NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

NOTES TO THE BALANCE SHEET

NOTE 8

Financial assets and liabilities at fair 8.1 value through profit and loss These assets and liabilities are measured at fair value at the reporting date, with changes in fair value, including interest, recognized in income under "Net gains or losses on financial instruments at fair value through profit and loss", except for: interest on hedging derivatives and non-SPPI instruments a recorded as interest income and expenses in the income statement; and

changes in fair value attributable to own credit risk on financial a liabilities designated at fair value through profit or loss, recorded in other comprehensive income as “Revaluation of own credit risk on financial liabilities at fair value through profit or loss”.

8.1.1

Financial assets at fair value through profit

or loss

The table below shows the breakdown of financial assets at fair value through profit and loss by instrument type.

31/12/2018

01/01/2018

Financial assets to be valued at fair value

Financial assets to be valued at fair value

Financial assets designated under the fair value option (c)

Financial assets designated under the fair value option (c)

5

through profit or loss (a) (b)

through profit or loss (a) (b)

Financial assets held for trading

Financial assets held for trading

Total

Total (e)

(in millions of euros)

Note

5.1.1.1

5.1.1.1

Securities

34,950 12,189 22,761

3,015 2,263

0 0 0

37,965 14,453 23,513

46,491 18,457 28,033

2,938 2,109

0 0

49,429 20,566 28,863

Debt instruments Equity instruments

752

829

Financing against reverse repos (d) Loans and receivables

95,300

95,300

92,023

92,023

3,884

1,871 1,031

2 2 0

5,757 1,042 4,715

4,422

2,297 1,150 1,147

0 0 0

6,719 1,254 5,465

Banks

10

104

Customers

3,874

840

4,317

Derivative instruments not eligible for hedge accounting (d)

57,161 17,903

0 0

0 0

57,161 17,903

60,014 17,478

0 0

0 0

60,014 17,478

Security deposits paid

TOTAL 225,663 The criteria for categorizing financial assets at fair value through profit or loss if they do not meet the SPPI criteria used by Natixis are provided in (a) Note 6.1.2. Financial instruments that must be measured at fair value through profit or loss include non-SPPI debt instruments in the amount of (b) €2,263 million at December 31, 2018, and equity instruments totaling €752 million at December 31, 2018 that we have opted not to recognize in other comprehensive income. Only in the case of an accounting mismatch as defined by IFRS 9 (see Note 6.1.5). (c) The information presented takes into account the impact of offsetting carried out in accordance with IAS 32 (see Note 8.3). (d) Of which €0.18 million at January 1, 2018 for the SFS business lines recognized in non-current assets held for sale as at December 31, 2018 (see (e) Notes 3.6 and 6.9). 209,198 4,886 2 214,086 220,428 5,235 0

Conditions for classification of financial assets under 8.1.1.1 the fair value option For the record, at December 31, 2017, under IAS 39, financial assets were designated at fair value through profit or loss when this choice provided more pertinent information or when these instruments incorporated one or more significant and separable embedded derivatives. The use of the fair value option was considered to provide more pertinent information in two situations: where there is an accounting mismatch between economically a linked assets and liabilities. This arose for example in the case

of an asset and a hedging derivative when the criteria for hedge accounting were not met; where a portfolio of financial assets and liabilities is managed a and recognized at fair value as part of a documented policy of asset and liability management. Financial assets designated at fair value through profit or loss mainly consisted of long-term structured repos indexed to a basket of equities whose risks are managed globally and dynamically. As they are managed using a model that is neither a “hold to collect” nor a “hold to collect and sell” business model, these transactions were recategorized as financial assets at fair value through profit or loss under IFRS 9.

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Natixis Registration Document 2018