NATIXIS - Universal registration document and financial report 2019

FINANCIAL DATA Consolidated financial statements and notes

Hedging derivatives 8.2 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 in a range of 80%-125%.

Cash flow hedges are mainly used by Natixis to hedge the overall interest rate risk. Cash flow hedging was also used by the leasing business, of which most entities were sold to BPCE in the first quarter of 2019 (see Note 4.1) . 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.

31/12/2019

31/12/2018

Fair value assets

Fair value liabilities

Fair value assets

Fair value liabilities

Notional

(in millions of euros)

Notional

Cash flow hedges Over-the-counter

17,060 17,060 16,738

60 60 60

100 100 100 526 526 526

14,484 14,484 14,484

53 53 53

105 105 105 423 423 423

Interest rate derivatives Currency derivatives

322

Fair value hedges Over-the-counter

180,104 180,104 180,104

265 265 265

168,500 168,500 168,495

253 253 253

Interest rate derivatives Currency derivatives

5

TOTAL

197,164

325

626

182,984

306

529

5

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.

293

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019