NATIXIS - Universal registration document and financial report 2019

FINANCIAL DATA Consolidated financial statements and notes

Gains and losses recognized in the period

Transactions carried out in the period

Reclassifications in the period

Income statement

On outstan- ding transac- tions at the repor- ting date

On transac- tions expired or rede- emed at the repor- ting date

Gains and losses recog- nized directly in equity

Level 3 opening balance 01/01/ 2018 IFRS 9

Change in consoli- dation scope

Level 3 closing balance 31/12/ 2018

Level 3 closing

Tran- slation adjust- ments

Impact of change

Pur- chases/ Issues

Sales/ Redem- ptions

From level 3 to level 3

Other reclassi- fications

balance at 31/12/2017 IAS 39

Reclas- sification

To level 3

Financial liabilities (in millions of euros) Derivative instruments not eligible for hedge accounting (negative fair value)

1,945

(11)

1,934

471

(482)

454

(162)

(176)

13

2

2,054

o/w interest rate derivatives

197

(9)

187

(50)

(3)

50 47 49

(1)

(1)

9

192

o/w currency derivatives 1,172 o/w credit derivatives 326 o/w equity derivatives 251

1,172

13 20

(18)

(17)

(154)

1,042

326 250

(142) (319)

(0)

(2)

251 569

(1)

491

308

(147)

(18)

3

2

o/w other

(3)

3

Other financial liabilities held for trading

1,097

1,097

38

(78)

1,138 (1,019)

0

1,176

Financial liabilities under the fair value option through profit or loss 1,469

(1,097)

373

(15)

1

11

(190)

1

4

1

185

o/w securities under the fair value option o/w other financial liabilities under the fair value option TOTAL FINANCIAL LIABILITIES RECOGNIZED AT FAIR VALUE

373

373

(14)

1

11

(190)

1

1

182

1,097

(1,097)

(1)

4

3

3,414

(11)

3,404

495

(559)

1,602 (1,370)

(176)

14

2

4

1

3,415

5

Sensitivity analysis of the fair value of financial instruments measured according to Level 3 – Assets and Liabilities Sensitivity of the fair value of financial instruments measured using environments. This estimate was established using assumptions unobservable inputs was estimated at December 31, 2019. With the about additional adjustments to the valuation of interest rate, foreign aid of probable assumptions, this sensitivity was used to estimate exchange, credit and equity instruments. the impacts of market fluctuations in uncertain economic

(in millions of euros)

Potential impact on income statement

Shares and other equity instruments, and derivatives

9

Interest rate and/or foreign exchange instruments, and derivatives

21

Credit instruments and derivatives

5

SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS

35

Restatement of the deferred margin on financial instruments 8.5.2 The deferred margin covers only financial instruments eligible for outstanding non-amortized amount is recognized on the balance Level 3 of the hierarchy. It is calculated after determining the sheet under “Financial instruments marked to market on the income valuation adjustments for uncertainty as described in Note 6.6. The statement” less the market value of the related transactions.

Margin recognized during the period Other changes

Margin on new transactions

(in millions of euros)

31/12/2018

31/12/2019

Interest rate derivative instruments Currency derivative instruments

1

7

(3)

4

9 0

2

(1)

0

Credit derivative instruments Equity derivative instruments Repurchase agreements

16 70

8

(4)

(10)

10 99

98

(69) (11) (88)

0 5

9

4

TOTAL

87

124

(0)

122

309

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019