NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

Hedging derivatives 8.2 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 documentation that the hedging relationship between the derivatives and the hedged items is both prospectively and retrospectively effective. Hedging relationships are 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 hedges are mainly used by Natixis to hedge the overall interest rate risk. Cash flow hedges are also used by the leasing activity. Fair value hedging is used to hedge changes in the fair value of fixed-income securities on an individual basis, as well as comprehensive hedging of the interest-rate risk of Natixis Financial Products LLC according to the carve-out provisions of IAS 39.

31/12/2018

01/01/2018

Fair value assets (b)

Fair value liabilities (c)

Fair value liabilities

Notional Fair value assets

Notional (a)

(in millions of euros)

Cash flow hedges Over-the-counter

14,484 14,484 14,484 168,500 168,500 168,495

53 53 53

105 105 105 423 423 423

19,008 19,008 19,008 344,811 344,811 344,665

43 43 43

310 310 310 400 400 400

Interest rate derivatives

Fair value hedges Over-the-counter

253 253 253

296 296 296

5

Interest rate derivatives Currency derivatives

5

18

Credit derivatives

128

TOTAL 710 The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments 182,984 306 529 363,819 339

market, and do not reflect the market risks associated with such instruments. Of which €5,769.56 million at January 1, 2018 for the SFS business lines. (a)

Of which €2.6 million at January 1, 2018 for the SFS business lines recognized in non-current assets held for sale as at December 31, 2018. (b) Of which €193.5 million at January 1, 2018 for the SFS business lines recognized in non-current liabilities held for sale as at December 31, 2018 (c) (see Notes 3.6 and 6.9).

8.2.1

Schedule of hedging derivatives

The table below shows the breakdown of the notional amounts of the derivatives by maturity date.

31/12/2018

Notional (in millions of euros)

Less than 1 year

1 to 5 years

6 to 10 years

Over 10 years

Total

Interest rate hedges Cash flow hedges Fair value hedges Currency hedges Fair value hedges

30,620

85,121

42,395

24,843

182,979 14,484 168,495

216

2,871

3,284

8,112

30,403

82,251

39,111

16,730

5 5

5 5

TOTAL

30,624

85,121

42,395

24,843

182,984

307

Natixis Registration Document 2018