NATIXIS - 2018 Registration document and annual financial report

5 FINANCIAL DATA

Consolidated financial statements and notes

FINANCIAL LIABILITIES R

Transactions carried out in the period

Gains and losses recognized in the period

Reclassifications in the period

Income statement

On transactions expired or redeemed during the period

On outstanding transactions at the reporting date

Gains and losses recognized directly in equity

Level 3 opening balance

Level 3 closing balance 31/12/2017

Other reclassifi- cations

Change in consolidation scope

Financial liabilities ( in millions of euros) Financial liabilities at fair value through profit and loss – Trading Securities issued for trading purposes Derivative instruments not eligible for hedge accounting (negative fair value)

Purchases/ Issues

Sales/ Redemptions From level 3 To level 3

Translation adjustments

01/01/2017

830

(306)

(13)

360

(206)

(55)

1,335

0

1,945

0

0

0

830

(306)

(13)

360

(206)

(55)

1,335

0

1,945

o/w interest rate derivatives

197

52

(2)

5

(58)

(27)

30

197

o/w currency derivatives

54

(189)

(21)

69

(19)

(2)

1,279

0

1,172

o/w credit derivatives

424

(63)

(7)

0

(28)

(1)

326

o/w equity derivatives

154

(106)

18

286

(101)

(25)

25

251

Other financial liabilities held for trading Financial liabilities under the fair value option through profit or loss Securities under the fair value option Other financial liabilities under the fair value option

771

72

(79)

1,261

(607)

51

(0)

1,469

93

(6)

(0)

243

(8)

51

(0)

373

678

78

(79)

1,019

(599)

1,097

Hedging derivatives

0

0

TOTAL FINANCIAL LIABILITIES RECOGNIZED AT FAIR VALUE

1,601

(234)

(92)

1,621

(812)

(55)

1,385

0

(0)

3,414

Sensitivity analysis of the fair value of financial instruments measured according to Level 3 – Assets and Liabilities Sensitivity of the fair value of financial instruments measured using unobservable inputs was estimated at December 31, 2018. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in uncertain economic environments. This estimate was performed using: adjustments to a “standardized (1) ” variation in unobservable a inputs related to additional funding value adjustment assumptions for fixed income, currency and equity instruments. The resulting sensitivity was €192.9 million; a flat variation of: a +/-50 basis points applied to the margin used for the j discounted cash flow expected on TruPS CDOs.

i.e. a sensitivity impact representing a valuation increase of €6.1 million (reflecting an improvement in the above-mentioned inputs) or a valuation decrease of €5.8 million (reflecting a deterioration in said inputs). (2)

8.5.2

Restatement of the deferred margin

on financial instruments The deferred margin covers only financial instruments eligible for Level 3 of the hierarchy. It is calculated after determining the valuation adjustments for uncertainty as described in Note 6.6. The outstanding non-amortized amount is recognized on the balance sheet under “Financial instruments marked to market on the income statement” less the market value of the related transactions.

Margin recognized during the period

Margin on new transactions

01/01/2018 IFRS 9

Level 3 closing balance at 31/12/2017 IAS 39

Impact of change

Other changes

31/12/2018

(in millions of euros)

Interest rate derivative instruments Currency derivative instruments Credit derivative instruments Equity derivative instruments

1

1

0

(0)

0

1 0

13 63

13 63

11 93

(7)

(1) (1)

16 70

(84)

TOTAL

76

0

76

104

(91)

(2)

87

The standard deviation of the consensus prices used to evaluate the parameters (1) Calculated impact before BPCE guarantee (2)

322

Natixis Registration Document 2018