NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

6.1.4

6.1.5

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

Financial assets at fair value through profit

or loss

Financial assets recorded in the fair value category correspond to: financial assets held for trading: these are debt and equity a instruments acquired 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 corresponding margin calls relating to securities sold under repurchase agreements and derivatives transactions recorded under liabilities in the balance sheet are also included in this item; financial assets under the fair value option: these are SPPI a instruments not held for trading. They are designated at fair value through profit or loss on initial recognition under IFRS 9 only if this option reduces a measurement inconsistency with a related financial asset/liability in income (referred to as an accounting mismatch under IAS 39); financial assets at fair value through profit or loss because of a their characteristics: these are debt instruments that do not meet the SPPI criteria (see Note 6.1.2) , for example mutual 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-recyclable other comprehensive income has not been adopted are also classified in this category (see Note 8.1.1) . 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 6.6 “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”. transactions Securities bought or sold are, respectively, recognized or derecognized on the settlement date, regardless of their accounting category. Reverse transactions are also recognized on the settlement date. For repurchase and reverse repurchase transactions, a financing commitment received or given respectively 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. Recognition date for securities 6.1.6

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 business model with the a objective of both collecting contractual cash flows and selling financial assets; and the contractual terms of the financial asset give rise to cash a flows 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 comprehensive income”. Specific case of equity instruments Equity instruments may be measured at fair value through other comprehensive income 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 recorded under “Gains and losses recognized directly 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 instruments is transferred to “Consolidated reserves”. No impairment is recorded on equity instruments measured at fair value through other comprehensive income. For the record, the treatment of “Available-for-sale assets” under IAS 39 was identical to the accounting treatment to be applied under IFRS 9, with the exception firstly of the treatment of income from the sale of equity instruments, which was transferred from equity to income under “Gains or losses on available-for-sale financial assets” under IAS 39, and with the exception secondly of the provisions relating to impairment.

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Natixis Registration Document 2018