NATIXIS - 2018 Registration document and annual financial report
5 FINANCIAL DATA
Consolidated financial statements and notes
AT DECEMBER 31, 2017 R
31/12/2017
Assets (in millions of euros)
Carrying value
Level 1
Level 2
Level 3
Financial assets held for trading
113,615
46,332
62,485
4,798
Securities held for trading
50,381
45,655
4,575
151
o/w fixed-income securities
13,033
11,206
1,676
151
o/w variable-income securities
37,348
34,450
2,899
0
Derivative instruments not eligible for hedge accounting (positive fair value)
60,228
677
56,566
2,985
o/w interest rate derivatives
39,209
2
39,082
124
o/w currency derivatives
15,651
2
14,119
1,531
o/w credit derivatives
1,153
389
764
o/w equity derivatives
3,578
533
2,484
561
o/w other
637
140
492
5
Other financial assets held for trading
3,006
1,344
1,662
Financial assets designated under the fair value option
70,882
14,438
53,110
3,334
Securities under the fair value option
18,664
14,417
1,712
2,535
o/w fixed-income securities
3,134
725
598
1,811
o/w variable-income securities
15,530
13,692
1,114
724
Other financial assets under the fair value option
52,219
22
51,398
799
Hedging derivatives (assets)
339
339
0
o/w interest rate derivatives
339
339
0
Available-for-sale financial assets
57,885
49,376
4,527
3,982
Available-for-sale securities – Equity investments
660
91
0
569
Other available-for-sale securities
57,222
49,285
4,527
3,410
o/w fixed-income securities
49,704
43,491
3,217
2,997
o/w variable-income securities
7,518
5,794
1,310
414
Other available-for-sale financial assets
3
3
TOTAL (a) 12,114 The contribution from the insurance entities at December 31, 2017 was a carrying amount of €67,219 million, of which €4,370 million for Level 2 (a) and €5,120 million for Level 3. 242,721 110,147 120,460
31/12/2017
Liabilities (in millions of euros)
Carrying value
Level 1
Level 2
Level 3
Financial liabilities held for trading
85,937
26,340
57,652
1,945
Securities issued for trading purposes
26,096
25,750
345
0
Derivative instruments not eligible for hedge accounting (negative fair value)
59,783
590
57,249
1,945
o/w interest rate derivatives
39,099
64
38,839
197
o/w currency derivatives
14,681
1
13,508
1,172
o/w credit derivatives
793
467
326
o/w equity derivatives
4,856
395
4,210
251
o/w other
354
130
224
Other financial liabilities held for trading
57
57
Financial liabilities designated under the fair value option
58,948
2,908
54,571
1,469
Securities under the fair value option
20,535
20,162
373
Other financial liabilities under the fair value option
38,414
2,908
34,409
1,097
Hedging derivatives (liabilities)
710
710
o/w interest rate derivatives
710
710
TOTAL
145,595
29,248
112,933
3,414
Level 1: Fair value measurement using prices quoted on a) liquid markets Level 1 comprises instruments whose fair value is determined based on directly usable prices quoted on active markets. This mainly includes securities listed on a stock exchange or traded continuously on other active markets, derivatives traded on organized markets (futures, options, etc.) whose liquidity can be demonstrated, and mutual fund units whose NAV is determined and reported on a daily basis. Level 2: Fair value measurement using observable market b) data Level 2 fair value comprises instruments other than those mentioned in Level 1 fair value and instruments measured using
a valuation technique incorporating inputs that are either directly observable (prices) or indirectly observable (price derivatives) through to maturity. This mainly includes: Simple instruments Most over-the-counter derivatives, swaps, credit derivatives, forward rate agreements, caps, floors and plain vanilla options are traded in active markets, i.e. liquid markets in which trades occur regularly. These instruments are valued using generally accepted models (discounted cash flow method, Black & Scholes model, interpolation techniques), and on the basis of directly observable inputs. For these instruments, the extent to which models are used and the observability of inputs has been documented.
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Natixis Registration Document 2018
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