: an increase of €1.8 million in cumulative impairments during fiscal year 2019, versus a decrease of €39.9 million (income) in cumulative impairments at December 31, 2018 (excluding the currency impact and the impact of the BPCE guarantee), bringing cumulative impairments to €25.1 million at December 31, 2019, versus €23.3 million at December 31, 2018; - at December 31, 2019, recognized own credit risk adjustments to derivatives (debit valuation adjustments or DVA) stood at -€35.4 million (expense), versus €13.9 million (income) at December 31, 2018. Furthermore, credit risk adjustments related to the valuation of counterparty risk (credit valuation adjustments or CVA) on financial assets amounted to -€1.2 million (expense) at December 31, 2019 versus an expense of €27.4 million at December 31, 2018; - the Funding Valuation Adjustment (FVA) used on uncollateralized derivatives or imperfectly collateralized derivatives is also recognized on this line in the amount of €12.8 million (income) at December 31, 2019 versus -€64.1 million (expense) at December 31, 2018; - over the 2019 fiscal year, the market risks associated with certain transactions comprising the Asia derivatives portfolio (see Note 8.5.d) were transferred to external counterparties. At the same time, the €173 million in provisions recorded at December 31, 2018 were reversed in full over the 2019 fiscal year.

7.4

Gains and losses on financial assets at fair value through

other comprehensive income The table below shows net gains and losses in financial assets at fair value through other comprehensive income recognized in net income over the period. They primarily consist of:

income on the sale of debt instruments net of the impact of V hedging instruments; dividends on equity instruments. V

(in millions of euros)

31/12/2018

31/12/2019

Net gains on debt instruments

9

4

Net gains on loans and receivables Net gains on equity instruments (dividends)

31 40

2 6

TOTAL

Unrealized gains and losses recognized over the period are presented in the “Statement of net income (loss) and gains and losses recorded directly in other comprehensive income”.

285

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019