NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

5.1.4

Financial assets at fair value through recyclable and non-recyclable other comprehensive income

5.1.5

Financial assets at fair value

through profit or loss Financial assets recorded in the fair value through profit or loss category correspond to: financial assets held for trading: these are debt and equity V instrumentsacquired or originated by Natixis principally to be sold in the near term and those forming part of a portfolio of financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking. Guarantee deposits and the correspondingmargin calls relating to securities sold under repurchase agreements and derivatives transactionsrecorded under liabilities in the balance sheet are also included in this item; financial assets under the fair value option: these are SPPI V instruments not held for trading. They are designated at fair value through profit or loss on initial recognitionunder IFRS 9 only if this option reduces a measurement inconsistency with a related financial asset/liability in income; financial assets at fair value through profit or loss because of their V characteristics: these are debt instruments that do not meet the SPPI criteria (see Note 5.1.2) , for examplemutual fund units, which are considered debt instruments without SPPI characteristics under IFRS 9. Non-SPPI debt instruments held for trading are presented with assets held for trading. Non-consolidated investments in associates for which the irrevocable option of measurement at fair value through non-recyclableother comprehensive income has not been adopted are also classified in this category (see Note 7.1.1) . Financial assets at fair value through profit and loss are measured on initial recognition at market value, with transaction costs recognized in the income statement. The market value is reviewed at each subsequent reporting date in line with the principles outlined in Note 5.6 “Fair value of financial instruments”. Changes in value, including coupons, are recorded under “Gains or losses on financial instruments at fair value through profit and loss” in the consolidated income statement, with the exception of interest accrued and due on non-SPPI financial assets, which is recorded under “Interest income”. Recognition date for securities 5.1.6 transactions Securitiesboughtor sold are, respectively,recognizedor derecognized on thesettlement date, regardless of their accounting category. Reverse transactionsare also recognizedon the settlementdate. For repurchase and reverse repurchase transactions, a financing commitment respectively received or given is recognized between the transaction date and the settlement date when these transactions are recognized in “Liabilities” and “Loans and receivables” respectively. When repurchase and reverse repurchase transactions are recognized in “Assets and liabilities at fair value through profit or loss”, the repurchase commitment is recognized as a forward interest rate derivative.

Financial assets recognized at fair value through other comprehensive income mainly correspond to debt instruments: government securities and bonds. A debt instrument is valued at fair value through other comprehensive income if it meets the following two conditions: the asset is held in a hold to collect and sell business model with V the objective of both collecting contractual cash flows and selling financial assets; and the contractual terms of the financial asset give rise to cash flows V that are solely payments of principal and interest on the outstanding amount due, on specific dates. In this case, the asset is considered basic and its cash flows are categorized as SPPI. Debt instruments at fair value through other comprehensive income are initially recognized at their market value, including any transaction costs. At the reporting date, they are measured at fair value by applying the market price to listed securities, and changes in fair value are recorded under “Gains and losses recognized directly in recyclable other comprehensive income”. Interest accrued or received on debt instruments is recorded in income under “Interest and similar income” using the effective interest rate method. In case of sale, changes in the fair value of debt instruments are transferred to income under “Gains or losses on financial assets at fair value through other comprehensiviencome”. Specific case of equity instruments Equity instruments may be measured at fair value through other comprehensiveincome under an irrevocable option. This irrevocable option applies on a case-by-case basis and only to equity instruments not held for trading purposes. At the reporting date, they are measured at fair value and changes in fair value are recordedunder “Gains and losses recognizeddirectly in non-recyclable other comprehensive income”. Realized and unrealized gains or losses continue to be recognized in equity and are never recognized in income, except for dividends which impact income. Income from the disposal of equity instrumentsis transferred to “Consolidatedreserves”.No impairment is recorded on equity instruments measured at fair value through other comprehensive income.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020