NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

IFRS 13 requires disclosure in the notes to the financial statements of the fair value, as well as the associated fair value hierarchy, of all financial instruments carried at amortized cost, including loans. The valuation methods used to determine the fair value disclosed in the notes to the financial statements are described below. Loans classified as “Loans and receivables” and amounts payable under finance leases The majority of Natixis’ loans are variable-rate loans, and their fair value is determined on the basis of discounted future cash flows. The discount rate applied for a given loan is the rate at which Natixis would grant a loan with similar characteristics to a similar counterparty at the reporting date. As these are primarily variable-rate loans, the contractual rate is adjusted according to the trend in market lending rates and in counterparty risk. The fair value of repurchase agreements is calculated by discounting expected cash flows at the market rate on the closing date and adding a liquidity spread. If there is a quoted price that meets the criteria of IFRS 13, the quoted price is used. The fair value of loans with an initial term of less than one year is considered to be the same as their carrying amount. This is also generally the case for financial assets with a term of one year or

less and current accounts. The corresponding receivables are classified in Level 2 of the fair value hierarchy. Loans and receivables granted to affiliates are also classified in Level 2 of the fair value hierarchy. Borrowings and savings The measurement of the fair value of Natixis’ borrowings and debt securities is based on the discounted cash flow method using inputs at the reporting date such as the underlying’s interest-rate curve and the spread applied to lending/borrowing between Natixis and Group entities. The fair value of debts maturing in less than one year is considered to be the same as their carrying amount; these debts are classified in Level 2 of the fair value hierarchy, as are debts payable to affiliates. Investment property recognized at cost The fair value of investment property (excluding investment property held by insurance companies) is determined by reference to the capitalization of rents, a method widely used by real estate professionals. The capitalization rate applied to the property depends on a number of factors such as location, the quality and type of building, use, type of ownership, quality of lessee and characteristics of the lease, the interest rate and competition in the real estate market.

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Financial assets at amortized cost 8.6 These are SPPI financial assets held under a “hold to collect” model. The vast majority of loans granted by the Group are classified in this category.

8.6.1

Loans and receivables due from banks at amortized cost

31/12/2018

01/01/2018

Impaired financial assets (2)

Impaired financial assets (b)

Unimpaired financial assets (1)

Unimpaired financial assets (a)

Total 5,699

Total (c)

(in millions of euros)

Current accounts overdrawn

5,698

1

6,435

0

6,435

Loans and receivables Security deposits paid

21,589

48

21,637

34,087

63

34,150

49 (4)

0

49

Value adjustments for credit losses

(2)

(48)

(50)

(61)

(64)

TOTAL 40,570 Corresponds to unimpaired financial assets for which value adjustments are calculated based on 12-month expected credit losses (Stage 1) or (a) lifetime expected credit losses (Stage 2). Impaired financial assets (Stage 3) are assets for which a default event has been identified as defined in Article 178 of the EU regulation of (b) June 26, 2013 on regulatory requirements for credit institutions. Of which €186 million at January 1, 2018 for the SFS business lines recognized in non-current assets held for sale as at December 31, 2018 (see (c) Notes 3.6 and 6.9). 27,285 0 27,285 40,567 2

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Natixis Registration Document 2018