NATIXIS_REGISTRATION_DOCUMENT_2017

FINANCIAL DATA Consolidated financial statements and notes

6.1.3

Derivatives not eligible for hedge accounting

Derivativefinancialinstrumentsnot eligiblefor hedge accountingare classifiedas held for trading,irrespectiveof the periodover which they are expectedto be held.

12.31.2017

12.31.2016

Notional amount

Assets

Liabilities Notional amount

Assets

Liabilities

(in millions of euros)

Organized market

770,015 658,248

1,087

1,859

911,499 833,609

3,180

3,563

Interest rate derivatives Currency derivatives

107

551

0

2

349

2,108

Equity derivatives Credit derivatives Other items

111,418

980

1,308

75,781

3,180

3,561

Over-the counter

4,898,058 3,577,537 1,089,015

59,141 39,102 15,651

57,984 38,608 14,681

4,896,420 3,485,422 1,154,074

66,574 38,544 22,075

61,732 35,184 20,361

Interest rate derivatives Currency derivatives

Equity derivatives

107,846 38,855 84,805

2,598 1,153

3,548

100,108 62,447 94,369

3,340 1,434 1,182

4,510

Credit derivatives  (a) (b)

793 354

844 833

5

Other items

637

TOTAL

5,668,073 1,771,715 2,848,152

60,228 43,350

59,843 41,146 11,493

5,807,919 2,142,024 2,481,363

69,754 49,092

65,295 44,745

o/w banks

o/w other financial companies 10,103 The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments market, and do not reflect the market risks associated with such instruments. Natixis has contracted Total Return Swaps (TRS) with BPCE. These instruments are used to hedge changes in the fair value recognized since (a) July 1, 2009 on instruments previously linked to the former GAPC hive-off carried at fair value through profit or loss at December 31, 2017 and are included on this line for an amount of €4.5 million in assets (versus €24.7 million at December 31, 2016) and €10.3 million in liabilities (versus €2.4 million at December 31, 2016). Natixis has contracted a call option with BPCE for the purpose of recovering in 10 years time any net gains in fair value transferred to BPCE via (b) TRS. The call option was recognized on this line in assets for €559.5 million at December 31, 2017 versus €553.6 million at December 31, 2016. 9,935 9,136

Hedging derivatives 6.2 Derivativesmay only be designatedas hedges if they meet the criteria set out in IAS 39 at inceptionand throughoutthe term of the hedge. These criteria include formal documentationthat the hedging relationship between the derivatives and the hedged items is both prospectively and retrospectively effective. Hedging relationships are presumed to be effective when, retrospectively,changes in the value of the hedging instrument offset changes in the value of the hedged item in a range of 80%-125%.

Cash flow hedging is mainly used by Natixis and the leasing businessas a structuralhedgeagainstinterestrate risk. Fair value hedging is used to hedge changes in the fair value of fixed-income securities on an individual basis, as well as comprehensive hedging of the interest-rate risk of Natixis Financial Products LLC according to the carve-out provisions of IAS 39.

12.31.2017

12.31.2016

Notional amount

Assets

Liabilities Notional amount

Assets

Liabilities

(in millions of euros)

Cash flow hedges Over-the counter

19,008 19,008

43 43

310 310

20,239 20,239 20,239 548,724 548,724 548,671

70 70 70

550 550 550

Interest rate derivatives

Fair value hedges Over-the counter

344,811 344,683 344,665

296 296 296

400 400 400

1,150 1,150 1,150

1,462 1,462 1,462

Interest rate derivatives Currency derivatives

18

53

Credit derivatives

128

TOTAL 2,011 notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments The market, and do not reflect the market risks associated with such instruments. 363,819 339 710 568,963 1,220

251

Natixis Registration Document 2017