NATIXIS - 2018 Registration document and annual financial report

5 FINANCIAL DATA

Consolidated financial statements and notes

Gains and losses on financial instruments at fair value through profit or loss 7.3 This item includes gains and losses on financial assets and liabilities at fair value through profit and loss, whether held for trading or designated under the fair value option or at fair value. This line item also includes interest on these instruments, except for those presented as interest income.

Hedging derivatives include changes in the fair value of derivatives classified as fair value hedges, excluding interest, plus the symmetrical revaluation of the items hedged. They also include the “ineffective” portion of cash flow hedges.

31/12/2018

31/12/2017

(in millions of euros)

Net gains/(losses) on financial assets and liabilities excluding hedging derivatives Net gains/(losses) on financial assets and liabilities held for trading (b)

1,757

2,783 2,351

306

o/w derivatives not eligible for hedge accounting

1,955 (135) 1,374

(2,373)

Net gains/(losses) on financial assets to be valued at fair value through profit or loss Net gains/(losses) on financial assets and liabilities under the fair value option

495 (63)

Other

213

Hedging derivatives and revaluation of hedged items Ineffective portion of cash flow hedges (CFH) Ineffective portion of fair value hedges (FVH)

7 0 7

1 2

(1) 48

Changes in fair value hedges Changes in hedged items

(75)

82

(49)

TOTAL (A) (C) 2,784 Insofar as the expenses and income presented in the income statement are classified by type and not by function, the net income of activities on (a) financial instruments at fair value through profit and loss should be considered as a whole. The results presented above do not include the refinancing cost of these financial instruments, which is recorded in interest income or expenses. “Net gains/(losses) on financial assets and liabilities held for trading” include: (b) - impairments taken against the fair value of CDS entered into with monoline insurers: a decrease of €39.39 million in cumulative impairments during fiscal year 2018, versus a decrease of €7 million (income) in cumulative impairments at December 31, 2017 (excluding the currency impact and the impact of the BPCE guarantee), bringing cumulative impairments to €23.3 million at December 31, 2018, versus €63.2 million at December 31, 2017; - at December 31, 2018, recognized own credit risk adjustments to derivatives (debit valuation adjustments or DVA) stood at €13.9 million (income), versus an expense of -€54.7 million at December 31, 2017. Furthermore, credit risk adjustments related to the valuation of counterparty risk (credit valuation adjustments or CVA) on financial assets amounted to -€27.4 million (expense) at December 31, 2018, versus income of +€78.2 million at December 31, 2017 ; - the Funding Valuation Adjustment (FVA) used on uncollateralized derivatives or imperfectly collateralized derivatives is also recognized on this line in the amount of -€64.1 million (expense) at December 31, 2018, versus income of €24.7 million at December 31, 2017; - at December 31, 2018, a net expense of €86 million was recorded for the portfolio of specific products in Asia referred to in the key events. The additional reserves set aside for this portfolio amounted to €173 million; Of which a +€891 million insurance contribution in 2017, including +€676 million from adjustments to investments in unit-linked products. These (c) transactions are presented in net insurance activity investments in 2018. 1,764

Gains and losses on financial assets at fair value through other comprehensive 7.4 income

The table below shows net gains and losses in financial assets at fair value through other comprehensive income recognized in net income over the period. They primarily consist of:

income on the sale of debt instruments net of the impact of a hedging instruments; dividends on equity instruments. a

31/12/2018

(in millions of euros)

Net gains on debt instruments

4

Net gains on loans and receivables Net gains on equity instruments (dividends)

2

TOTAL

6

Unrealized gains and losses recognized over the period are presented in the “Statement of net income (loss) and gains and losses recorded directly in other comprehensive income”.

298

Natixis Registration Document 2018