NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Consolidated financial statements and notes

income, currency and equity instruments. The resulting sensitivitywas €17.1million; a flat variationof: a +/-50 basis points applied to the margin used for the j discountedcash flowexpectedon TruPSCDOs. i.e. a sensitivity impact representinga valuation increase of €9.9 million (reflecting an improvement in the above-mentioned inputs) or a valuation decrease of €9.4 million(reflectinga deteriorationin said inputs (2) ).

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 unobservableinputswas estimatedat December 31,2017. With the aid of probable assumptions,this sensitivitywas used to estimate the impacts of market fluctuations in uncertain economicenvironments.This estimatewas performedusing: adjustments to a standardized (1) variation in unobservable a inputs related to assumptionsof additional valuation for fixed

Financial assets at fair value: transfer between fair value levels 6.7.5.2

DECEMBER 31, 2017 R

At December 31, 2017

From

Level 1

Level 2

Level 2

Level 3

Level 3

(in millions of euros)

To

Level 2

Level 1

Level 3

Level 1

Level 2

Financial assets held for trading

413 399 233 166

333 326 239

1,104

147 122 122

Securities held for trading

1 1

o/w fixed-income securities o/w variable-income securities

86

Derivative instruments not eligible for hedge accounting (positive fair value)

15

8

1,103

24 13

o/w interest rate derivatives o/w currency derivatives

35

1,054

3 4 5

o/w credit derivatives o/w equity derivatives

10

7 1

14

o/w other

5

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

2

0

2 2

0 0 0

o/w fixed-income securities o/w variable-income securities

Other financial assets under the fair value option through profit or loss Hedging derivatives (assets) Available-for-sale financial assets Available-for-sale securities - Equity investments Other available-for-sale securities

209

695

143

157

209 209

689 689

143

157 157

o/w fixed-income securities o/w variable-income securities

39

104

Other available-for-sale financial assets

6

i.e. the standard deviation of consensus prices used to measure the inputs. (1) Impact determined before taking the BPCE guarantee into account. (2)

264

Natixis Registration Document 2017