NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Consolidated financial statements and notes

Financialliabilitiesunderthe fair valueoptionfor whichcreditrisk is recognizedin net income.

12.31.2017

12.31.2016

Difference between book value and amount contractually due at maturity

Difference between book value and amount contractually due at maturity

Amount contractually due at maturity

Amount contractually due at maturity

Book value

Book value

(in millions of euros)

Due to banks

78

75 10

4

10

7 2

3 0

Customer deposits Other liabilities  (a)

9

-1

2

38,326

38,257

69

38,863

38,788

75

TOTAL 78 Other liabilities primarily comprise a portfolio of structured repos managed according to a dynamic approach, as well as vanilla repos with (a) short-term maturities. 38,413 38,342 72 38,875 38,797

Conditions for classification of financial liabilities under 6.1.2.2 the fair value option through profit or loss Financial liabilities are designatedat fair value through profit and loss when this choice provides more pertinent information or when the instruments incorporate one or more significant and separableembeddedderivatives (see Note 5.1) . 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.In particular,the fair value option is used when hedge accounting conditions are not met: in such cases, changes in the fair value of the hedged item

automatically offset changes in the fair value of the hedging derivative; where a portfolio of financial assets and liabilities is managed a and recognizedat fair value as part of a documentedpolicy of asset and liabilitymanagement. Liabilitiesvalued using the fair value through profit or loss option consist mainly of long-termstructuredrepos indexed to a basket of equitieswhose risks are managedgloballyand dynamically,as well as issues originated and structured for customers whose risks and hedges are managedcollectively.These issues include significantembeddedderivativesfor which changes in value are neutralized, except for those allocated to own credit risk, by those of the derivativeinstrumentshedgingthem.

12.31.2017

12.31.2016

Managed on a fair value basis

Managed on a fair value basis

Accounting mismatch

Embedded derivatives

Accounting mismatch

Embedded derivatives

Book value

Book value

(in millions of euros)

Due to banks

78

8

71

10

10

Customer deposits

9

9

2

2

Debt securities

20,432

16,488

3,944

18,469

15,166

3,303

Subordinated debt o/w repurchased securities

103

103

95

95

34,974

1,097 3,352

33,877

37,364

677

36,687

Other liabilities

3,352

1,499

1,500

TOTAL 3,400 Some liabilities issued and recognized under the fair value option through profit or loss are covered by a guarantee. The effect of this guarantee is incorporated into the fair value of the liabilities. 58,948 20,945 33,877 4,127 57,439 17,352 36,687

250

Natixis Registration Document 2017