NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

5.4

Derivative financial instruments and hedge accounting

Change in presentation of option premiums At December 31, 2020, Natixis modified the presentation of conditional derivatives purchased or sold with a staggered or paid premium. Before the application of this amendment, the amounts of the premiums remaining to be received and the premiums remaining to be paid were respectively presented in the balance sheet under deferred income and other assets and accrued income and other liabilities, separately from the headings of assets and liabilities. financial liabilities in which the derivative instruments to which they relate are presented. As these premiums are inseparable from these derivative instruments, their presentation on the balance sheet has been modified: the amount of premiums remaining to be paid and the amount of premiums remaining to be received are now included in the value of the conditional derivative instrumentspurchasedor sold to which they relate (headings financial assets and liabilities at fair value through profit or loss). The instrumentsconcernedare mainly foreign exchangeand interest rate options. This change had no impact on the incomestatement. At December 31, 2020: the amount of premiums remaining to be paid which was included V in the value of the contingent derivatives classified as “Financial assets at fair value through profit or loss” was €7.6 billion compared with €8.1 billion at December 31, 2019; the amount of the premiums remaining to be received which has V been included in the value of the contingent derivatives classified as “Financial liabilities at fair value through profit and loss” is €7.9 billion compared to €8.3 billion at December 31, 2019.

Derivative financial instruments are recognized at fair value on the balance sheet, regardless of whether they are held for trading or hedging purposes. Derivative financial instruments held for trading purposes Derivativesheld for tradingpurposesare recordedin the balancesheet under “Financialassets at fair value throughprofit or loss” when their market value is positive, and under “Financial liabilities at fair value through profit or loss” when their market value is negative. After initial recognition, changes in fair value are recorded in the income statement under “Net gains or losses on financial instrumentsat fair value through profit or loss”. The interest accrued on such instruments is also included on this line. An embedded derivative is a component of a host contract which causes some or all of the cash flows of that contract to change in response to changes in an underlying (interest rate, share price, exchange rate or other index). When the hybrid instrument (host contract and derivative) is not measured at fair value through profit or loss, the embedded derivative is separated from the host contract if it meets the criteria for definition as a derivative and its economic characteristics and associated risks are not closely related to those of the hosctontract. Derivativesseparated from host contracts in this way are included in assets and liabilities at fair value through profit or loss. Special case of embedded derivatives for financial liabilities

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The following table summarizes the effects of this change ipnresentation on the various items:

31/12/2020

31/12/2019

Before change

After change

After change

Before change

Change

(in billions of euros)

Change

Assets Financial assets at fair value through profit or loss

228.8

(8.1) (8.3)

220.7

218

(7.6) (7.9)

210.4

13.6

5.3

13

5.1

Accrual accounts and other assets

TOTAL ASSETS

513.2

(16.4)

496.8

510.8

(15.5)

495.3

Liabilities Financial liabilities at fair value through profit or loss

218.3

(8.3) (8.1)

210

216.4

(7.9) (7.6)

208.5

Accrual accounts and other liabilities

16.1

8

13.9

6.3

TOTAL LIABILITIES

513.2

(16.4)

496.8

510.8

(15.5)

495.3

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 hedging Cash flow hedging is used to hedge future cash flows from an existing or highly probable future transaction. Hedging of variable-rate borrowings and issues Natixis uses interest rate swaps borrowingat fixed rates to fix future costs of interbank borrowings and public/private issues.

Hedging instruments In line with the option offered by IFRS 9, Natixis has chosen to continue applying IAS 39 to account for its hedging transactions. IAS 39 recognizes three types of hedging relationship: cash flow hedges, fair value hedges and hedges of net investments in foreign operations. 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 documentationthat the hedging relationship between the derivatives and the hedged items is both prospectivelyand retrospectivelyeffective. Hedging relationshipsare

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020