NATIXIS - 2018 Registration document and annual financial report
FINANCIAL DATA Consolidated financial statements and notes
Fair value of financial assets and liabilities carried at fair value in the balance sheet 8.5 For financial reporting purposes, the fair value of financial and non-financial instruments has been broken down in accordance with a fair value hierarchy that reflects the observability of data used to make these assessments (see Note 6.6) . The three levels of the fair value hierarchy are presented below. For derivative instruments, fair values are broken down based on the dominant risk factor, i.e. primarily interest rate risk, foreign exchange risk, credit risk and equity risk:
31/12/2018
Assets (in millions of euros)
Carrying value
Level 1
Level 2
Level 3
Financial assets held for trading
152,037
31,342
117,806
2,889
o/w debt instruments in the form of securities
12,190
7,976
4,139
75
o/w equity instruments
22,761
22,701
60
o/w loans and receivables
99,184
96,370
2,814
o/w security deposits paid
17,903
665
17,238
Derivative instruments not eligible for hedge accounting (positive fair value)
57,161
1,449
53,162
2,548
o/w interest rate derivatives
36,401
2
36,277
122
o/w currency derivatives
13,021
11,722
1,299
o/w credit derivatives
979
254
725
o/w equity derivatives
6,272
1,193
4,677
402
o/w other
487
254
233
5
Financial instruments to be valued at fair value through profit or loss
4,886
1,308
2,088
1,490
o/w equity instruments
752
175
0
577
o/w debt instruments in the form of securities
2,263
1,134
268
862
o/w loans and receivables
1,871
1,820
51
Financial assets designated under the fair value option
2
2
0
o/w debt instruments in the form of securities
0
0
o/w loans and receivables
2
2
Hedging derivatives (assets)
306
306
o/w interest rate derivatives
306
306
Financial assets at fair value through equity
10,798
9,864
886
48
o/w equity instruments
126
78
0
48
o/w debt instruments in the form of securities
10,672
9,786
886
o/w loans and receivables
TOTAL
225,190
43,963
174,251
6,975
The data at December 31, 2018 regarding the fair value measurements for the insurance activities are presented in Note 9.4.4.
31/12/2018
Liabilities (in millions of euros)
Carrying value
Level 1
Level 2
Level 3
Financial liabilities held for trading
33,485
20,690
12,796
o/w securities issued for trading purposes
21,062
20,690
373
o/w security deposits received
12,423
12,423
Derivative instruments not eligible for hedge accounting (negative fair value)
57,161
1,036
54,071
2,054
o/w interest rate derivatives
36,279
0
36,087
192
o/w currency derivatives
12,383
0
11,340
1,042
o/w credit derivatives
564
313
251
o/w equity derivatives
7,177
813
5,795
569
o/w other
758
222
535
Other financial liabilities held for trading
90,826
89,650
1,176
Financial liabilities designated under the fair value option
26,711
3,726
22,800
185
o/w securities under the fair value option
22,132
21,950
182
o/w other financial liabilities under the fair value option
4,579
3,726
851
3
Hedging derivatives (liabilities)
529
529
0
o/w interest rate derivatives
529
529
0
TOTAL
208,712
25,451
179,846
3,415
313
Natixis Registration Document 2018
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