NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Consolidated financial statements and notes

8.2.1

Schedule of hedging derivatives

The table below shows the breakdown of the notional amounts of the derivatives by maturity date.

31/12/2019

31/12/2018

Less than 1 year

Less than 1 year

1 to 5 years

6 to 10 years

Over 10 years

1 to 5 years

6 to 10 years

Over 10 years

Total

Total

Notional (in millions of euros)

Interest rate hedges Cash flow hedges Fair value hedges Currency hedges Cash flow hedges Fair value hedges

26,451 85,103 51,762 33,526 196,842 30,620 85,121 42,395 24,843 182,979

313 2,436 5,064 8,924 16,738

216 2,871 3,284 8,112 14,484

26,138 82,666 46,699 24,601 180,104 30,403 82,251 39,111 16,730 168,495

316 316

6 6 0

322 322

5

5

0

0

5

5

TOTAL

26,451 85,103 52,078 33,532 197,164 30,624 85,121 42,395 24,843 182,984

8.2.2

Fair value hedging of assets and liabilities

Hedging of interest rate risk

Hedging of interest rate risk

31/12/2019

31/12/2018

of which revaluation of the hedged portion

of which revaluation of the hedged portion

Hedged portion still to be deferred

Hedged portion still to be deferred

Carrying amount 21,654 10,407 10,198

Carrying amount 21,168

(in millions of euros)

Assets

212

1

11

(2)

Financial assets at fair value through equity

28 28

8,933 8,850

(118) (118)

Fixed-income securities

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

209

83

11,247

184 154

1 1

12,235

129 116

(2) (2)

7,909 3,300

9,732 2,503

30

13

Fixed-income securities

39

Liabilities

5,471 5,471 3,924

101 101

4,664 4,664 3,782

46 46

Financial liabilities at amortized cost

Amounts due to banks

36 (1) 13 52

1

Amounts due to customers

69

114 638 129

(1) (1) 47

Debt securities

1,348

Subordinated debt

129

8.2.3

Cash flow hedging of assets and liabilities

31/12/2019

31/12/2018

Fair value of hedging derivative (1)

Fair value of hedging derivative (a)

o/w effective portion

o/w ineffective portion

o/w effective portion

o/w ineffective portion

(in millions of euros)

Hedging of interest rate risk

(64) (64)

(63) (63)

(0) (0)

(57) (57)

(60) (60)

2 2

TOTAL

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

294

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019