NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Consolidated financial statements and notes

NOTES TO THE BALANCE SHEET

NOTE 6

Financial assets and liabilities at fair 6.1 value through profit and loss These assets and liabilities are measured at fair value at the reporting date, with changes in value, including interest, recognized in income under “Net gains or losses on financial instruments at fair value through profit or loss”, except for changes in fair value attributableto own credit risk on financial liabilitiesat fair value throughprofit or loss, which are recognized as “Revaluationof own credit risk on financial liabilities at fair value through profit or loss” under other comprehensiveincome (see Note 8.1) for which thiscomponent of IFRS 9 is applied early.

6.1.1

Financial assets at fair value through profit

or loss

At December 31, 2017, financial assets at fair value primarily comprisedsecuritiesand derivativeinstruments.

Notes

12.31.2017

12.31.2016

(in millions of euros)

Securities held for trading Fixed-income securities Variable-income securities  (a)

50,381 13,033 37,348

46,116 12,302 33,813

Loans and receivables held for trading

3,006 1,254 1,752

2,871 1,521 1,350

Banks

Customers

6.1.3

Derivative instruments not eligible for hedge accounting  (b)

60,228 63,358 18,664

69,754 61,633 14,593

6.1.1.2

Securities at fair value through profit and loss

Securities services

Fixed income

3,134

3,278

Variable income  (a)

15,530 44,695

11,316 47,040

Reverse repos  (b)

6.1.1.1 and 6.1.1.2

Loans and receivables at fair value through profit and loss

7,524 2,099 5,425

7,254 1,793 5,461

Banks

Customers

TOTAL  (C)

184,497

187,628

Including shares in mutual funds. (a) The information presented takes into account the impact of offsetting carried out in accordance with IAS 32 (see Note 6.3). (b) of which €22,733 million for insurance activities at December 31, 2017, and €17,325 million at December 31, 2016. (c)

Loans and receivables measured under the fair value 6.1.1.1 option through profit or loss and credit risk Exposure to credit risk represents a significant share of the fair value of loans and receivables designated at fair value through profit or loss shownon the balancesheet. Natixis did not purchase protection to hedge against credit risk associated with loans and receivables classified as fair value instruments through profit or loss for the 2017 and 2016 fiscal years. Conditions for classification of financial assets under 6.1.1.2 the fair value option through profit or loss Financialassets are designatedat fair value throughprofit or loss when this choice provides more pertinent information or when these instruments incorporate one or more significant and separableembeddedderivatives.

The use of the fair value option is considered to provide more pertinentinformationin two situations: where there is an accountingmismatchbetweeneconomically a linked assets and liabilities.This arises for example in the case of an asset and a hedging derivative when the criteria for hedgeaccountingare not met; where a portfolio of financial assets and liabilities is managed a and recognizedat fair value as part of a documentedpolicy of asset and liabilitymanagement. Financial assetsmeasured under the fair value through profit or loss option consist primarily of long-term structured repos indexedto a basket of equitieswhose risks are managedglobally and dynamically, as well as financial assets representative of unit-linked policies from insurance activities and, to a lesser extent, assetswith embeddedderivativesfor which the principle of separationwas not adopted.

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Natixis Registration Document 2017