NATIXIS - 2018 Registration document and annual financial report

5 FINANCIAL DATA

Consolidated financial statements and notes

31/12/2017

Managed on a fair

Carrying amount

Accounting mismatch

value basis Embedded derivatives

(in millions of euros)

Loans and receivables due from banks Loans and receivables due from customers

2,099 5,425 3,134

2,099 2,303 1,292

544 247

2,577 1,595

Fixed-income securities Variable-income securities

15,530 44,695

13,546

1,984

Reverse repurchase agreements

44,695

TOTAL

70,882

19,240

47,470

4,172

8.1.2

Financial liabilities designated at fair value through profit or loss

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

31/12/2018

01/01/2018

Financial liabilities issued for trading

Financial liabilities issued for trading

Financial liabilities designated under the

Financial liabilities designated under the

fair value option Total

fair value option Total

(in millions of euros)

Notes

8.1.2.1 and 8.1.2.2

8.1.2.1 and 8.1.2.2

Securities

21,062

22,132 43,194 22,032 22,332

26,090

20,535 46,625 20,432 20,735

Debt securities

301

303

Subordinated debt

0

100

100

0

103

103

Short sales

20,761 90,812

0 20,761 0 90,812

25,786 98,593

0 25,786 0 98,593

Repurchased securities (a)

Liabilities

14

4,579 4,593

64 56

3,440 3,504

Due to banks

0

67

67

78

134

Customer deposits

14

123

137

8 0

9

18

Other liabilities

0

4,389 4,389

3,352 3,352

Derivative instruments not eligible for hedge accounting (a)

57,160 12,423

0 57,160 0 12,423

59,600 12,999

0 59,600 0 12,999

Security deposits received

TOTAL

181,472

26,711 208,183

197,346

23,975 221,321

The information presented takes into account the impact of offsetting carried out in accordance with IAS 32 (see Note 6.3). (a)

Conditions for classification of financial liabilities under 8.1.2.1 the fair value option Financial liabilities are designated at fair value through profit and loss when this choice provides more pertinent information or when the instruments incorporate one or more significant and separable embedded derivatives (see Note 5) . The use of the fair value option is considered to provide more pertinent information in two situations: where there is an accounting mismatch between economically a linked assets and liabilities. In particular, the fair value option is used when hedge accounting conditions are not met: in such cases, changes in the fair value of the hedged item automatically offset changes in the fair value of the hedging derivative;

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. Liabilities measured at fair value through profit and loss mainly comprise issues originated and structured on behalf of customers for which risks and hedging are collectively managed. These issues include significant embedded derivatives for which changes in value are neutralized, except for those allocated to own credit risk, by those of the derivative instruments hedging them. Under IAS 39, liabilities designated at fair value also mainly consisted of long-term structured repos indexed to a basket of equities whose risks are managed globally and dynamically. These liabilities, which follow a trading business model as defined by IFRS 9, were recategorized as financial assets at fair value through profit or loss.

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Natixis Registration Document 2018