NATIXIS - 2018 Registration document and annual financial report

5 FINANCIAL DATA

Consolidated financial statements and notes

8.2.2

Fair value hedging of assets and liabilities

Hedging of interest rate risk 31/12/2018

of which revaluation of the hedged component

Hedged portion still to be deferred

Carrying value

(in millions of euros)

Assets

21,168

11

(2)

Financial assets at fair value through equity

8,933 8,850

(118) (118)

Fixed-income securities

Equities and other variable-income securities Financial assets at amortized cost Loans and receivables due from banks Loans and receivables due from customers

83

12,235 9,732 2,503 4,664 4,664 3,782

129 116

(2) (2)

13

Liabilities

46 46

Financial liabilities at amortized cost

Amounts due to banks

1

Amounts due to customers

114 638 129

(1) (1) 47

Debt securities

Subordinated debt

8.2.3

Cash flow hedging of assets and liabilities

31/12/2018

Fair value of hedging derivative (a)

o/w effective portion o/w ineffective portion

Hedging of interest rate risk

(57)

(60)

2

TOTAL

(57)

(60)

2

The asset and liability fair value of the hedging derivatives is presented in net terms. (a)

Cash flow hedging – Analysis of other items of comprehensive income 8.2.3.1

Reclassification of effective portion to profit or loss

Balance of hedged portion

Hedged item partially or fully settled

Change in effective portion

still to be deferred*

OCI framework

01.01.2018

31/12/2018

Amount of OCI for CFH transactions

(38)

29

(0)

6

(3)

57

TOTAL

(38)

29

(0)

6

(3)

57

The basis adjustment model is optional under IAS 39 and mandatory under IFRS 9. *

308

Natixis Registration Document 2018