IFRS 7) (Data certified by the Statutory Auditors in accordance with their effective implementation and follow-up. It validates market submits them to Senior Management for approval and monitors practices.
The Risk Division defines the principles for measuring risk, or the delegated representative, plays an essential role. Market Risk Committee, chaired by the Chief Executive Officer is overseen by the Global Risk Committee and in which the Market risk control is based on a limit authorization structure that
The Risk Department's main roles are: the definition of risk measurement methods and risk indicators;a the analysis and daily control of market risks and thea corresponding reporting for each business; the validation of valuation models (“pricers”);a loss alerts); and ad hoc requests (VaR, stress tests, operational indicators, the examination of annual limit reviews (including risk appetite)a model risks, etc.); (for liquidity risks, risks related to non-hedgeable parameters, the definition of provisioning and fair value adjustment policiesa bodies; presented to management and to control and supervisory the drawing up and transmission of all consolidated reportsa entities (subsidiaries and branches) carrying market risks; the introduction of standards and procedures common to alla the backtesting; Incremental Risk Charge, see Glossary), the stress tests and the production of the VaR, the stressed VaR, the IRC (thea the Volcker Rule; French Law on the Separation and Regulation of Banking and the production of monitoring indicators in accordance with thea the continued use of activities mapping in accordance witha regulatory requirements.
Contrôle Prudentiel et de Résolution in January 2009. Natixis Natixis’ internal VaR model was approved by the Autorité de market risks.
within approved scopes but also to manage and supervise thus uses VaR to calculate capital requirements for market risks different risk factors.
Moreover, the reliability of the VaR is measured regularly through by the VaR, with the actual losses.
between September 1, 2008 and August 30, 2009, as it is the The stressed period currently used by Natixis covers the period multiplying it by the square root of 10.
involves extrapolating from the one-day stressed VaR by As is the case for VaR, the 10-day holding period used by Natixis
The IRC (Incremental Risk Charge) is the capital charge required period of one year.
Thus, for each scenario, positions may be downgraded, upgraded or go into default.
simulation process is based on intra-sector correlation creditworthiness within the IRC horizon (one year). The Correlation assumptions are based on the rating of each issuer's validation phase is an essential prerequisite for their use. internal model validation policy and procedures. This model In accordance with regulatory requirements, Natixis has an by the Autorité de Contrôle Prudentiel et de Résolution in 2012. The internal IRC calculation model used by Natixis was approved
In addition to VaR, SVaR and IRC measures, stress tests are used to simulate the impact of extreme market conditions on the value of Natixis’ portfolios and operational indicators.
standard and are aimed at identifying the main loss areas by limits. They are set on the basis of the same severity management tools for all the portfolios and are governed by Specific stress tests are also calculated daily in the
In addition, reverse stress tests are used to highlight the concentration and contagion links. most high-risk scopes and market environments as well as the appropriate action plans where necessary.
150 REGISTRATION DOCUMENT 2016 - Natixis which alert management and the Risk Department if losses Loss alerts by portfolio and aggregated by business line,2.
budgetary targets; to the characteristics of each portfolio, past performance and thresholds are set by the Market Risk Committee according cumulative basis since the beginning of the year. These reach certain thresholds over a given month or on a nominals, etc.). The limits of these qualitative and changes in the underlying and to volatility, correlation, focus on more directly observable criteria (sensitivity to indicators on an overall and/or by business basis, which test limits.
quantitative indicators are set in line with the VaR and stress
Independent valuation control3.6.3.5 procedures. the independent control system made up of dedicated The valuation of Natixis’ various market products forms part of
determined and validated by an independent function in terms of at verifying that the valuation of financial instruments is Fair value determination is subject to a control procedure aimed
Natixis’ adjustment policy implementing the adjustment policy for Capital market activities’ The Market Risk Department is tasked with defining and management results.
151REGISTRATION DOCUMENT 2016 - Natixis adjustments for market risks to financial instruments measured The adjustment policy thus defines the principles for calculating at fair value.
at December 31, 2016. out at €5.7 million on November 17, 2016, standing at €8 million It peaked at €10 million on September 29, 2016 and bottomed
The following chart shows the VaR trading history between scope. December 31, 2015 and December 31, 2016, for the entire
The following table presents the key VaR figures: Natixis trading portfolio (in millions of euros)
VaR breakdown by risk factors and compensation effect in terms of VaR. Throughout the year, interest rate risk continued to predominate over equity, foreign exchange and credit risks. The breakdown of the VaR by risk factor provides a picture of the monthly contribution of the main risks and the compensation effects
Natixis backtesting for regulatory scope impacts) on the regulatory scope, and can be used to verify the reliability of the VaR indicator: The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR, with actual P&L
the quantitative and qualitative management framework, and the to reduce risks. The policy sets out the governance established, losses related to operational risks and regularly reviewing actions defined its operational risk tolerance policy with a view to limiting with the French Ministerial Order of November 3, 2014, Natixis As part of the definition of its risk appetite, and in accordance
Department are described in Chapter 2, Section 2.5, “Chairman’s The main tasks and governance of the Operational Risk registration document. report on internal control procedures”, of the 2016 Natixis
Officer, and functionally to the Head of Operational Risk; platforms. They report hierarchically to the local Chief Risk the support and control functions under the responsibility of ana availability) to which Natixis is exposed.
premises or information systems, or loss of employee within his or her remit – overall risks (loss of access to operational risk manager covering – in addition to the activities in the front, middle or back office.
The capital requirements for operational risk are calculated using known external losses.
indicators), to the business lines, or to the support functions loss-generating events. They apply either to Natixis (overall operational risk profile, and cover the seven Basel categories of monitored regularly. KRIs dynamically detect any changes in the indicators (KRIs) in place with corresponding limits, and are In addition to risk mapping, there are over 600 key risk carried out immediately or requiring Committee approval. triggering a systematic alert, may result in an action to be Committee for approval, and any breach of their thresholds, These risk indicators are submitted to the Operational Risk relevant early warning indicators during the mapping process. that, with the operational risk manager, set the indicators as
In 2016 a risk analysis was performed on all of Natixis’ business lines and support functions. It included a plan to strengthen the
Investment Banking business lines represent the majority of risks under review owing to the extensive nature of the division’s activities and operations in both France and internationally.
The Bank’s risk profile features two main risk categories: business line risk, concentrated under Corporate & Investment Banking, and overall risk (loss of access to premises or information systems, or of availability of employees).
OPERATIONAL RISK INSURANCE3.7.5 division, is tasked with analyzing insurable operational risks and taking out appropriate insurance coverage (direct insurance and/or transfer).
Coverage for intangible computer damage (damage to dataa without physical damage to the hardware containing it) and the resulting loss of banking business is provided by the “Intangible Computer Damage/Loss of Banking Business”
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 159REGISTRATION DOCUMENT 2016 - Natixis
Refinancing Pool, the Head of Financial Management and BPCE’s Head of Asset/Liability Management. The Committee meets every two months and is mainly responsible for: defining and monitoring Natixis’ ALM;a approving the major principles in terms of structural balancea sheet risks (structure, delegation of authority, fund transfer pricing, etc.) in compliance with the standard ALM framework set up by BPCE; validating ALM assumptions and conventions underlyinga calculations for metrics used to manage and monitor ALM risks; validating limits related to liquidity, overall interest rate(1) anda structural foreign exchange indicators; ALM; validating the overall funding policy in conjunction with BPCEa supervising structural balance-sheet risks and compliance witha limits, including managing excessive leverage risk since 2015; supervising the main balance sheet aggregates and theira development.
the Financial Management Department, which isa responsible for updating ALM principles, standards, the Treasury Department and the joint refinancing pool (seea Section 3.8.2.1), responsible for covering the funding requirements of the business lines, providing operational management of liquidity risk in accordance with applicable risk mandates and limits, implementing the Natixis medium-term funding policy adopted by the ALM Committee, and operationally managing compliance with the regulatory liquidity ratio; the Risk Division, in charge or reviewing ALM conventionsa and limits, keeping the Market Risk Committee informed of the validation of overall interest rate risk limits applied to Capital markets activities within the banking scope, and performing Level 2 controls of ALM and the Treasury Department’s indicators; subsidiaries afforded a measure of leeway in terms ofa management and which implement local governance and a dedicated ALM mechanism, such as a local ALM Committee, and oversee their structural ALM risks, placed under the general supervisory authority of the ALM Committee.
Natixis is affiliated with the central institution of the Caisses d’Epargne and the Banque Populaire banks (BPCE), as defined by the French Monetary and Financial Code. Article L.511-31 of the French Monetary and Financial Code stipulates that central institutions are credit institutions and, as such, they must oversee the cohesion of their network and ensure the proper operation of affiliated institutions and companies. To this end, they take any necessary measures notably to guarantee the liquidity and capital adequacy of all such institutions and
Natixis’ liquidity risk management policy is an integral part of the Group’s policy. It sets out to optimize Natixis’ activities within a clear, shared and standardized framework in terms of governance and ALM regulations, and in line with the Group’s
Excluding those related to banking portfolios for Capital markets activities that are presented to the Market Risk Committee.(1)
Furthermore, since mid-2011, Natixis’ funding structure has relied on a Joint Refinancing Pool shared by Natixis and BPCE. Placed under the authority of the Group ALM Committee, this platform was implemented in order to secure the Group’s
The aim of this Business Continuity Plan (“BCP under Liquidity Stress”) is to ensure that, in the event of a liquidity crisis altering liquidity for Natixis, BPCE and/or the entire banking system.
were focused on developing customer deposits in terms of current accounts and structured issues placed with investors.
The strategy to collect and diversify customer funds that began four years ago continued into 2016, mainly through the Liquidity Line of the Corporate & Investment Banking division, focused on
as always linked to the BPCE/Natixis Joint Refinancing Pool, cross-exchanges of liquidity for the purpose of managing and maximizing liquidity gaps and regulatory ratios, and the Group policy, making BPCE the sole public issuer in the long-term
The following charts are established on the basis of management data.
in terms of gross resources, with a slight increase in the percentage represented by foreign currency. This was due to the rise in USD-denominated structured issues carried out for diversification purposes, and due to the currency effect.
12.31.2016: BREAKDOWN OF GROSS FUNDING ■ STRUCTURE BY CURRENCY, AT CONSTANT USD EXCHANGE RATES
RATES STRUCTURE BY CURRENCY, AT CURRENT USD EXCHANGE 12.31.2015: BREAKDOWN OF GROSS FUNDING ■
globalization into question. The United Kingdom’s likely exit from the European Union, combined with the election of a new
December. Meanwhile, the short-dated debt market in the United States was rattled by the enactment of the money market reform, triggering a massive shift of assets from prime funds to funds invested in government bonds (for over $1 trillion). However, the emergence of a new type of investor (previously more accustomed to debt with longer maturities, now drawn by
NEU CP: “Negotiable European Commercial Paper,” the new commercial name for CDNs used on the market place (reform enacted by decree on(1) May 30, 2016, subsequent to the opinion of the European Central Bank issued on March 30, 2016).
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 163REGISTRATION DOCUMENT 2016 - Natixis
The beginning of 2016 saw marked volatility on the financial markets on the back of disappointing macroeconomic data from China, which cast doubt over the strength of its economic growth and global growth potential on the whole. The movement in favor of safe-haven assets caused long rates on US government bonds – as well as those of certain euro zone
Against these market conditions, Natixis raised a gross total of €22.8 billion under its medium- and long-term funding program (versus €14.5 billion in 2015). As the only long-term issuer in the public issues segment, BPCE provided Natixis with financing for a total euro-equivalent amount of €10.7 billion.
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 164 REGISTRATION DOCUMENT 2016 - Natixis
the Net Stable Funding Ratio (NSFR, October 2014) is aa long-term structural liquidity ratio developed to strengthen the resilience of the banking sector by requiring banks to maintain a stable funding profile and by limiting maturity transformation proposal was submitted by the European Commission on November 23, 2016 to enact the NSFR within the European Union.
quarterly statements on stable funding, which are entirelya descriptive (amounts and terms) without any weighting requirements relative to these new metrics, having set a minimum ratio of 100%. Natixis regularly assesses its contribution to the Group’s NSFR based on its interpretation of known legislation.
From an operational standpoint, Natixis has two liquidity reserves that contribute to Groupe BPCE’s reserves: discount window); a reserve of liquid assets eligible for central bank collateralizeda refinancing operations to secure intra-day settlements; this relatively stable reserve is made up of central bank loans and securities, and is located in Paris (about €4 billion in the 3G Pool) and New York (approximately $3 billion at the FRB
the assets reinvested with central banks ensure the reserve can be mobilized immediately if needed.
HQLA assets reported in the LCR numerator also include unencumbered HQLA securities temporarily carried by the Capital markets activities. These securities are not considered as part of the ringfenced liquidity reserve and are not meant to be held over the long term. The outstanding amount and composition of these portfolios may vary considerably from one reporting date to the next, as prices fluctuate. However, they can be monetized on the repo and securities borrowing/lending
In addition to these buffers, the aim of the internal policy governing the investment of residual surplus liquidity is to reserve this liquidity for the deposit facility to ensure its continuous availability; accordingly, this surplus liquidity is also included in the amount of assets reported in the LCR numerator.
Oversight of the short-term liquidity ratio management of the LCR (see section 3.8.2.5), having set an LCR limit higher than 100% from the end of 2013 (greater than the
Accordingly, in 2015 Natixis established: a governance system under the authority of the ALMa Committee, chaired by the CEO, for managing and monitoring excessive leverage risk (see section 3.8.1); as advocated by the New Frontier plan; a dedicated risk policy for excessive leverage risk; notably, thea ALM Committee decided on early adoption of a target leverage ratio well above the 3% minimum requirement currently recommended by the Basel Committee, in keeping with the Bank’s transformation strategy towards an asset-light model, an overall limit and an alert threshold applied to Natixis’a leverage ratio, proposed by the ALM Committee and approved by the Risk Committee.
in 2016. As in 2015, management and oversight of this ratio were achieved by setting constraints for activities (such as repos and securities lending transactions, derivative contracts, etc.) that are not RWA-intensive but are balance sheet-intensive.
As part of leverage ratio oversight, and for the purposes of financial communication, transactions with affiliates (i.e. BPCE and its subsidiaries, the(1)
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 166 REGISTRATION DOCUMENT 2016 - Natixis
(in millions of euros) 12.31.2016 1 Total consolidated assets reported in the financial statements 442,725
Adjustment for off-balance sheet items (i.e. conversion of off-balance sheet exposures to credit equivalent amounts) 37,038 7 Other adjustments (19,129)
8 LEVERAGE RATIO EXPOSURE 401,619 * o/w exposure related to affiliates 50,540
The CET 1 ratio’s sensitivity to exchange rate fluctuations is regularly assessed by the ALM Committee. The Committee sets an acceptable variation range on the dollar for this sensitivity and a monitoring report is presented during its meetings.
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 167REGISTRATION DOCUMENT 2016 - Natixis
Natixis’ policy for managing overall interest rate risk is not aimed at structurally holding directional interest rate positions in the banking book over the long term.
Finally, Natixis analyzes the sensitivity of net interest income (ΔNII) to changes in market interest rates using NII stress tests. At December 31, 2016, the sensitivity of the Bank’s NII to changes in interest rates was as follows: NII SENSITIVITY AND ECONOMIC VALUE OF EQUITY (IRRBB – TABLE B)R
Given its nature, overall interest rate risk is a marginal risk for Natixis and calls for no special comments. The Basel 2 normative shock (immediate +/-200 bp shift in the yield curves) would lead to a variation of €205 million in the portfolio’s economic value at December 31, 2016. This sensitivity is very low given the size of the banking book and represents less than 2% of the bank's CET1 capital.
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 169REGISTRATION DOCUMENT 2016 - Natixis
particular, Natixis is required to pledge part of its assets as collateral. It also receives collateral, some of which can be
The purpose of this appendix is to show the portion of assets pledged as a guarantee or collateral, and the corresponding liabilities, in accordance with the requirements of the Ministerial Order of December 19, 2014.
Fair value of encumbered collateral received and own debt securities issued
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 170 REGISTRATION DOCUMENT 2016 - Natixis
Total Demand Less than 1 month 1 to 3 months 3 to 6 months 6 months to 1 year years years
Other financial through profit or loss liabilities at fair value securities o/w repurchased technical reserves Insurance companies’
They are covered under the LCR management policy and were versus 3.5 billion at December 31, 2015. estimated at 3.1 billion in EUR equivalent at December 31, 2016,
RISK COMPLIANCE AND REPUTATIONAL 3.9.1 at Natixis Organization of Compliance 3.9.1.1
Functional structure all the business lines and support functions of Natixis, the subsidiaries and branches in France and abroad.
rules set out by Groupe BPCE. Its scope of action encompasses of the operational departments. It acts in accordance with the
The Compliance Department is in charge of establishing best banking and financial regulations. It also oversees IT Systems practices to prevent and manage the risk of non-compliance with
The function carries out second-level controls to ensure the regulations, and ensures that anomalies detected by the relevant compliance of transactions with banking and financing initiatives are regularly conducted so that employees can business lines are remedied. Training and awareness-raising demonstrate adequate levels of knowledge and vigilance.
effectiveness of the means to address these risks. main risks detected and on the implementation and
Tools under its responsibility, including: The function is equipped with a set of tools to cover all the areas to detect money laundering and internal fraud, verify behavioral analysis tools, used in conjunction with KYC tools,a compliance with embargoes and prevent terrorist financing; and manage conflicts of interest.
Conflicts of interest are managed through: compliance with the conflict of interest prevention framework;a
3 RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 174 REGISTRATION DOCUMENT 2016 - Natixis
Circulation of information organizational, physical or electronic and may be permanent or information to carry out their duties. These barriers may be information barrier separating its Asset Management business temporary. Natixis has set up a permanent and complete activities. Pursuant to regulations in force, the entry of sensitive activities within Natixis Asset Management from its other function as partitions between business lines and departments, unwarranted circulation of confidential information. These barriers basis. As such, information is transmitted only in the customer’s setting limits to the circulation of information on a need-to-know interest and only to employees who absolutely require the organizational structure changes in order to prevent the Information barriers are put in place and reviewed each time the issuers to be placed on the watchlist or on the prohibition list, as transactions into ODEON allows Compliance to rapidly identify well as employees to be placed on the insider list.
Compliance Officer. procedure are addressed to the compliance head and/or Chief to the higher levels of the organization. Alerts raised using this
Defending the primacy of customer interests is a defining each entity in France and abroad.
Processes and procedures are implemented to prevent, manage and supervise: conflicts of interest;a fraud and money laundering;a political contributions and contributions to public officials;a donations, patronage and sponsorship; anda gifts and benefits.a
Anti-fraud measures customers and specific controls of activities that are especially at regular awareness-building campaigns for employees and risk.
for customers, partners and employees. Natixis’ anti-fraud Natixis is fully committed to guaranteeing a secure environment culture is also continuously reinforced and deployed through management and of coordinating the anti-fraud officers’ network and implementing standards and principles for fraud risk abroad.
the expertise of fraud and IS security experts as well as the legal investigation and resolution mechanism is in place, employing and HR functions as necessary.
Natixis is committed to protecting the personal data of customers and employees alike. Accordingly: pursuant to the French Data Protection Act and, in most cases, des Libertés (CNIL – French Data Protection Authority) in are declared to the Commission Nationale de l’Informatique et
France or to the competent authorities internationally; Processes involving the use of personal data are conducteda
Natixis takes the necessary measures to guarantee thea data are being processed informed so that they can fully confidentiality of such data and to keep the persons whose exercise their rights of access and rectification.
The other disputes are deemed unlikely to have a material impact have an impact on Natixis and/or its consolidated subsidiaries.
Court for the Southern District of New York) under the caption lawsuits were grouped in federal court (the United States District among the defendants in multiple class-action and individual In March 2008, Natixis and Natixis Funding Corp. were named municipal bond issuers in the US federal courts in New York, lawsuits filed by and on behalf of certain state, county and providers and brokers of municipal derivatives conspired to fix Washington D.C. and California. The plaintiffs alleged that resulting from the alleged anticompetitive activities. beginning in 1992, and sought to recover alleged damages
Some plaintiffs sought to certify a class of all state, local and agencies and private entities that purchased municipal municipal government entities, independent government derivatives from the banks and brokers named as defendants prosecutors.
Securities and Exchange Commission (“SEC”) and state were performed beginning in late 2006 by certain government These civil claims arose out of investigations in the industry that
Department of Justice (“DOJ”) Anti-Trust division, the US agencies, including the US Internal Revenue Service (“IRS”), the paid $28,452,500 in respect of the class action and $1,497,000 to co-conspirator, in the US or its territories. Natixis Funding Corp.
Madoff fraud bank. With this in mind, Natixis has appointed law firms to assist and the outcome of the (primarily legal) measures taken by the emerged over the application of the insurance policy for it in these recovery efforts. Furthermore, in 2011 a dispute
Outstanding Madoff assets, net of insurance, were estimated at at this date. The effective impact of this exposure will depend on €479.9 million at December 31, 2016, and were fully provisioned first-line insurers submitted an appeal to the Court of Cassation.
prior to the discovery of the fraud through a complaint filed with restitution claim concerning the liquidation of amounts received
proceedings have been filed in New York). Some Natixis entities payments from these funds for redemptions of shares (over 200
suspended for several years, and in October 2016 the bankruptcy vigorously defending its position. These proceedings have been established a procedural timetable until May 2017 for the court authorized the trustees to modify their initial claim and proceedings against investors having previously received Fairfield Sigma Limited have initiated a large number of Furthermore, the liquidators of Fairfield Sentry Limited and
was opened in 2010. On February 14, 2017, Natixis came under plaintiffs have initiated civil proceedings, a judicial investigation investigation for two messages sent in the second half of 2007,
Paris) by 187 former employees of CDC Gestion (current name before the Paris District Court (Tribunal de Grande Instance de legal recognition of their rights to common law profit-sharing Natixis Asset Management.) The subject of the complaint is the issue of administrative constitutionality raised by Natixis Asset Following the application for a priority preliminary ruling on the
In 2007, Ixis Corporate & Investment Bank (the predecessor of fund that invested in the Bernard Madoff Investment Securities Natixis) issued EMTNs (Euro Medium Term Notes) indexed to a
The claim mainly concerns the reimbursement of the having paid the subscription price to the financial intermediary.
approximately €30 million, alleging that Cube Energy SCA, via its (NEIL – a Natixis subsidiary at the time) be ordered to pay partner SEEM.
general partner NEIL, acted in breach of its duty of loyalty to its against Natixis, asking that Cube Energy SCA and its general at the request of SEEM. This company seeks a joint sanction In January 2013, Natixis received a compulsory third-party joinder handed down on November 8, 2016. Some plaintiffs launched an The Commercial Court of Paris acquitted Natixis in its ruling appeal against this ruling in February 2017.
Retraite total €103 million. 2006 and 2008. The amounts claimed by Union Mutualiste
stay of proceedings on the merits of the case, pending a final On January 19, 2016, the Commercial Court of Paris ordered a
Europe in early July 2015 in the context of an appeal for decision by the Paris Court of Appeal as requested by AEW
Commercial Court of July 1, 2015, which had declared the legal annulment (“appel-nullité”) submitted against the ruling of the two insurance schemes involved to honor, in respect of AEW On October 25, 2016, the Commercial Court of Paris ordered the in favor of UMR in connection with the litigation and to cover the Europe, the sanctions covered by the policies that may be ruled concerned appealed this decision on December 7, 2016. defense costs incurred by AEW Europe. One of the insurers
Real Estate Holdings LLC before the New York Supreme Court. between 2001 and mid-2007 have been initiated against Natixis mortgage-backed security (RMBS) transactions executed Since 2012, legal proceedings regarding residential them has been dismissed as time-barred. Some claims related to Two of these proceedings relate to accusations of fraud. One of exceeding deadlines. Furthermore, Natixis has appealed the the second proceedings have already been dismissed for decision for not dismissing the entirety of the claims.
not least because the statute of limitation has expired and the claims brought against it to be unfounded for multiple reasons,
Natixis, which examined the case upon notification of the alleging violations of the False Claims Act in RMBS activities.
Selcodis is asking for compensation for the losses purportedly subsidiary, and is requesting that the defendants be ordered to suffered as a result of the court-ordered liquidation of its EDA
calculated by the court-appointed receiver. bear the asset shortfall in its entirety, with its amount being
MPS Foundation against the banks and former directors amount to €285 million.
November 14, 2016. The case is ongoing. allegations and submitted its observations to the AMF on a statement of objections to Natixis Asset Management for unwarranted and unjustified charging of redemption fees to non-compliance with its professional obligations, alleging the in relation to these redemption fees and structuring margins, and unitholders, exceeding the maximum rate for management fees in annual reports. Natixis Asset Management denies these inaccurate and misleading reporting of these management fees took place in February 2015 on Natixis Asset Management’s An inspection by the AMF (French Financial Markets Authority)
management of its formula funds. In July 2016, the AMF issued compliance with its professional obligations, particularly the
Société Wallonne du Logement complaint against Natixis before the Charleroi Commercial Court On May 17, 2013, Société Wallonne du Logement (SWL) filed a into between SWL and Natixis in March 2006 and requesting (Belgium), contesting the legality of a swap agreement entered that it be annulled.
contested swap agreement and ordered Natixis to repay to SWL September 12, 2016, the Mons Court of Appeal annulled the
All of SWL’s claims were dismissed in a ruling by the Charleroi ruling to the Mons Court of Appeal on March 2, 2015. On Commercial Court on November 28, 2014. SWL appealed this
Natixis Assurances is the Insurance division of Natixis and is structured into two businesses: the personal insurance business, focused on developinga and personal protection insurance; portfolios for life insurance, investment and retirement savings, portfolios for motor and multi-risk home insurance, personal the non-life insurance business, focused on developinga and casualty insurance.
The company is also exposed to underwriting risks (life and main risks to which Natixis Assurances is exposed are financial.
Market risk its guaranteed rate. To deal with this risk, BPCE Vie has only sold interest rates which would generate insufficient capital to meet more than 90% of the policies have a zero minimum guaranteed policies without a minimum guaranteed return in recent years: return. The minimum guaranteed return averages 0.16%.
Assurances’ standards and internal limits. As of December 31, Credit risk is monitored and managed in compliance with Natixis rated higher than A-. 2016, 61% of the fixed-income portfolio is invested in securities
Coface non-compliance risk, and reinsurance risk), of which the two principal risks are credit risk and financial risk.
risk (strategic risk, credit risk, financial risk, operational and Through its activities, Coface is exposed to five main types of
Underwriting Department; and level of DRA-based outstandings, generates an approval and monitoring at the risk underwriting level, which, above a givena the establishment of an overall budget by Coface’s a DRA-based risk assessment system covering all debtors.a
majority of Coface’s risks are short-term (95% of total a group of debtors relatively quickly and to anticipate a decrease outstandings) allows it to reduce the risk covered for a debtor or minimize the risk of debtor default, a slowdown in a given Coface maintains a diversified credit risk portfolio, in order to disproportionate impact on its overall claims expense. The business sector, or an adverse event in a given country having a changed mid-contract. Furthermore, the fact that the great insurance policies also contain clauses allowing credit limits to be
The following chart analyzes the breakdown of debtors by total credit risk exposure incurred by Coface at December 31, 2016: - €800K
Financial Risk system of standards and controls which is regularly reviewed: Coface has implemented an investment policy that incorporates strategic allocation, regulations governing insurance companies the management of financial risk through the definition of its
The instantaneous loss ratio is a weekly indicator that reproduces the change in the loss ratio. It is monitored for each region and each country and(1) is reported weekly by Coface, particularly so that underwriters can monitor the change in their portfolio and detect any deterioration in order to introduce corrective actions as early as possible.
Compagnie Européenne de Garanties et Cautions is the Group’s exposed to underwriting risk, market risk and the risk of the multiple business line security and guarantee platform. It is reinsurers defaulting, as well as operational risk.
CEGC to beneficiaries of guarantees result in direct exposure to underwriters. These regulated commitments recorded on the
Underwriting risk is the main risk incurred by CEGC. It is essentially a counterparty risk, as the commitments given by
(3) Second lowest rating of the three available ratings from the three international rating agencies. If one of the ratings is only provided for two of(1) the agencies, the lowest rating will be considered. If a rating is only available for one of the agencies, this rating will be considered.
Asset Management. By collecting surety insurance premiums at the time of commitment, CEGC does not require funding. Nor
Gross balance sheet value of the provision % breakdown Market value
event of an economic recession leading to a loss of up to 2% of outstanding guaranteed loans.
In loan guarantees, reinsurance is used as a way to manage regulatory capital by protecting guarantee beneficiaries in the income statement.
Strategy risks consist of: the risk inherent to the strategy chosen;a or resulting from Natixis’ inability to implement its strategy.a strategies guiding Natixis’ activities and reviews them at least once a year. The Board of Directors also approves strategic
investment projects and any transactions, particularly acquisitions and disposals, that are likely to significantly affect Natixis’ results,
The membership of these various bodies is presented in calling meetings, can be found in Chapter 2, Section 2.3.1, of the registration document.
Chapter 2 of the 2016 Natixis registration document. The Internal Rules of the Board of Directors, including the procedure for
Pursuant to Article 173 of the energy transition act, as of the 2016 fiscal year Natixis is required to report on the risks linked to climate change and on its low-carbon strategy.
As a financial institution, Natixis is exposed to climate risk in the running of its operations and business activities.
Business Continuity Plan (BCP), which includes the management of extreme weather events (e.g. storms, heatwaves, flooding of
Environmental/climate risks linked to our business operations are risks (exposure to physical consequences caused directly by climate change) and transition risks (exposure of certain sectors progressively taken into account insofar as Natixis’ clients may themselves be subject to climate risks: these include physical
lending policies of certain business lines. As such, the risk policy in the commodities sector has restrictions in place for addressing Article 173 of the energy transition for green growth act of August 17, 2015, with a view to drawing up stress test
Prudential Supervisory Authority for the Banking and Insurance Sector), BPCE and Natixis participated in industry initiatives scenarios. These initiatives assessed the sectors most exposed to physical risk and to transition risk.
Natixis has established a number of measures to limit its own impact on the climate, namely: energy-efficient buildings that reduce energy consumption;a optimization of business travel and its vehicle fleet;a responsible purchasing policies that incorporate environmentala criteria.
All these measures have helped steadily reduce Natixis’ carbon footprint, which is measured every year (see 2016 Natixis registration document, Chapter 6).
In addition, Natixis draws on its investment and financing opportunities. Natixis has put in place a low-carbon strategy for all its business activities: Corporate & Investment Banking, Investment Solutions & Insurance, Specialized Financial Services.
sector and exclusion policies: Natixis has drawn up specifica policies for the following sensitive sectors: energy, mining, offshore oil platforms, nuclear, defense and palm oil. Where necessary, these policies address issues related to the energy covered financing, asset management and insurance.
Since 2015 Natixis has also committed itself to no longer finance coal-fired plants or thermal coal mines, nor companies that
The identification and management of these risks are presented in Chapter 6 of 2016 Natixis registration document.
Change in value in 2016 Other changes Net exposure at 12.31.2016 AAA AA A BBB BB B CCC C
Net exposure at 12.31.2015 Change in value in 2016 Other changes at 12.31.2016 Net exposure
(c) Exposure corresponds mainly to the “shipping finance” sector amounting to €134 million at December 31, 2016 versus €145 million at December
Exposure corresponds mainly to the “shipping finance” sector amounting to €145 million at December 31, 2015.(c)
The presentation of the divisions in 2016 is unchanged relative to December 31, 2015.
(Mergers & Acquisitions, Financing, Investment Banking, Capital Markets and Global Transaction Banking), including a
Capital allocation specific to the insurance businesses is based on the Basel 3 accounting treatment for investments in its exclusion from the “Danish compromise”. It is based on a 250% risk weighting of the value of the structure’s securities, insurance companies, as stated in CRD IV and CRR (“Danish compromise”). The capital allocated to CEGC takes into account
The conventions applied to determine the earnings generated by the various business divisions are as follows: the business divisions record the return on regulatory capitala allocated to them. By convention, the rate of return on normative capital remained at 3%; divisions is eliminated; the return on share capital of the entities comprising thea divisions pro rata to their regulatory capital; as of 2016, the cost of Tier two debt subordination, previouslya assigned to the Corporate Center, is now charged to the the divisions are invoiced for an amount representing the bulka charged back to the divisions.
of Natixis’ overhead. The Single Resolution Fund (SRF) contribution is covered by the Corporate Center and is not
the result used to determine Natixis’ ROE is net income (Groupa the calculation of business line ROE is based on:a the aforementioned rules, to which a normative tax is applied. This traces the business line’s average tax conditions and is updated at the start of every fiscal year, as the numerator, the business line’s pre-tax profit, as perj accounting treatment in 2015.
Investment Solutions, as of 2016 a deferred tax liability related to goodwill is recognized following a change in basis of 10% of RWA assigned to the division, plus goodwill and intangible fixed assets related to the division. Regarding as the denominator, regulatory capital, calculated on thej
The equity used is average annual shareholders’ equity (Group share) under IFRS, after distribution of dividends, excluding income (Group share) minus interest paid on DSNs net of tax.
Natixis’ ROTE is determined using, as the numerator, neta pro forma basis in respect of 2015 functions’ contribution to the division. Accordingly, the Corporate Center and SFS expenses were calculated on a
Lastly, the 2014 data presented in the Natixis key figures are prepared pro forma of data published in 2015.
KEY EVENTS FOR THE PERIOD4.1.2 value-added financial solutions. The plan reached a milestone in 2016 with the acquisition of 51% in Peter J. Solomon Company, a
Natixis pursued its New Frontier strategic plan to become a bank turn into a wholly client-focused bank offering substantial disengaged from non-strategic businesses, selling Altus (Financial Investments) in the first quarter.
to create the third biggest player on the French retail market in real estate asset management, with combined AuM in excess of
Sommet Infrastructures, Aménagement du Territoire eta infrastructure renewable energy fund strategy; Immobilier (SIATI): Mirova won the award for best green
Financial News Awards 2016: H2O was named Boutiquea Manager of the year in bond management; management category; website in 2016 by AGEFI AMtech day in the asset AGEFI AMtech day Awards: DNCA won the award for besta and Mirova was named “Most Impressive Green/SRI Impressive Green/SRI Investor” in the green bonds category, Global Capital: Chris Wigley of Mirova was named “Mosta
AEW Europe won in the France balanced fund category for its 2016 MSCI/European Property Investment Awards: NAMIa
In 2016, la Banque Privée 1818 made substantial gains by increasing its loan outstandings by 14% to €1.6 billion.
December 31, 2016, Sélection 1818 won two awards: the With €6.2 billion in assets under management at based on meticulous and responsive stock selection. VEGA Investment Managers’ active management approach Quantalys. This outstanding performance recognizes awarded by Gestion de Fortune magazine and its partner Globe d’Argent de la Gestion in the Wealth Fund category, €300 million, VEGA Euro Rendement won the 2016 AuM. With a five-star Morningstar rating and assets above VEGA Investment Managers manages has some €6 billion in the launch of the life and personal protection insurance offering In Insurance, the Assurément#2016 campaign concluded with then rolled out in June and October. Since mid-October, all offering was piloted with two Caisses d’Epargne in January, and in the Caisses d’Epargne network product range. The new generated by the network on these products.
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 190 REGISTRATION DOCUMENT 2016 - Natixis adopted a new global structure comprising five business lines In 2016 the Corporate & Investment Banking core business structure meets three objectives: to better support its cross-business coverage team. Launched in July, the new Markets and Global Transaction Banking), including a (Mergers & Acquisitions, Financing, Investment Banking, Capital
(O2D) model, and enhance the expansion of businesses abroad. customers, optimize the roll-out of the Originate-to-Distribute
acquisition in Peter J. Solomon Company (PJSC) in the US. This franchise with the conclusion in June 2016 of the 51% The bank consolidated its international Mergers & Acquisitions
(source: Thomson Reuters). advisory in France by number of deals concluded in 2016 commodities and infrastructure. Natixis is ranked No. 4 in M&A deal expands Natixis’ global M&A advisory franchise into including the acquisitions in Europe of Syngenta and Finance was brisk. Natixis arranged massive cross-border deals, investment funds, and was ranked No. 2 bookrunner for Internationally, it arranged several leveraged buyouts for the biggest cross-continental transaction by a Chinese company. KraussMaffei by the Chinese group ChemChina - the first being number of operations (source: Dealogic).
leveraged financing in France, and No. 6 in the EMEA regions in
In Investment Banking, business in Acquisition & Strategic consolidated its euro-bond market franchise and acted in Through its global network of origination teams, the bank namely in the Middle East and Asia where it coordinated its first Belgium. It continued to develop its expertise in currency issues, landmark deal, including a €6 billion issue for the Kingdom of issuers in 2016 (Source: Dealogic).
by number of euro-denominated deals with French corporate Natixis was ranked No. 2 bookrunner on the primary bond market US dollar issue for the Chinese company Chalco ($500 million).
Bloomberg). increases with preferential subscription rights (PSR) (source: 2016 it was again ranked No. 1 bookrunner in France for capital Natixis is a leader on the equity capital markets in France. In infrastructure, energy and commodities, and real estate sectors. structured financing transactions in the aviation, export, In structured finance, it carried out large-scale, high value-added structured renewable energy infrastructure finance in EMEA, and competition. Natixis was in fact names No. 1 Arranger in O2D model, despite regulatory constraints and heightened The business's stellar performance proved the strength of the real estate finance in the EMEA region in 2016 (source: Dealogic). No. 5 globally (source: IJ Global), as well as No. 3 bookrunner for
Innovative Investment Bank for Equity Derivatives” (Investment environment. The Banker magazine named Natixis “Most innovative ways to adapt to the market and regulatory derivatives where it stood out for its ability to come up with for Group 2) and “2016 Best Equity Borrower Globally, EMEA, named Natixis “Most Innovative Equity Borrower 2016” (award magazine Global Investor/ISF (Equity Lending Survey 2016) Banking Awards 2016). In 2016, for the fourth year in a row, the
now focused on designing simple, innovative solutions to best in 2015 to shift from a flow logic to a solutions offering, and is The Fixed Income business pursued the strategy it implemented
Furthermore, in partnership with Bank of China, the business line solution to complement its standard trade finance solution. for its major corporate customers with a supply chain finance Global Transaction Banking rounded out its international offering mainland China.
through its London and Dubai branches. It remained the leader in The bank continued to pursue growth in EMEA, particularly demonstrated its dynamism in acquisition and project financing.
bond issues in the financial sector, particularly in Spain, and and 20 borrowers).
The Specialized Financial Services business lines helped to set gains amid stricter management of operating expenses. business models of tomorrow and make operational efficiency up a digital transformation and innovation program to design the
Excluding the impact of the revaluation of own senior debt (1), net revenues climbed 2% thanks to the dynamism of the core
The net revenue gains of the core businesses contrasted with business.
items (2)) and the 3% increase in Specialized Financial Services Corporate & Investment Banking (+11% excluding non-recurring the 4% decrease in Investment Solutions, the 9% increase for up (+11%) in all segments.
The accumulated revenues from the Global Finance and Investment Banking businesses were stable compared to 2015.
driven by Specialized Financing business with Group networks. Specialized Financial Services posted net revenues up 3%,
The Corporate Center’s net revenues came out at -€17 million in 2016.
down 5%. Excluding non-recurring items (2), core business GOI revaluation of own senior debt, gross operating income was in 2016, down 10% on 2015. Excluding the impact of the Recurring gross operating income came out at €2,480 million
IFRS 9 relative to the accounting of internal credit risk, versus +€139 million in 2015. The impact of net revenues of the revaluation of Natixis’ own senior debt was nil in 2016, due to the early application in Q4 of the amendment to(1)
SWL legal dispute for the Corporate & Investment Banking division (-€69 million in the third quarter of 2016).(2)
Management and Altus within Financial Investments in the first related to the sale of CGM and Snyder entities to Asset The item "Gains or losses on other assets" includes gains of €97 million. This item totaled €175 million for the year versus sale of the Montmartre building, which generated a capital gain (€31 million) in the second quarter, and in the third quarter the quarter, gains related to the sale of an apartment block to CEGC
2016 after the goodwill impairment on Coface in the second €2,473 in 2015, down 7.5%. It includes an impact of nil from the Thus, pre-tax profit came to €2,287 million in 2016 versus 2016.
year-on-year to €3,363.7 million (down -4.4% at constant Investment Solutions posted a 4.3% increase in revenues exchange rates).
Solutions and Personal Protection Insurance offering in the line's expansion, as well as the roll-out of a new Investment Insurance segment increased largely on the back of the business
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 194 REGISTRATION DOCUMENT 2016 - Natixis
Asset Management constant exchange rates - thanks to the exchange rate and the December 31, 2015 at current exchange rates, or 2.3% at December 31, 2016 - up €30.4 billion (+3.8%) compared to Assets under management stood at €831.5 billion at highly auspicious market effect.
OVER THE YEAR (in billions of euros) CHANGE IN ASSETS UNDER MANAGEMENT ■
Europe posted net inflows of €7.0 billion, driven in large part bya other products; NAM, AEW Europe in real estate products, and H2O in various attributable to Harris Associates on equity products; in the US, the €20.5 billion in net outflows was essentiallya net inflows generated by Private Equity firms came to nearlya company).
stable (-0.3%) compared to 2015 (at constant EUR exchange At €782.4 billion, average assets under management were
The average rate of return on AuM stood at 28.3 bp, down 3% year-on-year.
the US and Distribution entities). compensation fees (chiefly for asset management companies in at constant exchange rates) with a sharp drop in variable Expenses came to €1,830.4 million, down 3.7% on 2015 (-3.9%
At December 31, 2016, Private Banking posted net inflows of services provided by the networks. international wealth management and the private management €1.5 billion, driven essentially by the strong performance in
period, down 6% (-€8.3 million) compared to 2015, i.e. a The business's net revenues stood at €136.4 million for the due to the absence of incentive fees in 2016 (compared to a €6.7 million decrease excluding the scope effect (-€1.6 million), scope effect of €1.6 million (transfer of business to NGAM Expenses came to €137.5 million, down 1% on 2015, with a and to IT fees linked to fewer projects on standby in 2016. advisory fees linked to the implementation of strategic projects, expenses were up +1% to €0.9 million, largely attributable to Distribution under the DEFI project). Excluding the scope effect,
Insurance segments was satisfactory in 2016. In terms of business levels, sales momentum across the to shift (-3% in the Euro fund and +4% in unit-linked policies). the historical scope (Banques Populaires), gross inflows continued projects) now distributed by the Caisses d’Epargne network. The launch of savings policies (life insurance and accumulation were up sharply by 42% compared to 2015 as a result of the With €6 billion in direct business premiums, life insurance inflows invested in the “Euro” fund increased by 40% to €4.7 billion. In representing more than 21% of total gross inflows. Inflows policies, for which premiums were up 47% to €1.28 million, business line and distribution networks prioritized unit-linked growth rate (up 9%).
CE networks. Premiums earned on Property & Casualty under management grew by 7% to €5.2 million for the BP and and Multi-Risk Home Guarantees (+3%). The number of policies represented a 2% increase, driven by Automotive policies (+7%)
Personal Protection insurance and in Payment Protection extent, the Multi-Risk Home combined ratio.
At €534 million, Equities revenues grew by 10%, buoyed by year-on-year and Equity Finance up 10%. Equity Derivatives, with the Solutions activities revenues up 52%
dynamic M&A France business led by Natixis Partners. strong business in acquisition & strategic finance, and the highly
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 196 REGISTRATION DOCUMENT 2016 - Natixis
in 2016, down by nearly €0.6 billion compared to 2015. allocated to Corporate & Investment Banking totaled €6.9 billion On the basis of average risk-weighted assets (RWA), the equity
Factoring boasted market share of close to 16.1% at With €44.9 billion in factoring revenues in France, up 29%, business, primarily in equipment leasing, was up 14% Banque Populaire and Caisse d’Epargne networks. New Leasing continued to shift its focus on serving the year-on-year.
Consumer Finance saw an annual increase of 11% in new personal loans and 2% growth in revolving credit.
of low interest rates, favorable to loan renegotiations and active loan guarantee market for retail customers and a context guarantees maintained very strong business levels, with a very After an exceptional performance in 2015, sureties and redemptions.
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 197REGISTRATION DOCUMENT 2016 - Natixis
Assets under management in Employee Savings Plans climbed to €24.2 billion. Securities Services renewed its strong more contrasted, with national check processing down 17% and 3% and 9% respectively. The Flows and Services business was Banking. The number of cards and clearing transactions rose by The Payments business was strong, particularly in Electronic mass transaction processing up by 6%.
at end-2016, up 3% on 2015. Specialized Financial Services recorded expenses of €880 million
increase in claims in the emerging countries. 52.5% in 2015, i.e. a deterioration of 12.9 points due to an The loss ratio net of reinsurance was 65.5% compared to €77.2 million gross) at constant exchange rates, the decrease in the state guarantees business to Bpifrance (compensation of net revenues was 21% compared to 2015.
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 198 REGISTRATION DOCUMENT 2016 - Natixis costs).
to the compensation received and -€19.4 million in restructuring €559.8 million euros, but was down 1% at constant exchange Operating expenses saw a small increase of 2% to rates and excluding non-recurring items (-€2.2 million attributable €129.8 million in 2015 (down 65%).
Restated for scope effect, net revenues were up 3% between compared to 2015 due to material changes to the scope.
Net revenues increased €1.2 million compared to 2015 to -€1.9 million.
decreased 1%, and conditions were favorable for sureties due to net revenues to €54.2 million. Excluding the exchange rate Compared to 2015, Natixis Algérie posted a 20% decrease in effect, net revenues were down 12%.
Excluding issuer spread and exchange rate fluctuations of deeply recognized under equity as of 2016 in application of IFRS 9.
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 199REGISTRATION DOCUMENT 2016 - Natixis
fixed assets Net gains/(losses) on regulated provisions banking risks and funding for general Funding/reversal of
At December 31, 2016, Natixis generated gross operating compared to December 31, 2015, thanks to a €658 million income of +€1,604 million, an increase of +€365 million operating expenses.
improvement in net revenues, less an increase of €293 million in
commission income fell by €25 million, resulting from a Net interest income rose by +€61 million. Net fee and increase of +€26 million in business earnings by foreign branches -€51 million decrease in business Mainland France and an €127 million of this increase are attributable to the Natixis Global Dividends paid by Natixis subsidiaries climbed €215 million.
pay-out by the Private Equity activities. Asset Management subsidiary and €68 million to a dividend overall -€303 million. In terms of French activity, the increase in structure of the Global Markets portfolios (CIB division) in 2016, gains on trading book transactions are attributable to the attributable to the change in market inputs (primarily interest rate which gave priority to customer derivatives transactions. It is also and foreign exchange inputs).
+€602 million for Mainland France activity and +€233 million for Gains on trading book transactions climbed €835 million, i.e.
The net provision for credit losses was up -€96 million (of which particular efforts to establish provisions for loans to -€21 million in Mainland France) to -€261 million, including in counterparties in the oil & gas and commodity sectors.
Combined, these items raised operating income by +€269 million balance for fiscal year 2016 is mainly attributable to the capital amounted to -€92 million (an increase of -€11 million). The property and the provision recorded under Coface equity gain earned on the disposal of the renovated Rue Montmartre
€424,543 million vs. €394,698 million at December 31, 2015. At December 31, 2016, the balance sheet totaled
Appendix to 4.1.3 – Consolidated Results 1 - MANAGEMENT RESULTS RECLASSIFIED AS CONSOLIDATED RESULTS IN 2016R
The 2015 transition table is a pro forma statement of the reclassification of the contribution to the Single Resolution Fund as pre-tax profit and of the reclassification of exchange rate fluctuations on foreign-currency DSNs as non-recurring items.
Financial assets at fair value through profit or loss 6.1 187,628 191,639
Financial liabilities at fair value through profit or loss 6.1 146,226 158,990
Due to banks 6.13 101,374 113,743 o/w institutional operations 46 46 o/w institutional operations 844 818
Accrual accounts and other liabilities 6.9 44,464 39,937 o/w institutional operations 0 4
Net gains or losses on financial instruments at fair value through profit or loss 7.3 2,119 1,985
Net income/(loss) for the period 1,465 1,502 o/w: Groupe sharea 1,374 1,344
Net income/(loss) attributable to shareholders (see Note 5.23) – Group share – per share, calculated on the basis of the average number of shares over the period, excluding treasury shares 0.41 0.41
Net income/(loss) attributable to shareholders (see Note 5.23) – Group share – per share, calculated on the basis of the average number of shares
Share of gains and losses recognized directly in the equity of associates recyclable to income 3 (2)
Gains and losses recognized directly in items of comprehensive income (net of tax) 210 473
(d) At December 31, 2015, other changes included -€424 million related to the recognition of a deferred tax liability on the tax amortization of goodwill and -€142 million related to the withdrawal of capital gains on reclassification following the repayment of a line of undated deeply subordinated notes subscribed for credit risk on financial liabilities at fair value through profit or loss” in opening shareholders' equity corresponds to own credit spread at January 1, 2016, i.e. €49 million (gross amount) and an associated tax impact of -€17 million (see Note 1.1).
“Changes in fair value attributable to own credit risk on financial liabilities at fair value through profit or loss” for the 2016 fiscal year recognized in shareholders' equity, unrealized and realized, totaled -€156.5 million (gross amount, with an associated tax impact of +€53.9 million).
(f) Shareholders' equity group share included the following: - €73 million in call options granted to minority shareholders in Peter J. Solomon Company (PJSC); - €24 million in call options granted to minority shareholders in Ciloger; - €65 million related to the revaluation and unwinding of purchase options granted to minority shareholders of DNCA France; - €18 million for the acquisition of 40% of AEW Europe; - €44 million in translation adjustments following the repayment of USD400 million in retained earnings by the New York branch.
as on-demand deposits with and loans from credit institutions. balances on cash and amounts due from central banks, as well The balance of cash and cash equivalents consists of the net property.
relating to held-to-maturity financial assets and investment flows generated by Group activities, with the exception of those Changes in cash generated by operating activities consist of cash intangible fixed assets, and acquisitions and disposals of consolidated and non-consolidated affiliates, tangible and and financial assets held to maturity.
Pre-tax profit 2,287 2,473 intangible assets +/- Net charge to depreciation and amortization of property, plant and equipment and
+/- Decrease/(increase) in financial assets and equity interests (a) 196 139
Impact of exchange rate changes on cash and cash equivalents 887 3,281
Decrease/(increase) in financial assets and investments in associates, including in particular:(a)
- dividends paid to BPCE (-€780 million) and dividends paid outside the Group (-€425 million); - the capital increase reserved for employees (see Notes 5.17 and 11.2.4) (+€26 million).
Consolidation scope2.1 217 and consolidation methods The notion of control 2.2
Institutional operations2.9 223 subsidiaries and branches of the statements of foreign Currency conversion 2.10
GAPC assets Guarantee mechanism for former 5.7 goodwill) and investment property intangible assets (excluding Property, plant and equipment, 5.8 and discontinued operations Non-current assets held for sale 5.9 through profit or loss Financial liabilities at fair value 5.10
Tax expenses5.20 251 commitments Financing and guarantee 5.21 mechanisms Contributions to banking resolution 5.22 the financial statements Use of estimates in preparing 5.23
Held-to-maturity financial assets6.6 264 to financial assets Other information relating 6.7
Subordinated debt6.17 285 sheet carried at fair value in the balance Fair value of financial liabilities 6.18
Fair value of financial liabilities 6.19 valued at amortized cost 291 and liabilities by contractual maturity Breakdown of financial assets 6.20
Net fee and commission income7.2 294 Gains and losses on financial 7.3 profit or loss instruments at fair value through available-for-sale financial assets Net gains or losses on 7.4
Gains or losses on other assets7.8 298 theoretical tax expense the financial statements and the Reconciliation of the tax expense in 7.9
Insurance companies15.3 330 goodwill under deferred taxes recognition of tax amortization of Accounting change in the 15.4
Financial Markets Authority) on March 10, 2016. In accordance with the Autorité des Marchés Financiers (AMF – French were published by Natixis in the 2015 registration document filed The financial statements presented for comparative purposes ended December 31, 2014, that were published in the 2014 contained in prospectuses, the financial statements for the year with European regulation 809/2004 relating to information
European Commission on December 18, 2015, with mandatory Statements” entitled “Disclosure Initiative” adopted by the The amendment to IAS 1 “Presentation of Financiala
Natixis’ financial statements ; effectiveness of disclosure. This amendment had no impact on to disclose in their financial statements and to improve the apply professional judgement in determining what information statements. This amendment aims to encourage companies to application from January 1, 2016 to Natixis’ financial
consolidated financial statements ; statements. This amendment had no impact on Natixis’ joint-ventures and associates in their separate financial Associates” to account for investments in subsidiaries, the equity method described in IAS 28 “Investments in
215REGISTRATION DOCUMENT 2016 - Natixis amendment had no impact on Natixis’ financial statements
Consolidation Exception” adopted by the European Ventures” entitled “Investment Entities: Applying the Entities” and IAS 28 “Investments in Associates and Joint Statements”, IFRS 12 “Disclosures of Interests in Other The amendment to IFRS 10 “Consolidated Financiala entities consolidated using the equity method. This rules in terms of the consolidation of investment entities and statements. These amendments aim to clarify the applicable application from January 1, 2016 to Natixis’ financial Commission on September 22, 2016 and with mandatory retrospectively.
Commission on November 22, 2016. According to these new IFRS 9 “Financial instruments”, adopted by the European fair value option through profit or loss, as provided for by of gains and losses on financial liabilities designated under the Through early application, provisions related to the recognitiona shall be recognized as other comprehensive income, where or loss, attributable to changes in credit risk on these liabilities, liabilities designated under the fair value option through profit provisions, the amount of changes in fair value of financial liabilities at fair value through profit or loss” in opening recognized, under “Revaluation of own credit risk on financial not to restate comparative periods. Consequently, Natixis In line with the option offered by IFRS 9, Natixis has elected issuer spread, i.e. €49 million (gross amount).
Customers”, adopted by the European Commission on The new standard, IFRS 15 “Revenue from Contracts witha according to specific phase-in conditions. It will replace the September 22, 2016 with application from January 1, 2018 of goods and services promised to customers.
that the entity expects to receive in exchange for the transfer ordinary activities at an amount that reflects the consideration Under IFRS 15, the entity must recognize income arising from
specific stipulations relating to revenue or contract costs are IFRS 4) and financial instruments (covered by IFRS 9). If leases (covered by IAS 17), insurance contracts (covered by IFRS 15 applies to all contracts with customers except for specified under a different standard, these will first be applied.
be dedicated to revenue, finalizing work on model calibration, completing documentation and adapting processes imposed by the implementation of this new standard within the framework of change management.
Work carried out on Classification and Measurement for the time being shows that the majority of financial assets that were recognized at amortized cost under IAS 39 will continue to meet the conditions to be recognized at amortized cost under IFRS 9, and conversely, that the majority of financial
securitization units held for the purpose of GSCS (Globalj Structured Credit and Solutions) activities, which are currently recognized as “Loans and receivables” and will not fulfill the characteristics of a basic instrument and which must be recognized as financial assets at fair value through profit or loss; consolidated shareholders’ equity due to the difference in the method used to measure these assets. Nevertheless, as there are very few such reclassifications and those carried out affect assets whose value does not differ significantly from cost value, these reclassifications are not expected to have a material impact, in terms of amount, on Natixis’ opening shareholders’ equity on January 1, 2018.
To calculate impairment, Natixis will use regulatory capitalj throughout Natixis and Groupe BPCE, depending on the type of asset.
Material impairment will be measured using a combination ofj indicators, the majority of which are included in the current risk monitoring system and adapted to the characteristics of the portfolios. These criteria include: the counterparty’s rating (internal, or external where there is no internal rating), the non-technical unpaid amount, the counterparty’s Watch List status (incorporating the forbearance status), and the internal sector rating of the sector or country to which the counterparty belongs.
In terms of hedge accounting: asset reclassifications, the majority of hedge accounting transactions recognized according to IAS 39 will continue to be recognized in the same manner as of January 1, 2018.
Under IFRS 16, lease contracts shall be accounted such that they identify an asset and convey the right to use this asset for a period of time.
For lessees, the standard requires that all lease contracts be recorded in the balance sheet such that they convey the right to use the leased asset which must be recognized under fixed assets with a corresponding financial liability entry under liabilities to reflect the leases and the remaining payments over the duration of the lease contract. The right to use the asset will be amortized on a straight-line basis and the financial liability will be calculated an actuarial basis over the duration of the lease contract. Interest expenses on financial debt and
at December 31, 2016, Natixis also took the following into account: In addition, in drawing up the consolidated financial statements recommendation published on October 15, 2008 by the AMF, the Conseil National de la Comptabilité (CNC – French National Accounting Board), the Commission Bancaire (French Banking Commission) and the Autorité de Contrôle des Assurances et des Mutuelles (ACAM – French insurance regulator), and the guide published by the IASB on October 31, 2008, entitled “Measuring and disclosing the fair value of financial with regard to the valuation of financial instruments, thea instruments in markets that are no longer active”. These two texts underline the importance of using judgement to determine fair value in illiquid markets. As a result of this recommendation, as at December 31, 2016, Natixis does not systematically apply models using observable data, as with previous reporting periods, in view of the lack of market liquidity affecting some asset classes; presented in the format recommended by the Commission Bancaire in its May 29, 2008 statement “Presentation note regarding the French application of the FSF’s recommendations for financial transparency”, have been incorporated into Section 3.11 of the chapter on “Risk Management and Capital Adequacy” of the registration document.
Financial Stability Forum (FSF). Details of risk exposure, with regard to financial reporting on risk exposure, thea recommendations applicable in France resulting from the
The consolidated financial statements are based on the individual financial statements at December 31, 2016, of the entities included in Natixis’ consolidation scope.
Unless otherwise indicated, the figures given in the notes are expressed in millions of euros.
The entities controlled by Natixis are consolidated using the full consolidation method, in accordance with IFRS 10. This standard defines a single audit model applicable to all entities, whether they are traditionally-governed entities or structured entities (see Note 4). The control of an entity will be analyzed using three cumulative criteria: influence over relevant activities of the entity;a exposure or entitlement to variable returns by virtue of itsa relations with the entity; the ability to exercise its power over the entity to influence thea variable returns obtained.
activities. This definition applied to all entities, with the exception of special purpose entities, for which the SIC 12 interpretation established control indicators. Control is determined on the basis of voting rights under IAS 27, whereas SIC 12 attached high importance to the right to the majority of economic benefits and to the right to exposure to the majority of risks relating to the special purpose entity.
IAS 27 defines control as the power to govern the operational and financial policies of an entity to obtain benefit from its
Joint control: joint-ventures and joint 2.2.2 operations arrangement, decisions pertaining to the entity’s relevant activities require the unanimous consent of the parties sharing
income/(loss) and other comprehensive income. Goodwill related to joint-ventures is included in the book value.
interest in the shareholders’ equity and income of the owned entity. Investments are recognized at this reassessed value on the asset side of the consolidated balance sheet in “Investments in associates”. The difference between the investments’ historical value and their reassessed value is recognized on the liabilities side of the balance sheet under “Shareholders’ equity, group share” and in income under “Share in income of associates” in the consolidated income statement and under “Share in gains/(losses) of associates recorded directly in equity” in the statement of net value of the investments in the owner’s account by Natixis’
future losses. In such cases, the investment is presented as zero. The associates’ additional losses are only provisioned when Natixis has a legal or implied obligation to hedge them or when it has made payments on behalf of the company.
When Natixis’ share in the losses of a company consolidated using the equity method is equal to or higher than its interest in the company, Natixis ceases to take its share into account in
Tests resulted in a write-down of €12.6 million in the equity-accounted investment in the IDFC entity, an entity belonging to the Investment Solutions division. This impairment is included in the “Share in income of associates” in the income statement. Goodwill after impairment included in the book value of the equity investment totaled €4.3 million at income/(loss) and other comprehensive income.
Significant influence is the power to participate in the financial and operating policy decisions of the corporate entity owned without having control over such policies. Significant influence is presumed to exist when Natixis directly or indirectly owns at least 20% of the voting rights of the company in question. IAS 28 defines companies over which significant influence is exercised as associates. These are consolidated using the equity consolidated in the December 31, 2016 financial statements as the company’s financial statements are not consolidation in IFRS format. The stake was acquired for $85 million. It is recognized in “Available-for-sale financial assets” at a value of €96.4 million at December 31, 2016.
In terms of Natixis’ stake in EFG Hermès, held through DF EFG 3 Limited, although the share of voting rights held represents 11.8%, it was analyzed as subject to consolidation according to the equity method due in particular to the number of seats held on the company’s Board of Directors. Nevertheless, it is not
any retained equity share is measured at fair value and the gains or losses on disposal are recognized among “Gains or losses on other assets” in the consolidated income statement.
Treatment of put options granted 2.4 to minority shareholders exercised, unless Natixis also holds an immediately exercisable call option.
The granting of put options to minority shareholders has no impact on Natixis’ interest in the subsidiary in question unless the put option is associated with Natixis holding a call option, and the call and put options give immediate entitlement to the economic benefits attached to the underlying shares.
In accordance with IFRS 3 (pre- or post-revision), business combinations are recorded using the purchase method. Under the purchase method, the identifiable assets and liabilities of the acquired entity are measured at their fair value at the valuation date.
220 REGISTRATION DOCUMENT 2016 - Natixis hence, goodwill is a residual item determined as thej difference between (i) the sum of the purchase price, the fair value at the purchase date of the share of interest held in the acquired entity prior to the purchase date, and the amount of non-controlling interests (determined using the partial or full goodwill method) and (ii) the net amount of the assets and liabilities assumed, measured at their fair value at the purchase date.
impairment test consists of comparing the carrying amount of the CGU or group of CGUs including goodwill with its recoverable amount.
those involving an entity controlled by Natixis and an entity controlled by BPCE are considered to have been carried out by
conferring entitlement to the share capital of the Caisses a portion of the cooperative investment certificates (CCIs)a
The contribution values used for consolidation purposes in respect of both categories of assets are the carrying amounts of these assets in the former CNCE's consolidated financial statements, restated in accordance with IFRS as adopted in the European Union.
Goodwill arising in connection with the above-mentioned business combination on December 31, 2006 was accounted for as follows: Goodwill on contributed entities goodwill within the meaning of IFRS 3, since the acquisition cost takes into account the real value of the shares, while the contributions were recognized at their net carrying amount. Each of the differences observed was recognized in “Consolidated reserves”.
An amount of €3.170 billion was charged against the issue premium in this respect at December 31, 2006.
Goodwill on other transactions €484 million, which breaks down as follows: €229 million on IAMG, €21 million on IXIS CIB and €8 million on Novacrédit, plus the goodwill recorded in “Investments in associates” relating to the Caisse d’Epargne CCIs (€190 million) and the Banque Populaire CCIs (€36 million).
In light of the sale of the cooperative investment certificates during fiscal year 2013, the associated goodwill is no longer included in the consolidated balance sheet.
approach unchanged compared with the previous fiscal year. Ex-UGT Corporate Data Solution (CDS) is now limited to IJCOF, an entity consolidated using the equity method, Ellisphère, an entity to which goodwill of €23 million is attributed and the HCP holding company to which no goodwill is attributed. Considering the disposal plans for Ellisphère and IJCOF (see Note 2.6) and was supplemented by other approaches using market data including market multiples, stock market prices and brokers’ target prices. An average valuation was determined by weighting the different approaches, with the respective weighting of each
A 20 bp increase in discount rates (assumption based on the historical annual variability observed over the past four years) combined with a 50 bp reduction in perpetual growth rates would help to reduce the value in use of CGUs by: -6.5% for the Investment Solutions CGU;a -3.7% for the Specialized Financial Services CGU;a -3.0% for the Corporate & Investment Banking CGU;a -4.3% for the Coface CGU,a except for the Coface CGU for which an additional €40 million impairment (€16.5 million group share) should then be recorded.
and would not result in an impairment recorded for those CGUs
sale”. As the disposal was completed during 2016, with an impact of €10.9 million on “Gains and losses on other assets”, this entity was no longer included in Natixis’ consolidation scope as at December 31, 2016.
Operations”, the assets and liabilities of that entity under two separate balance sheet line items: “Non-current assets held for sale” and “Liabilities associated with non-current assets held for
On December 31, 2014, Natixis initiated discussions regarding the sale of its subsidiary Altus GTS Inc. At December 31, 2014 and December 31, 2015, Natixis maintained the full consolidation of its subsidiary and combined, in accordance with the provisions of IFRS 5 “Non-current Assets Held for Sale and Discontinued
222 REGISTRATION DOCUMENT 2016 - Natixis the disposal was completed during 2016, with an impact of €8.3 million on “Gains and losses on other assets”, the subsidiary was no longer included in Natixis’ consolidation scope as at December 31, 2016.
division, was also treated in accordance with IFRS 5, with the presentation of its assets and liabilities organized into the two balance sheet items: “Non-current assets held for sale” and “Liabilities associated with non-current assets held for sale”. As
Standardization of individual data and 2.7 treatment of intra-group transactions described below.
Compagnie Européenne de Garanties et Cautions (CEGC) and Natixis Assurances sub-groups meet the definitions of insurance policies and investment contracts with a discretionary participation feature set out in IFRS 4. Accordingly, they result in the recognition of technical reserves in liabilities. These reserves are measured in accordance with French GAAP pending publication of an IFRS standard dealing with technical liabilities of insurance companies.
Technical reserves for life-insurance policies are primarily composed of mathematical reserves corresponding to the disability, dependency, damage to persons or property, health, legal protection and financial loss. Related technical reserves are calculated using specialized tables (life, experience and Bureau Commun des Assurances Collectives/BCAC tables).
Claims reserves include an estimate of claims reported but not settled at the reporting date. In addition to the amount of claims payable, a provision is set aside for unknown claims, calculated on a statistical basis by reference to the final amount of claims to be paid following settlement of risks and after any debt recovery measures.
Pursuant to paragraph 30 of IFRS 4, insurance policies and investment contracts with discretionary participation (life insurance) are measured using shadow accounting, which consists in recognizing the portion of unrealized gains or losses potentially attributable to policyholders as a deferred deferred profit-sharing rate adopted at December 31, 2016 was 87% compared with 90% at December 31, 2015.
Application of the shadow accounting mechanism resulted in the recognition of a deferred profit-sharing liability on December 31, 2016 as on December 31, 2015.
Prospective analysis of the deferred profit-sharing asset’s recoverability is therefore carried out to demonstrate the ability and intention of companies to meet liquidity requirements over the remaining recoverability period without selling investments in unrealized losses. This process corresponds to a forward-looking view of future cash flows, built following regulatory and
Natixis to these operations are identified on the balance sheet under each of the headings concerned with these operations.
Revenues derived from the management of public procedures represent the fees paid by the French State. The methods and principles of this compensation are set in a financial agreement dated February 24, 2012 between the State and Coface.
Premiums paid by customers, claims covered and amounts recovered as a result of these guarantees are paid over to the
Coface received, in return for this transfer, an indemnity which corresponded to a non-recurring gain of €77 million (gross amount) and which was recognized in the financial statements for the fiscal year ended December 31, 2016. The net gain, after taking into account direct and indirect costs, totaled €75 million
Currency conversion of the statements 2.10 of foreign subsidiaries and branches
translated at the average exchange rate for the year. Any resulting translation gains or losses arising regarding both balance sheet and income statement items are recognized in equity under “Translation adjustments” for the portion attributable to the Group and “Minority interests” for the portion
Groupe BPCE and CNP Assurances signed a new partnership agreement that took effect on January 1, 2016. It follows the expiry on December 31, 2015 of the distribution agreements between the two companies, and Groupe BPCE’s decision to assign the design and management of all savings and pension fund contracts sold by the Caisse d’Epargne network to Natixis Assurances from January 1, 2016.
following provisions: The new partnership covers a seven-year period and includes the the establishment of an exclusive collective paymenta protection insurance partnership between CNP Assurances and Natixis Assurances on the one hand, and all the Groupe BPCE networks on the other. This partnership is based on a co-insurance agreement (66% for CNP Assurances and 34% for Natixis Assurances); BPCE’s professional and corporate customers, coupled with a dependency component; and (ii) a targeted partnership for dependency and tenant guarantees as part of the individual provident insurance range; the implementation of specific provident insurancea partnerships with (i) an offer from CNP Assurances covering the main collective provident insurance guarantees for Groupe existing policy assets. Outstanding savings contracted with the Caisses d’Epargne have been transferred to Natixis
Assurances under a 10% quota share reinsurance agreement, including related transfers (see Note 6.5.2); a gradual withdrawal by CNP Assurances from the savings anda pension fund activities performed with the Caisses d’Epargne, including the progressive phasing out of new subscriptions in 2016, the ongoing collection of subsequent payments into existing contracts and provisions to align the interests of CNP Assurances and Groupe BPCE regarding the management of conversely, CNP Assurances reinsures 40% of new euroa pension fund contracts distributed by Caisse d’Epargne network and issued by Natixis Assurances over the period 2016-2019.
(NGAM), completed the merger of AEW Europe and Ciloger, one of the French leaders in real estate asset management for retail investors. Following this transaction; Natixis Global Asset Management will hold 60% of AEW Europe’s capital and La Banque Postale 40%.
Natixis holds a controlling interest in AEW Europe, through NGAM, in accordance with IFRS 10 and consolidates it using the full consolidation method.
The changes in scope since January 1, 2016 were as follows: Corporate and Investment Banking3.2.1
Acquisition of 51% of the share capital and voting rights in thea following entities on June 7, 2016: Peter J. Solomon Company LP;j
Acquisition during the third quarter of 2016 of DF EFG 3a Limited.
Creation of the Natixis Taiwan and Porto subsidiary during thea fourth quarter of 2016.
Consolidation of OPCI Franceurope Immo, an insurancea investment fund, in the fourth quarter of 2016, when ownership interest thresholds were crossed.
The interest in Ecureuil Vie Développement increased froma 49% to 51% following the acquisition of the 2% previously held by CNP Assurances in the first quarter of 2016.
increased the interest in DNCA’s entities, which rose from 71% to 75% for the following entities: DNCA Finance, DNCA Courtage, DNCA Luxembourg.
In the second quarter of 2016, the ownership interest ina Sélection 1818 increased from 75% to 100% following the
The ownership interest in AEW Coinvest increased from 60%a to 100% following the acquisition in the second quarter of 2016 of the 40% previously held by the Caisse des Dépôts et Consignations.
Absorption of DNCA et Cie by DNCA Finance during the fourtha quarter of 2016.
During fiscal year 201, as in 2015, Natixis did not make any significant disposals in subsidiaries still under control.
Material restrictions3.3.4 constituting it (see Note 3.8.2. “Liquidity Risk and Refinancing Strategy” of Chapter [3], “Risk Management and Capital Adequacy” of the registration document).
Natixis did not encounter difficulties transferring the dividends of subsidiaries located in these countries during the period.
Natixis Financement is a stakeholder in partnerships in the form of sociétés en participation (SEPs), with a lending institution (Banque Populaire bank or Caisse d’Epargne). The purpose of these SEPs is to ensure the origination, distribution, marketing, management and out-of-court collection of: personal repayment loans granted by the Banque Populaire ora Caisse d’Epargne network; the customers of the Banque Populaire or Caisse d’Epargne network.
revolving credit products granted by Natixis Financement toa the owners of the property or rights available for use by the company (even in the event of the company’s liquidation). The company’s income is shared in accordance with allocation criteria set out in the bylaws. Decisions concerning the relevant activities of the SEPs are made unanimously. These partnerships are joint operations as defined in IFRS 11.
(in millions of euros) Value of the investments in associates Net income
The percentage of ownership and voting rights at 12.31.2015 are 6.11% each.*
Summarized financial data pertaining to material associates and joint-ventures under significant influence are presented below.
principles and valuation methods applied to Natixis’ consolidated financial statements as presented in Note 5. The data for EIG established at December 31, 2015 and December 31, 2016 comply with IFRS as adopted by the European Union on that date and with the accounting *
See below the reconciliation table for financial information with the book value under the equity method.
In accordance with IFRS 12, Natixis discloses information for all the structured entities in which it holds interests and for which it acts in one or more of the following roles: originator/structurer/arranger;a placement agent;a manager of relevant activities;a structuring or management of the transaction. or any other role in which it has a decisive impact on thea others, the ownership of equity instruments or debt securities as enhancement and the issuance of guarantees or structured well as by other links, such as financing, cash loans, credit derivatives.
Natixis acts simply as a minority investor (exposure to these interests held in external securitization vehicles for whichj exposures as recommended by the Financial Stability Forum funds is included in the information disclosed with regard to
(FSF)) ; external Private Equity funds for which Natixis acts simply as a restricted scope of interests held in real estate funds andj a minority investor.
Auto-pilot mechanisms are generally in place for these be structured such that its income always amounts to zero. As structures. In the case of leasing contracts, the transaction must such, only default events would be capable of modifying the over such entities’ relevant activities.
which are relevant and which generate returns. As previously, amount of its receivable. As such, Natixis does not have power Natixis’ rights as lender are protective rights limited to the structures, it is generally the sponsor who oversees activities When auto-pilot mechanisms are not in place for these
In addition, Natixis is rarely a shareholder in such entities and, entities for which Natixis is the majority shareholder are limited in when it is, it generally holds a non-controlling interest. The financial statements.
number and do not have a material impact on the consolidated
Mutual funds 1. Non-guaranteed mutual funds: In the context of mutual funds, relevant activities are investment
These activities are managed in a discretionary manner on behalf and divestment activities involving securities in fund assets.
Banque Privée 1818. of investors by the management companies of NGAM and investors. Indeed, the management and incentive fees are managers is marginal compared to the returns generated for rendered, since the asset management activity takes place on a obtained on the market and are consistent with the services competitive and international market.
In the absence of rights held by third parties (e.g. withdrawal or managed by NGAM and Banque Privée 1818 is assessed fund redemption/liquidation rights), the control of mutual funds business lines within Natixis’ consolidated scope: according to the combined interests held by the entities and as managers, NGAM and Banque Privée 1818 do not invest ina the funds and generally own only several shares; Natixis Assurances may take out interests in mutual fundsa interests are subscribed in the form of euro-denominated or managed by NGAM via its insurance subsidiaries. These unit-linked insurance policies: insurer, which thus incurs the risks, return and the minimum guaranteed return is borne by the euro-denominated policies are policies under which thej major share of the surpluses generated by the insurance insured party receives a minimum guaranteed return plus the company’s main fund. Any shortfall between the fund’s selects the funds in which the insurer invests on its behalf. unit-linked policies are policies under which the insured partyj in the insurance policies. Invested funds representing The value of the insurer’s interest in such funds is reflected 12, are now consolidated under IFRS 10 if all the control unit-linked policies, which were not consolidated under SIC
funds are subject to consolidation under IFRS 10 whenever Just as for non-guaranteed mutual funds, guaranteed mutual
(management fees, incentive fees, etc.) and as an investor include income received by Natixis as a management company
A fund is subject to consolidation if Natixis acts as principal (e.g.
Risque – venture capital companies) and limited partnerships capital funds and SICARs – Sociétés d’Investissement à Capital which it has typically managed.
Natixis is also the sponsor of two ABCP (asset-backed commercial paper) conduits: Magenta and Versailles.
The Versailles conduit is consolidated, with Natixis holding power amount of its returns, given its prominent role in the choosing over activities relevant to the conduit enabling it to influence the management of the issuance program.
In contrast, given that Natixis is not part of the governing body conduit, it is not consolidated in Natixis’ accounts. holding the power to decide on activities relevant to the Magenta
Consequently, no such fund was consolidated as of the underlying portfolio for third-party investors. Its role is strictly The NGAM sub-group is involved in such funds as manager of provides it with effective control of the structure but rather with defined by the portfolio management agreement, which never the role of agent. Furthermore, neither NGAM nor any other
Kredit does not play any role in determining the activity of the Kredit does not sponsor the securitization structures. Coface management. Coface Kredit has no power over the relevant structured entity, nor in its operational or administrative comprising the portfolio, managing receivables, etc.). As the activities of the securitization vehicle (selecting receivables guarantee activation, Coface only has powers corresponding to operational or administrative management. In the event of a over activities relevant to the securitization vehicle. its protective rights. Indeed, Coface does not have any power
Natixis has a material interest and if they are material to the power over these activities. Such SPEs are consolidated once to manage operating property and non-operating property. The Natixis controls a certain number of vehicles whose purpose isa sources of returns for shareholders. Natixis generally has relevant activity is mainly the management of property as structured entities which own real estate assets. Two of them The Natixis Lease sub-group owns a certain number ofa relevant activities and is significantly exposed to the variability are consolidated to the extent that Natixis has power over the of returns.
CEGC controls two SCIs which hold the business line’sa operating property. CEGC also controls a third SCI which owns real estate assets.
Natixis Coficiné has relationships with:a these structured entities and has no control under IFRS 10, therefore Natixis, has no power over the relevant activities of structured entities created by producers to host a filmj stake in the entity, which is wholly owned by the producer. production. Coficiné is involved only as a lender. It has no activity falls within the remit of the producer. Coficiné, and Coficiné does not participate in managing the entity, as management fees at market rates consistent with the non-material stake in these SOFICAs and receives in these structured entities. Therefore, they are not subject services rendered. Natixis does not hold any other interests to consolidation under IFRS 10.
The maximum risk exposure corresponds to the cumulative commitments given, minus contingency reserves recorded under amount of interests recorded under balance sheet assets and liabilities and guarantees received: the “Notional amount of derivatives” item corresponds to thea notional amount of option and CDS sales agreed to by Natixis with structured entities; guarantees received are guarantees granted by third parties toa
Financial assets at fair value through profit or loss 234 9,380 718 150 10,482 or loss Financial instruments at fair value through profit
MAXIMUM EXPOSURE TO RISK OF LOSS 8,327 21,203 16,666 3,266 49,461
Financial instruments at fair value through profit or loss 22 4,026 328 - 4,376
Financial liabilities at fair value through profit or loss (derivatives) 36 446 369 22 874
IFRS 12, Natixis sponsors a structured entity when the two With respect to information that must be disclosed under following indicators are both met: Natixis is involved in the creation and structuring of thea structured entity; and
custodian or placement agent, the structured entity is presumed Where Natixis’ participation is simply as an advisor, arranger,
Natixis plays the role of sponsor for: mutual funds initiated by a Natixis management company anda
ongoing transactions with these funds; received by Natixis, as well as profits and losses resulting from the assignment of receivables.
Revenues net of fees and commissions 993 993 loss Net gains or losses on instruments at fair value through profit or
Book value of the assets transferred from the entity over the year* 2,369 2,369 not available. The book value of assets transferred to these vehicles corresponds to assets sold by Natixis during 2015, where the information on the sold amounts by all investors is *
companies. at fair value is a well-established practice within Private Equity
Held-to-maturity financial assets determinable payments and fixed maturities that Natixis has the These are non-derivative financial assets with fixed or those that are designated on initial recognition as at fair value clear intention and ability to hold through to maturity, other than those that meet the definition of loans and receivables. through profit or loss (fair value option) or available-for-sale, and
On initial recognition, available-for-sale financial assets are recognition, loans and receivables are measured at amortized measured at fair value including transaction costs. After initial impairment at each reporting date. Where necessary, an cost using the effective interest rate method, and tested for credit losses”. Transactions intended to hedge interest rate risk impairment charge is recorded in income under “Provision for on these securities are not permitted under IFRS.
Loans and receivables market, other than those designated as at fair value through the holder cannot recover the majority of the initial investment profit or loss or available-for-sale. This excludes assets for which classified as available-for-sale. The vast majority of loans granted other than because of a credit deterioration, which should be receivables also include the fair value of the hedged component by the Group are classified in this category. Loans and of assets classified in this category (fair value hedges).
After initial recognition, loans and receivables are measured at tested for impairment at each reporting date. Where necessary, amortized cost using the effective interest rate method, and credit losses”.
an impairment charge is recorded in income under “Provision for market interest rate is deducted from the face value of the loan. of the loan and the sum of future cash flows discounted at the of financial institutions at any given time for instruments and The market rate of interest is the rate applied by the vast majority counterparties with similar characteristics.
in a more favorable situation (e.g. suspension of interest or The modified terms of restructured loans must put the borrower the use of amendments that modify the terms of an existing principal payment, extension of term, etc.) and are confirmed by the counterparty being classified in the Basel default category, as rating. The restructuring of a loan does not necessarily result in downgraded into the Basel default category.
The fair value of unlisted non-consolidated investments is corresponds to their last listed price prior to the reporting date.
cash flow) valuation methods or share in (revalued on obtained using the P/E (price/earnings) ratio or DCF (discounted non-revalued) equity.
removed from equity and taken to income under “Provision for instruments).
credit losses” (debt instruments) or “Net revenues” (equity revenues) of available-for-sale financial assets that are not Gains or losses arising from changes in the fair value (excluding recorded directly in equity”. Accrued or earned income is hedged are recognized directly in equity under “Gains and losses income” using the effective interest rate method.
Determining whether there is objective evidence of impairment opinions, particularly in the case of debt instruments. Evidence of is based on a multi-criteria approach and independent expert impairment includes: pointing to a material decline in the counterparty’s financial procedures; counterparty bankruptcy and any other indicator cash flow models; position, such as losses on completion projected by discounted for debt instruments: default on interest or principal payments,a existence of mediation, warning or legal reorganization companies): any item suggesting that the entity will not be for equity instruments (excluding investments in unlisteda presenting an unrealized capital loss of over 30% on their face able to recover all or part of its initial investment. Securities more than six months, are systematically tested for value, or presenting an unrealized capital loss for a period of impairment. The test involves a qualitative analysis considering given period or information relating to the issuer’s financial a variety of factors such as share price performance over a based on the market price at the reporting date. Irrespective of position. Where necessary, an impairment loss is recognized when securities present an unrealized capital loss of over 50% this analysis, an impairment loss is systematically recognized value for a period of more than 24 months; at the reporting date, or an unrealized capital loss on their face for investments in unlisted, non-consolidated companies:a recoverable; unrealized capital losses of over 20% on their face value for a technological, market, economic or legal environment having period of more than 18 months, or significant changes in the amount invested in the equity instrument may not be an unfavorable impact on the issuer, suggesting that the fees, etc.). Accordingly, for investments of this type which are reduced by start-up costs (structuring and brokerage principles apply: not quoted on an active market, the following impairment for shares in venture capital funds (FCPRs), net asset valuea evidence that the initial investment might not be recovered. alone is not enough to determine whether there is any
This is because net asset value during the investment phase is plan ; position and results of the fund are in line with the business no impairment is recognized if, at the reporting date, thej if this is not the case, the business plan must be revised inj impaired.
In accordance with IFRIC 10, impairment losses recorded against income and cannot be reversed until the securities are sold. equity instruments at interim reporting dates are frozen in
Transactions where Natixis is a lessor lessee. All other leases are classified as operating leases. risks and rewards incidental to ownership are transferred to the Leases are classified as finance leases when substantially all the
IAS 17, which sets forth the accounting treatment of leases, and rewards incidental to ownership are transferred to gives five examples of situations where substantially all the risks the lessee: the lease transfers ownership of the asset to the lessee by thea end of the lease term; at the inception of the lease, that the option will be exercised; the lessee has the option to purchase the asset at a price thata the option becomes exercisable for it to be reasonably certain, is expected to be sufficiently below the fair value at the date asset; the lease term is for the major part of the economic life of thea lease payments amounts to at least substantially all the fair at the inception of the lease, the present value of the minimuma value of the leased asset; the leased assets are of such a specialized nature that only thea lessee can use them without major modifications.
IAS 17 also describes three indicators that individually or in combination could also lead to a lease being classified as a finance lease: if the lessee can cancel the lease, the lessor’s lossesa associated with the cancellation are borne by the lessee; gains or losses from the change in the fair value of the residuala value accrue to the lessee; the lessee has the ability to continue the lease at a rent that isa substantially below the market rent.
At inception, assets held under a finance lease are recognized in amount equal to the net investment in the lease, corresponding the lessor’s balance sheet and presented as a receivable at an
Revenues under the finance lease are recognized as income at periodic rate of return on the lessor’s net investment. The the interest rate implicit in the lease so as to produce a constant inception of the lease, causes: interest rate implicit in the lease is the discount rate that, at the to be equal to the sum of; receivable by the lessor and the non-guaranteed residual value, the aggregate present value of the minimum lease paymentsa the lessor, i.e., the costs incurred specifically by the lessor the fair value of the leased asset and any initial direct costs ofa form the initial value of the asset.
reduction in respect of amounts accrued is recognized recognized in the income statement under “Interest and similar Finance lease contract revenues corresponding to interest are income”.
method as that described for loans and receivables. Provisions for finance leases are determined using the same case of property leases. Lease income from operating leases is activities”.
Leased assets are depreciated in the same way as owned assets lessee’s assets. Payments made for operating leases are For operating leases, the leased assets are not recognized in the the lease term under “expenses from other activities”. recognized in the income statement on a straight-line basis over and receivables Credit risk on assets classified as loans 5.3 for impairment Assets individually assessed a)
between the net carrying amount of the loan and its estimated estimated recoverable amount discounted at the original When evidence of impairment exists, Natixis calculates the available guarantees. Impairment is recognized as the difference effective interest rate, taking into account the impact of any and reversals are recorded in the income statement under asset was initially shown for its net amount. Impairment charges The impairment loss is recorded against the line on which the
However, this may not occur before the end of the observation normal business relationship has resumed with the counterparty. Loans in default are reclassified as performing loans once a period during which payments may have resumed.
For industry risk, the Sector Risk section of the Risk division lower are automatically reviewed for their potential provisioning. positioning of the Natixis portfolio. Sectors whose rating is BB- or fragility, whether or not there is an outside threat, and the that is adjusted according to the position in the cycle, inherent procedure is based on the determination of an inherent score to the one used for rating major corporations. The rating prepares a segment analysis included in a rating scale equivalent considered.
238 REGISTRATION DOCUMENT 2016 - Natixis identified, are written down collectively unless they are already Loans on the watch list, for which a Basel default has been subject to specific write-downs.
calculation of expected losses is adjusted to reflect the based on the probability of default within one year, the Since risk measurement under the terms of Basel 2 is generally the loans affected.
In line with IAS 39, derivative financial instruments are whether they are held for trading or hedging purposes. recognized at fair value on the balance sheet, regardless of
Derivative financial instruments held for trading purposes when their market value is positive, and under “Financial sheet under “Financial assets at fair value through profit or loss” Derivatives held for trading purposes are recorded in the balance value is negative.
characteristics and associated risks are not closely related to criteria for definition as a derivative and its economic derivative is separated from the host contract if it meets the measured at fair value through profit or loss, the embedded When the hybrid instrument (host contract and derivative) is not
cash flow hedges, fair value hedges and hedges of a net derivatives and hedged items to qualify as hedge accounting: IAS 39 recognizes three types of relationship between the hedge. These criteria include formal documentation that the criteria set out in IAS 39 at inception and throughout the term of Derivatives may only be designated as hedges if they meet the retrospectively, changes in the value of the hedging instrument Hedging relationships are presumed to be effective when, items is both prospectively and retrospectively effective. hedging relationship between the derivatives and the hedged 80%-125%.
Hedging of variable-rate loans rates to fix future variable-rate borrowing costs. Natixis uses plain vanilla interest rate swaps lending at fixed
future variable cash management schedules for all variable-rate The documentation for these structural hedges is based on
amount of the items to be hedged is greater than the notional Hedging is demonstrated if, for each maturity, the nominal these limits, the hedge would no longer qualify. the fair value of hedged items in a range of 80%-125%. Outside in the fair value of hedging instruments must offset changes in
(excluding accrued interest) are compared with changes in the each such date, changes in the fair value of hedging instruments whether the hedge was effective at different reporting dates. At Retrospective hedge effectiveness tests are used to verify liabilities and management intentions). To be effective, changes (synthetic instruments representative of hedged assets or fair value of the hypothetical derivative instruments hedged
Fair value hedging firm commitment. in fair value of a recognized asset or liability or an unrecognized Fair value hedging is intended to hedge the exposure to changes
Hedging of fixed-rate loans and borrowings the impact of unfavorable changes in interest rates on its fixed-rate loans and securities.
instruments must offset changes in the fair value of hedged or liabilities). To be effective, changes in the fair value of hedging hedged (synthetic instruments representative of hedged assets accounting under IFRS.
Accounting for fair value hedges income for both the effective and ineffective portions. Changes in the fair value of the derivatives are recognized as recognized as income.
Many internal contracts involving derivatives used in hedge been correctly hedged on the market.
in a foreign operation are recognized in “Gains and losses deeply subordinated notes issued: see Note 12.3.1). the transaction date (or the date of reclassification in equity for measured at historical cost are translated at the exchange rate on Non-monetary items denominated in foreign currencies and exchange gains and losses are recorded as income.
consistent with the price that market participants would use in a while ensuring that all inputs used in the fair value calculation are
In this case, fair value consists of a mid-market price and instruments in question and the associated risks. additional valuation adjustments determined according to the
The mid-market price is obtained based on: available from an exchange, dealer, broker, industry group, an active market if quoted prices are readily and regularly quoted price. A financial instrument is regarded as quoted on if the instrument is quoted on an active market, fair value is itsa advantageous market; arm’s length basis on the main market or, failing that, the most represent actual and regularly occurring transactions on an pricing service or regulatory agency, and those prices must maximize the use of relevant observable entry data and established using valuation techniques. The techniques used pricing models, proprietary models in the case of hybrid similar instruments, discounted cash flow analysis and option to observable data from recent transactions, the fair value of minimize the use of non-observable entry data. They may refer data are available.
Adjustment for model uncertainty available. This is the case where risks inherent to various not considered, even when observable market inputs are valuation techniques used – in particular, the risk factors that are This adjustment takes into account the imperfections of the inputs used to value them.
Adjustment for input uncertainty circumstances, an adjustment may be necessary to reflect the unavailable to determine the selling price. Under these may be difficult or the price or input may be too regularly Observing certain prices or inputs used in valuation techniques fair value.
The method for determining the CVA is primarily based on the type of counterparty, rating and geographic area are used. calculation. In the absence of liquid market inputs, proxies by practices for all counterparty segments included in this use of market inputs in connection with professional market
The following criteria are used to determine whether a market is active: of activity on the primary market); the level of activity and trend of the market (including the levela the length of historical data of prices observed in similara market transactions; scarcity of prices recovered by a service provider;a sharp bid-ask price spread;a participants.
Fair values determined by reference to external quoted prices or carried out by the Risk Department.
Department. This is carried out under the responsibility of the Risk
Fair value hierarchy to be allocated to one of three fair value levels: measurements applied to financial and non-financial instruments For financial reporting purposes, IFRS 13 requires fair value liquid markets Level 1: Fair value measurement using prices quoted on a)
on organized markets (futures, options, etc.) whose liquidity can traded continuously on other active markets, derivatives traded This mainly includes securities listed on a stock exchange or determined and reported on a daily basis.
Simple instruments Most over-the-counter derivatives, swaps, forward rate active markets, i.e. liquid markets in which trades occur regularly. agreements, caps, floors and plain vanilla options are traded in inputs.
(discounted cash flow method, Black & Scholes model, These instruments are valued using generally accepted models interpolation techniques), and on the basis of directly observable the observability of inputs has been documented.
242 REGISTRATION DOCUMENT 2016 - Natixis closing dates) and the average issue spread. Changes in the cash reoffer curve at December 31, 2016 as for previous initial maturity of less than one year.
issuer spread are generally not material for issues with an difference between the revaluation spread (based on the BPCE
valuation of the “issuer credit risk” component is based on the debt issues measured at fair value through profit or loss. Thea its sensitivity, taking into account the existence of calls and the represents the product of the notional amount outstanding and curves, revaluation spreads, etc. For each issue, this valuation discounted cash-flow method, using inputs such as yield
Hybrid instruments Some more hybrid and/or long-maturity financial instruments are over-the-counter markets.
(H&W1F) model, as well as the Tskew and Pskew models. local volatility combined with the one-factor Hull & White The main models used for equity products are local volatility, the price of the underlying. Its main property is that it considers The local volatility model treats volatility as a function of time and relative to its exercise price.
combining the local volatility model described above with a The hybrid local volatility combined with H&W1F consists of fixed-income products). one-factor Hull & White model, described below (see
The Pskew model is similar to the Tskew model. It is used in floored ratchet products; particular for simple ratchet equity products such as capped or factors.
The main models used to value and manage fixed-income the Hunt Kennedy model and the “smiled” BGM model. models or one-factor Hull & White stochastic volatility model), products are Hull & White models (one-factor and two-factor
The main models used to value and manage currency products one-factor Hull & White models to understand fixed-income models combining an underlying currency model with two are local volatility and stochastic models, as well as the hybrid methodology perspective, observability is based on four demonstrated to be observable and documented. From a Inputs relating to all such Level 2 instruments were inseparable criteria: recognized contributor, for example); inputs are derived from external sources (primarily aa they are updated periodically;a they are representative of recent transactions;a the relevance of such an arrangement is demonstrated and transaction. If necessary, a proxy may be used, provided that documented.
(measurement of liability derivative positions), modeling risk and imperfectly collateralized derivatives, internal credit risk risk, the risk relating to the cost of funding uncollateralized or adjusted to take account of liquidity risk (bid-ask), counterparty The fair value of instruments obtained using valuation models is immediately recognized in income.
and IFRS 7 published on October 13, 2008 (see below). When
Chapter [3], “Risk Management and Capital Adequacy”. procedures) is provided for each model used in Section 3.6 of of the accuracy and consistency of internal models and modeling the decree of November 23, 2011, relating to regulatory capital In accordance with the decree of February 20, 2007, amended by description of crisis simulations and ex-post controls (validation June 26, 2013 on requirements resulting from Basel 3, a firms, and in accordance with the European CRR regulation of requirements applicable to credit institutions and investment parameters input into the valuation are observable. would consider in setting a price, i.e. only if the model and generated by a change in the factors that market participants Under IAS 39, day-one profit should be recognized only if it is observable. Any losses incurred at the trade date are the life of the transaction or until the date the inputs become statement, but is taken to income on a straight-line basis over trade date cannot be recognized immediately in the income immediately recognized in income.
instrument’s valuation is not observable, the trading profit on the market practices, or if one of the inputs significantly affecting the If the selected valuation model is not recognized by current day-one profit/loss has been deferred included: At December 31, 2016, instruments for which the recognition of multi-underlying structured equity and index products;a synthetic financing;a options on funds (multi-asset and mutual funds);a structured fixed-income products;a securitization swaps.a
Private Finance Initiative Extrapolation from prices based on the recovery assumption derivatives Interest rate Securitization swaps assumption portfolio’s early redemption based on the underlying Discounted cash flow expected rate
Spread Lock options, and TEC/CMS correlation Volatility and TEC Forward Spread Lock curve -13bp/+24bp Spread Lock: Capital Protected Note including a call at par issuer cash/CDS basis, guarantee, indexed on an pay-offs, with capital discretion clause at Natixis’
method capable of incorporating combined with a numeric reinput to a Black model volatility of the cash-cds basis, Modeling which inputs the basis Volatility of cash-cds 2.02% - 4.54%
Helvetix derivatives options, Strip of quanto Strip of long-term options, Strip of digital options digital options spread Options spread and
CPPI on Mutual Funds interest rate model Heath-Jarrow-Morton (HJM1F) equity model with a one-factor volatility-type multi-underlying model coupling the local The approach used is a hybrid Fund data correlation: Interest rate - Index
(equity+forex+fixed asset classes accrual note on several Long (15Y) callable range income)
interest rate diffusion and credit Hybrid model coupled with and credit volatility Fixed income-credit parameters correlation correlation: 0% Fixed income/Credit 51%]) [5Y, 56%], [10Y, maturity ([2Y, 200%], Structured by - Credit Vol: Equity derivatives with long maturities Multi-underlying pay-offs between assets options incorporating correlation Model for valuing volatility Correlation inputs 51% - 74%
levels Natixis’ policy on transfers between fair value described in the General Principles.
A review is undertaken for any instrument that ceases to meet to and from Level 3 are subject to prior validation. these criteria or once again complies with the criteria. Transfers to Level 3 of the fair value hierarchy during 2016 (see Note 6.7.5.2). residual maturity of between four and five years were transferred Pursuant to this procedure, multi-underlying equity products with hierarchy (see Note 6.7.5.2).
collateral TRS were transferred to Level 3 of the fair value Notes, Helvetix derivatives, as well as repos and general In 2015, in accordance with this procedure, Capital Protected
made for counterparty risk (Credit Valuation Adjustment – CVA). moved more in line, in terms of method, with the adjustment write-downs on CDS contracted with monoline insurers has Since December 31, 2015, the valuation model used to measure and the counterparty spread implied from the market data. It also takes account of the expected depreciation of exposures
PD and LGD based on the tranche’s maturity. A stress factor of based on an estimate of exposure at the time of default, with the applying a transparency-based approach to the underlying assets, CDPCs (Credit Derivatives Product Companies) was refined by whenever the losses resulting from the calculation exceed the Counterparties are associated with a probability of default for the underlyings, based on a recovery rate of 27%. 1.2 was applied to the probabilities of default thus determined
account the volatility of the fair value of the contracts. In addition to these provisions, a general reserve also takes into by Natixis using a valuation model Other instruments not exposed to US housing risk measured b)
fair value disclosed in the notes to the financial statements are payable under finance leases Loans classified as “Loans and receivables” and amounts
Borrowings and savings interest-rate curve and the spread applied to lending/borrowing using inputs at the reporting date such as the underlying’s debt securities is based on the discounted cash flow method The measurement of the fair value of Natixis’ borrowings and between Natixis and Group entities.
Investment property recognized at cost competition in the real estate market.
real estate professionals. The capitalization rate applied to the reference to the capitalization of rents, a method widely used by property held by insurance companies) is determined by The fair value of investment property (excluding investment lessee and characteristics of the lease, the interest rate and quality and type of building, use, type of ownership, quality of property depends on a number of factors such as location, the
On November 12, 2009, an arrangement was made by BPCE to amount; from the very first euro in default up to 85% of the default financial assets”. Under this guarantee, Natixis is protected recognized in “loans and receivables” and “available-for-sale guarantee, covering 85% of the face value of assets a sub-participation with the characteristics of a financiala transferring to BPCE 85% of unrealized and realized gains and two Total Return Swaps (TRS), one in euros and one in US$,a losses on the portfolio of instruments at fair value through balance sheet, with a matching entry to income. At the same derivatives and are therefore carried at fair value on the profit or loss (cash and derivatives) since July 1, 2009. TRS are estimated at €367 million. The premium is also recognized at after a ten-year period in return for the payment of a premium exercised, allows it to recover the net gains on this portfolio time, Natixis purchases an option from BPCE which, if fair value.
the premium was not immediately taken to income or recognized covered by the guarantee have already been recorded in income, Since the unrealized capital losses or write-downs on the assets and on the same line as: and taken to income over the same period, in the same amount Instead, the premium is initially recognized on the accruals line reversals of provisions for impairment (in Provision for credita losses); arising on October 1, 2008 on assets reclassified within “Loans
IAS 39 and IFRS 7 published on October 13, 2008. and receivables” at that date pursuant to the amendment to the deferred recognition of the discount (under net revenues)a intangible assets (excluding goodwill) Property, plant and equipment, 5.8 and investment property
Code, a five-year appraisal is conducted by an independent In accordance with Article R.332-210-1 of the French Insurance expert approved by the ACPR. Between two appraisals, the
monuments. They are therefore assigned a residual value of than land and non-destructible buildings classified as historical believe it can reliably measure the residual value of items other amount when it can be measured reliably. Natixis does not equipment and intangible assets are depreciated or amortized manner in which they were intended, property, plant and As soon as they are in a condition to be used by Natixis in the of the asset is deducted from its depreciable or amortizable which the economic benefits are consumed. The residual value increasing balance basis, whichever best reflects the pattern in over their estimated useful lives on a straight-line, declining or
247REGISTRATION DOCUMENT 2016 - Natixis equipment which has a different useful life or is expected to consume future economic benefits differently from the item as a whole. In line with IAS 16, a specific depreciation schedule is defined for each significant component of an item of property, plant and
Internal fixtures and fittings 8-15 years over their estimated useful lives, generally five to ten years. Other items of property, plant and equipment are depreciated useful life, which cannot exceed fifteen years.
Internally generated software is amortized over its estimated estimated useful life, which in most cases is less than five years. Purchased software is amortized on a straight-line basis over its contracts (average term of four years for the United States). client portfolio, which are amortized over the term of the Other intangible assets mainly consist of components of the and equipment and intangible assets”.
The discontinuation of IT projects under development results in their derecognition. A corresponding expense is posted to
A non-current asset (or group of assets) is meant to be disposed of when its book value is recovered by means of a sale. This asset (or group of assets) must be immediately available for the
248 REGISTRATION DOCUMENT 2016 - Natixis representing these commitments. The completion of this sale is
Assets and liabilities relating to discontinued operations are accounted for in the balance sheet in the same way as groups of assets held for sale. Gains or losses from these operations are presented on a separate line of the income statement and include through profit or loss Financial liabilities at fair value 5.10
loss”, except for changes in fair value attributable to own credit risk on financial liabilities at fair value through profit or loss, as such recognition does not create or increase an accounting mismatch. The latter is recognized in “Revaluation of own credit reporting date and shown in the balance sheet as “Financial liabilities at fair value through profit or loss”. Changes in fair value are recognized in income for the period under “Net gains or losses on financial instruments at fair value through profit or risk on financial liabilities at fair value through profit or loss”
Financial liabilities in this category are carried at fair value at the this component is applied early by Natixis (see the statement of changes in shareholders’ equity).
Debt5.11 liabilities at fair value through profit or loss is measured using the amortized cost method and recognized in the balance sheet under “Deposits from banks”, “Customer deposits”, “Debt securities in issue” or “Subordinated debt”.
financial asset expire. Natixis also derecognizes all or part of a financial asset if these contractual rights or substantially all the
Securities sold are not derecognized. Natixis recognizes a liability representing the commitment to return funds received (“Securities sold under repurchase agreements”).
Offsetting financial assets 5.13 and liabilities liabilities, and a net balance is presented on the balance sheet, on the twofold condition that it has the legally enforceable right to offset the recorded amounts, and the intention either to settle the net amount or to simultaneously realize the asset and settle
The amount recognized as a provision should be the best estimate of the expenditure required to settle the present obligation at the reporting date. This amount is discounted when the effect of discounting is material. Provisions are reviewed at each reporting date and adjusted if necessary. Provisions recognized on the balance sheet, other than provisions to cover employee benefits, mainly concern provisions for restructuring and provisions for risks and litigation.
A provision for restructuring costs is recognized when the following standard criteria for recognizing provisions and the two following conditions are met: there is a detailed formal plan for the restructuring on thea closing date, identifying at least: the operations or part of the operations concerned ;j the principal locations affected ;j the location, function, and approximate number of employeesj who will be compensated upon termination of their services ; the expenditures that will be undertaken ;j and the date the plan will be implemented.j
financial statements in respect of the workforce adaptation plan. The residual amount of the provision at December 31, 2016 is stated in Noted 6.16.2.
In 2013, Natixis booked a provision for restructuring in its €42 million. In 2016, Coface booked a provision for restructuring of
The plan includes early retirement and voluntary redundancies and mainly affects entities located in France and Germany.
Germany: the voluntary redundancy plan was presented toa employee representative bodies on November 30, 2016 and
A description of the main risks and litigation to which Natixis is exposed is given in Section 3.9 of Chapter [3], “Risk Management and Capital Adequacy”.
statements as at December 31, 2015 and as at December 31, 2015, are discussed in Note 6.16.2 “Contingency reserves” and possible allocations are specified in Note 7.5 “Other income and expenses”, Note 7.6 “Operating expenses” and Note 7.7
“short-term benefits”, including salaries, social securitya contributions, annual leave, employee profit-sharing, incentive plans, top-up contributions and bonuses payable for the period; employment; granted in return for termination of a staff member’s employment before the normal retirement age, resulting from a decision by the entity, or a decision by the employee to accept a severance package in exchange for terminating their
“post-employment benefits”, such as pensions, othera supplementary retirement benefits applicable to the banking industry, end-of-career awards and other contractual benefits payable to retirees; Employee Retention and Performance Recognition Plans.
(specifically the discount rate based on the AA Corporate bond rate curve). The value of plan assets is deducted from the
the share of third party investors in the net assets of dedicateda liquidation, are classified in liabilities on the consolidated balance sheet under “Accruals and other liabilities”. The share of third party investors in the fund’s profits is recorded under “Interest and similar expenses” on the consolidated income statement.
given period (called the reference price), are encumbered with a lock-up period of five years. The advantage granted is measured market player seeking a non-affected cash loan repayable in five years with an average risk profile.
and performance recognition plans Share-based employee retention the European Banking Authority (EBA) in its regulatory technical standard published on December 16, 2013 and approved by the European Commission in Commission Delegated Regulation (EU)
November 3, 2014. Some plans are settled in Natixis shares, while others are settled in cash indexed to the Natixis share price.
In accordance with the principles set out in Directive 2013/36/EU, known as “CRD IV”, and the Decree of November 3, 2014 and according to the criteria determined by
expense is recognized against equity. The fair value of the services received is calculated by reference to the fair value of the shares at the grant date, less the present value of dividends forfeited by employees during the vesting period, taking into to reflect any losses of rights.
vesting period. The expense is adjusted over the vesting period The expense is recognized on a straight-line basis over the
The accounting treatment applicable to cash-settled share-based payments is governed by IFRS 2 “Share-based payment”.
with any changes in fair value recognized in income for the period. The remeasurement of the liability at the reporting date remeasured at each reporting date and at the date of settlement,
The details of these plans and their quantified impacts over the period are provided in Note 11.2.2.
Treasury shares and treasury share 5.18 derivatives eliminated in the consolidated financial statements through equity.
as derivatives, if they are unwound via a net cash settlement ora
The method of accounting for fees and commissions received depends on the end purpose of the services rendered and the provided.
Fees and commissions for one-off services, such as business provider fees, are recognized in income as soon as the service is
recognized and amortized as an adjustment to the effective interest rate over the estimated term of the applicable loan. These fees and commissions are recognized as interest income rather than fee and commission income.
Deferred tax assets are only recognized at the reporting date if the tax entity concerned is likely to recover tax savings over a fixed time period (10 years maximum). These savings will be
The amended Finance Act of August 2012 introduced an additional contribution in the case of distribution of dividends in the form of cash flows. In accordance with IAS 12, the expense related to taxes on dividend payouts is recorded under the tax line for the period during which the payout decision was made. This amounted to €20.9 million for the 2016 fiscal year and €31.0 million for 2015.
the issuance of the guarantees. For independent agreements entered into at market rates, fair value at the inception of the agreement is equal in theory to the amount of premium(s) received. All financial guarantees issued within Natixis GROUP
In accordance with paragraph 43 of the amendment to IAS 39 and IFRS 4 (published by the IASB in August 2005 and adopted by the European Union), financial guarantees given are carried at their fair value plus any transaction costs directly attributable to
Subsequently, financial guarantees are stated at the higher of: appropriate, the amount of amortization recorded in line with the principles outlined in IAS 18 “Revenue”. This amortization represents the deferred recognition of the fees received over the period covered by the guarantee; and the amount initially recognized upon inception less, wherea the value determined under IAS 37 “Provisions, Contingenta Liabilities and Contingent Assets”, which is the amount that the entity would normally pay to settle the obligation or to transfer it to a third party.
meet the definition of an insurance contract were accounted for in line with the requirements of IFRS 4 “Insurance Contracts”, as
Guarantee commitments received by other standards in similar situations. Accordingly, guarantees received meeting the definition of a financial guarantee for an issuer are accounted for in accordance with: There are no IFRS standards prescribing the accounting treatment of financial guarantees received. In the absence of specific guidance, the accounting treatment applied must be determined by analogy with the accounting treatment prescribed
receivables”. These financing commitments are contingent liabilities and are recognized in accordance with IAS 37. On initial recognition, they are not entered in the balance sheet. A provision is recognized in liabilities if the cost of the commitment
certificates and cash security deposits (guarantee of irrevocable commitment) recognized as assets on the balance sheet and contributions (which are non-refundable in the event of a voluntary withdrawal of approval to operate) recorded in income guarantee fund was changed by a decree dated October 27, The procedure for setting up the deposit and resolution
well as counterparty and input risks. The fair values obtained from these methods may differ from the actual prices at which such transactions might be executed in the event of a sale on
The fair value of hybrid market instruments not traded on an active market is calculated using valuation techniques. Valuations produced using valuation models are adjusted, depending on the instruments in question and the associated risks, to take account of the bid and ask price for the net position, modeling risks, assumptions regarding the funding cost of future cash flows from uncollateralized or imperfectly collateralized derivatives, as
non-consolidated companies. The fair value of investments in unlisted non-consolidated companies is obtained principally by using valuation methods based on multiples or DCF (discounted cash flow). Use of these methods requires certain choices and financial assets primarily consist of investments in Unlisted equity instruments classified as available-for-sale
All goodwill is assigned to a CGU so that it may be tested for impairment. The tests conducted by Natixis consist in comparing on forecasts included in its business units’ medium-term plans spanning five years; estimating future cash flows. Natixis has based these estimatesa projecting cash flows for the last year of the plan to perpetuity,a at a rate reflecting the expected annual growth rate; discounting cash flows at a specific rate for each CGU.a under the amendment to IAS 39 and IFRS 7)
The fair value of loans not quoted on an active market is determined using the discounted cash flow method. The discount rate is based on an assessment of the rates used by the factors having an impact on credit spreads to be identified. Natixis also relies on expert judgement to refine this segmentation.
Employee benefits benefit obligations, these rates introduce uncertainty into the valuations.
Natixis calls on independent actuaries to calculate its principal employee benefits. These commitments are determined using assumptions such as the salary growth rate, discount rates and rates of return on plan assets (see Note 11.2.3). These discount
Insurance-related liabilities and estimates that may lead to adjustments in amounts reported over the subsequent period: Insurance technical reserves are calculated using assumptions for personal protection insurance, claims reserves area calculated by modeling claims experience; concerning surrenders; on economic and financial assumptions, mortality and morbidity tables, and behavioral statistics, for example for life insurance, underwriting reserves are computed baseda estimates of expected recoveries, are calculated by applying a terminal recovery rate to all subscription periods not yet settled.
aside for unknown claims, calculated on a statistical basis in reference to the final amount of claims to be paid following settlement of risks and any debt recovery measures. Provisions for debt recovery procedures, representing for credit insurance, claims reserves include an estimate ofa claims reported but not settled at the reporting date. In addition to the amount of claims payable, a provision is set
Other provisions and insurance policies, mainly concern provisions for litigation, restructuring, fines and penalties.
Provisions recognized in the consolidated balance sheet, other than those relating to financial instruments, employee benefits embodying economic benefits will be required to settle an obligation arising from a past event, and when the amount of the obligation can be reliably estimated. In order to calculate this amount, Management is required to assess the probability of the
A provision is raised when it is likely that an outflow of resources risk occurring. Future cash flows are discounted where the impact of discounting is material.
Diluted earnings/(loss) per share corresponds to net earnings/(loss) for the period attributable to the Group, divided by the weighted average number of shares, adjusted for the maximum impact resulting from the conversion of dilutive
Average number of ordinary shares issued and outstanding over the period 3,132,934,277 3,123,389,399
Average number of treasury shares issued and outstanding over the period 2,175,601 1,477,399
Number of potential dilutive shares resulting from stock option and bonus share plans (b) 3,539,546 1,272,861
This number of shares refers to the shares granted under the 2016 performance-related free share plan (PAGA), the 2016 Long Term Incentive Plan 2016 (LTIP) and the (b) 2012 and 2013 conditional share award plans (PACA).
Earnings/(loss) for 2015 factors in the change in own credit risk on financial liabilities through profit or loss, stated in Note 7.3 at the gross amount including taxes.(c)
changes in fair value attributable to own credit risk on financial liabilities at fair value through profit or loss, which are recognized as “Revaluation of own credit risk on financial liabilities at fair value through profit or loss” under other comprehensive income
At December 31, 2016, financial assets at fair value primarily comprised securities and derivative instruments.
Loans and receivables under the fair value option through profit or loss 6.1.1.1 and 6.1.1.2 7,254 5,523
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 2015 and 2016 fiscal years.
The use of the fair value option is considered to provide more pertinent information in two situations: where there is an accounting mismatch between economicallya linked assets and liabilities. This arises for example in the case of an asset and a hedging derivative when the criteria for hedge accounting are not met; asset and liability management.
Loans and receivables due from customers 5,461 1,643 269 3,549 4,424 141 530 3,753
At December 31, 2016, financial liabilities at fair value through profit or loss primarily comprised derivatives not used as hedging instruments.
Securities services 23,153 23,181 accounting (a) Derivative instruments not eligible for hedge
Financial liabilities designated under the fair value option through profit or loss and credit risk6.1.2.1
interest not yet due. The amount contractually due on securities represents their redemption value. The amount contractually due on loans at maturity represents the principal amount outstanding at the reporting date, plus any accrued
Financial liabilities under the fair value option for which related credit risk is recognized in “Other comprehensive income”.
Cumulative changes in the fair value of financial liabilities, designated at fair value through profit or loss,
Financial liabilities under the fair value option for which credit risk is recognized in net income.
The fair value recorded in respect of internal credit risk on issues at December 31, 2015 was reclassified at January 1, 2016 under “Revaluation of own credit risk on (b) financial liabilities at fair value through profit or loss” in opening shareholders’ equity, as Natixis had opted for the early application of the provisions of IFRS 9 related to under the fair value option through profit or loss Conditions for classification of financial liabilities 6.1.2.2
well as issues originated and structured for customers whose risks and hedges are managed collectively. These issues include significant embedded derivatives for which changes in value are
Liabilities valued using the fair value through profit or loss option consist mainly of long-term structured repos indexed to a basket of equities whose risks are managed globally and dynamically, as
Managed on a fair value Embedded derivatives Book value mismatch Accounting
Managed on a fair value basis Embedded derivatives this guarantee is incorporated into the fair value of the liabilities.
Some liabilities issued and recognized under the fair value option through profit or loss are covered by a guarantee. The effect of 6.1.3 Derivatives not eligible for hedge accounting which they are expected to be held.
Derivative financial instruments not eligible for hedge accounting are classified as held for trading, irrespective of the period over
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 TRS. The call option was (b) recognized on this line in assets for €553.6 million at December 31, 2016 versus €576.5 million at December 31, 2015.
Derivatives may only be designated as hedges if they meet the business as a structural hedge against interest rate risk. Cash flow hedging is mainly used by Natixis and the leasing fixed-income securities on an individual basis, as well as Fair value hedging is used to hedge changes in the fair value of
Currency derivatives 53 101 market, and do not reflect the market risks associated with such instruments. The notional amounts of derivative financial instruments are merely an indication of the volume of the Group’s business on the financial instruments and liabilities Offsetting financial assets 6.3
balance sheet meeting the criteria set out in IAS 32 as detailed in The table below presents the amounts offset on the Natixis enforceable right of set-off under a master netting arrangement Note 5.13 as well as the impacts linked to the existence of an or similar agreements that do not meet the criteria set out in
IAS 32 are met: agreements with clearing houses for which the criteria set out in The gross offset amounts reflect derivatives and repurchase and liability valuations of the derivatives; the effects of the currency offset between asset valuations for derivatives, the information is presented in consideration ofa as regards repurchase agreements, Natixis records on itsa repurchase agreements that: balance sheet the net value of repurchase and reverse are entered into with the same clearing house,j have the same maturity date,j involve the same custodian,j are made in the same currency.j bankruptcy of one or more counterparties. These amounts are be exercised except in the event of the default, insolvency or not offset on the balance sheet.
The impacts linked to the existence of an enforceable right of correspond to derivative amounts or outstanding repos covered set-off under master netting arrangements or similar agreements fair value.
Gross Net amount sheet assets of financial in the balance recognized of financial Gross amount recognized assets sheet* in the balance liabilities financial
Financial assets at fair value through profit or loss 116,535 24,130 92,405 125,409 28,039 97,370
sheet balance of financial Net amount recognized assets in the instruments Financial cash received in Guarantees exposure Net recognized balance in the sheet assets of financial Net amount
Gross assets financial offset amount of in the balance sheet of financial Net amount recognized liabilities in the balance recognized sheet*
Gross amount of financial liabilities offset or covered by a master netting or similar arrangement.*
Available-for-sale financial assets6.4 impairment. impairment, the amount of impairment and the net value after
In 2016, permanent impairment of variable-income securities stood at €58 million compared with €44 million in 2015. This expense involves insurance portfolios for (b)
expense is divided between an additional impairment on previously-impaired securities for €21 million, including €5 million related to the insurance portfolios (€29 million €40 million (€33 million for 2015), the impact of which is neutralized at 87% and 90.0% respectively for 2016 and 2015 given the profit-sharing mechanism. The 2016 and methods for €37 million mainly related to insurance portfolios (€15 million in 2015 mainly related to insurance portfolios). in 2015, including €17 million on insurance portfolios), newly-impaired provisions on securities tied to the application of analysis criteria as defined in accounting principles
The variation mainly corresponds to a cash deposit of €10.5 billion with CNP Assurances as part of the reinsurance treaty covering 10% of CNP’s savings outstandings. (a) This cash deposit is backed by technical reserves for an amount identical to the balance sheet assets representing obligations in respect of policyholders. (see Note 3.1).
fair value of customer loans and receivables is provided in Note 6.7.6.The
The fair value of held-to-maturity financial assets is provided in Note 6.7.6.
The table below shows, inter alia, the book value of: the underlying assets of the covered bond issues;a operations at any time. financial instruments (securities and receivables) deposited with central banks and assignable as collateral to guarantee refinancinga
Financial assets transferred6.7.2 that are fully derecognized, for which Natixis maintains transferred assets: transferred financial assets that are not, partially or wholly, derecognized, and transferred financial assets
The tables below show financial asset transfers according to the amendment to IFRS 7, which distinguishes two categories of continuing involvement.
flow from the financial asset but assumes a contractual obligation to pay those cash flows to one or more beneficiaries.
transfer, it retains contractual rights or obligations inherent in that asset or obtains or assumes new contractual rights or obligations
Financial assets transferred but not fully derecognized6.7.2.1 essentially composed of the following instruments: Transferred financial assets that are not derecognized are repurchased securities;a securities lending backed by cash remittals;a dry securities lending;a securitization for which the counterparties to the associateda debts have recourse only to the transferred assets.
they are the underlying assets of transactions that organize a transfer between Natixis and the assignee of ownership of the
sheet because virtually all the benefits and risks are maintained, since the securities must be returned to Natixis (unless Natixis
Financial assets at fair value through profit or loss 10,979 10,741 17,860 17,913
Financial assets at fair value through profit or loss 2,889 2,832
ONLY TO THE TRANSFERRED ASSETS SECURITIZATION FOR WHICH THE COUNTERPARTIES TO THE ASSOCIATED DEBTS HAVE RECOURSE R
(in millions of euros) 12.31.2015 transferred assets Book value of associated liabilities Book value of Fair value of transferred assets Fair value of associated liabilities Net position for which continuing involvement is maintained Fully derecognized transferred financial assets 6.7.2.2 attached to the transferred assets.
financial guarantee agreements with the right to reuse the assets in the absence of any default on the part of the owner of the
This heading covers financial assets received as security under may sell or reuse as security was €205 billion at December 31, 2016, versus €222 billion at December 31, 2015.
The fair value of financial assets received as security that were
Financial assets that are past due but not 6.7.4 impaired but not impaired at the reporting date. It does not take into account any portfolio impairment losses which may be assessed.
The table below provides, by type of financial instrument, a breakdown of the age of financial assets which were past due
For overdrafts, arrears are counted as of the date when the counterparty’s financial situation, are not included.
(assets) Hedging derivatives derivatives o/w interest rate assets Available-for-sale financial investments securities – Equity Available-for-sale securities Other available-for-sale securities o/w variable-income financial assets Other available-for-sale
Other financial assets held for trading 735 5 3 through profit or loss Financial assets under the fair value option option through profit or loss Fixed-income securities under the fair value value option through profit or loss Variable-income securities under the fair option through profit or loss Other financial assets under the fair value
(1) The main impacts counted in income statement are mentioned in note 7.3
Transactions carried out in the period Reclassifications in the period scope consolidation
Gains and losses On outstanding reporting date transactions at the at the reporting date expired or redeemed
On transactions loss - Trading Financial assets at fair value through profit or
Fixed-income securities held for trading 444 1 3 accounting (positive fair value) Derivative instruments not eligible for hedge o/w currency derivatives 8 1 o/w other 5
Other financial assets held for trading 376 through profit or loss Financial assets under the fair value option
Fixed-income securities under the fair value option through profit or loss 1 290 77 (1)
Assets and Liabilities instruments measured according to Level 3 – Sensitivity analysis of the fair value of financial
With the aid of probable assumptions, this sensitivity was used using unobservable inputs was estimated at December 31, 2016.
to estimate the impacts of market fluctuations in uncertain economic environments. This estimate was performed using: a standardized(1) variation in unobservable inputs related toa income, currency and equity instruments. The resulting assumptions of additional valuation adjustments for fixed sensitivity was €12.8 million; a flat variation of:a discounted cash flow expected on TruPS CDOs. +/-50 basis points applied to the margin used for thej i.e. a sensitivity impact representing a valuation increase of above-mentioned inputs) or a valuation decrease of €10.5 million (reflecting an improvement in the €10.1 million (reflecting a deterioration in said inputs) (2).
Securities held for trading 17 429 1 o/w fixed-income securities 17 56 1 o/w variable-income securities 373
Other financial assets held for trading or loss Financial assets under the fair value option through profit
Securities held for trading 386 901 6 29 o/w variable-income securities 302
Financial assets under the fair value option through profit or loss 50 22
Securities under the fair value option through profit or loss 30 o/w fixed-income securities 29 o/w variable-income securities 2
Loans and receivables due from banks 71,462 72,005 66,987 5,017 o/w unlisted fixed-income securities 1,251 1,251 1,251 0
Customer loans and receivables 107,189 108,496 51,032 57,463 o/w unlisted fixed-income securities 4,366 4,748 700 4,048
Total deferred tax recognized 1,223 1,890 o/w: deferred tax assets 1,908 2,316 deferred tax liabilities (685) (426)
Positive amounts represent sources of deferred tax giving rise to deferred tax assets, while negative amounts represent sources giving rise to deferred tax liabilities.(a)
Breakdown of deferred tax assets on losses by geographic area: (in millions of euros) 12.31.2016 12.31.2015
Property, plant and equipment, intangible assets, investment property6.10 6.10.1 Changes in property, plant and equipment and intangible assets over the period
- €119 million at December 31, 2015 and €113 million at December 31, 2016 for the Corporate & Investment Banking division; - €366 million at December 31, 2015 and €349 million at December 31, 2016 for the Investment Solutions division, of which €31 million for BPCE Assurances; - €194 million at December 31, 2015 and €214 million at December 31, 2016 for the Specialized Financial Services division; - €71 million at December 31, 2015 and €61 million at December 31, 2016 for Coface; - €8 million at December 31, 2015 and €6 million at December 31, 2016 for Other interests.
- At December 31, 2016, the amount of intangible assets reclassified as held-for-sale assets under IFRS 5 was €11 million.
Natixis Intertitres 6 6 and €72.4 million in goodwill recorded on the acquisition of PJSC, specialized in M&A and restructuring advisory services. Including €3.4 million in goodwill recorded on the acquisition of Natixis Capital Partners Spain (previously named 360 Corporate), which provides M&A advisory services, (a)
At December 31, 2016 an impairment charge was recorded on goodwill on Coface, in the amount of €75 million (see Note 2.5). The €281.9 million in goodwill recorded at (b) December 31, 2016 includes €116.5 million in group share, and €165.4 million for non-controlling interests.
value. This difference in treatment generated a deferred tax liability of €530.4 million as at December 31, 2016. Certain goodwill recorded on the United States gives rise to a tax amortization over 15 years due to the difference between the book value of the goodwill and its fiscal
Including €579.5 million for the goodwill recorded on the acquisition of DNCA Finance during 2015.(a)
value. This difference generated a deferred tax liability of €483.5 million at December 31, 2015 (see Note 15.5). Certain goodwill recorded on the United States gives rise to a tax amortization over 15 years due to the difference between the book value of the goodwill and its fiscal
Due to banks and customer deposits6.13 accordance with IAS 39 within other financial liabilities using the amortized cost method. Amounts due to banks and customer deposits are presented by type of deposit (demand or time deposits). They are measured in
The fair value of customer deposits is presented in Note 6.19.
Insurance companies' technical 6.15 reserves insurance companies record under liabilities technical reserves determined on the basis of statistical calculations.
Reserves for life-insurance policies are primarily composed of mathematical reserves corresponding to the surrender value of the contract.
not yet settled at the end of the reporting period. Accrued losses are topped up by a reserve for unknown losses calculated on a statistical basis.
The deferred profit-sharing reserve represents the portion of unrealized gains or losses on investments potentially attributable
Provisions for loans and receivables 2,320 588 (296) (302) 18 (144) 2,185 available-for-sale financial assets Impairment losses taken on
Of which €30 million in reversals not used following disposals of receivables made during the year (vs. €30 million at December 31, 2015).(b)
Impairment losses taken on available-for-sale financial assets 806 45 (303) 1 (10) 538
Of which €139 million in reversals used following disposals of receivables made during the year (vs. €180 million at December 31, 2014).(a)
Reversal Reversal (surplus provisions) Translation adjustments Changes in scope Other 12.31.2016
(b) Of which €5.5 million at December 31, 2016 in respect of the workforce adjustment plan completed in 2015.
Reversal (surplus provisions) Translation adjustments Other 12.31.2015 commitments Financing and guarantee
Of which €14.7 million at December 31, 2015 in respect of the workforce adjustment plan completed in 2015.(b)
Subordinated debt6.17 repayment of participating loans and securities and deeply subordinated securities. Subordinated debt is valued at amortized cost. Subordinated debt differs from advances and bonds issued in that it is repaid after all senior and unsecured creditors, but before the
Subordinated debt issue agreements do not incorporate a clause providing for early redemption in the event that the covenants are not observed.(a)
(in millions of euros) 12.31.2015 Issues (a) (b) Redemptions Translation adjustments Changes in scope (c) Other 12.31.2016
Issues concerned a loan of €300 million from BPCE to Natixis.(a)
- the repayment of a loan from BPCE for €480 million; - the repayment of a loan from BPCE for €476 million.
(in millions of euros) 12.31.2014 Issues (a) Redemptions (b) adjustments Translation Changes in scope Other (c) 12.31.2015
Issues concerned a loan of €1 billion from BPCE to Natixis.(a)
- redemption of subordinated notes for €77 million; - the repayment of a loan from BPCE for €25 million; - the repayment of a loan from BPCE for €10.5 million.
making with respect to Natixis’ debt on the secondary market. This involved the line of participating loans from November 1985 and the DSN issues from July 2003, Other changes mainly pertained to the revaluation of debts subject to hedging and variations in intra-group securities held by Natixis Funding for the purposes of market (c)
value the assets, as described in Note 5.6. The fair value of financial liabilities carried at fair value in the balance sheet is broken down according to the hierarchy of inputs used to
Securities issued for trading purposes 23,137 22,113 1,024 23,181 22,707 450 24
Securities under the fair value option through profit or loss 18,564 18,471 93 15,531 15,496 36 fair value option through profit or Other financial liabilities under the
Derivative instruments not eligible for hedge accounting (negative fair value) 1 536 (14) (408)
option through profit or loss Other financial liabilities under the fair value
On transactions or loss - Trading Financial liabilities at fair value through profit
Derivative instruments not eligible for hedge accounting (negative fair value) 2 244 430 (574)
(negative fair value) Derivative instruments not eligible for hedge accounting o/w interest rate derivatives 1 11 o/w currency derivatives o/w credit derivatives 53 3 o/w equity derivatives 0 28
Other financial liabilities held for trading through profit or loss Financial liabilities under the fair value option
The transfer amounts are as determined in the last valuation prior to the change in level of the fair value hierarchy.
Other financial liabilities at fair value through profit or loss 19 13 4 7 13 25 81 o/w senior debt o/w senior debt
“Interest and similar income” and “Interest and similar recognized as available-for-sale financial assets, and interest on expenses” comprise interest on fixed-income securities loans and receivables to and from banks and customers.
to the recognition of interest calculated using the effective from a financial asset debt instrument is negative and is Negative interest is deducted from interest income when income financial liability debt instrument is positive. deducted from interest expenses when when income from a
Income Expenses Net Income Expenses Net receivables (including restructured items) Interest accrued on impaired loans and
Income Expenses Net Income Expenses Net derivative commitments (a) Financing, guarantee, securities and
The premium, which amounted to €7.4 million at December 31, 2016 versus €84.6 million at December 31, 2015, paid to BPCE in (a)
The expense in respect of the premium was €75 million at December 31, 2016 (€10 million in 2015) and was recognized under recognized under “Guarantee commissions” (€1 million in 2015). “Provision for credit losses” (€9 million in 2015), without a material impact on net revenues, versus €1 million in 2015
Gains and losses on financial instruments at fair value through profit or loss7.3 designated at fair value through profit or loss, including interest. This item includes gains and losses on financial assets and liabilities at fair value through profit or loss, whether held for trading or
Net gains/(losses) on financial assets and liabilities held for trading (b) 1,983 1,721 o/w derivatives not eligible for hedge accounting 1,791 (428)
through profit or loss (d) Net gains/(losses) on other financial assets and liabilities under the fair value option
fair value through profit or loss should be considered as a whole. The results presented above do not include the refinancing cost of these financial instruments, which is Insofar as the expenses and income presented in the income statement are classified by type and not by function, the net income of activities on financial instruments at (a)
impairments to €72.9 million at December 31, 2016 versus €106 million at December 31, 2015, during 2016, versus income of €1.8 million at December 31, 2015 (excluding the currency impact and the impact of the BPCE guarantee), bringing cumulative bringing the cumulative balance to €0.6 million. - A €3.8 million reversal at December 31, 2016 of the portfolio-based provision recorded on exposures in respect of CDPCs (Credit Derivatives Product Companies),
Furthermore, credit risk adjustments related to the valuation of counterparty risk (credit valuation adjustments or CVAs) on financial assets amounted to -€20.6 million at -€4.9 million at December 31, 2015.
December 31, 2016 versus an expense of -€1.6 million at December 31, 2015, €67.6 million at December 31, 2016 versus -€64.2 million at December 31, 2015.
O/w +€47.1 million corresponding to the recycling of foreign exchange gains and losses arising on the reimbursement by certain entities of capital in foreign currencies or (c)
profit or loss with a positive €138.2 million impact on income. This impact is now recognized under “Other comprehensive income” pursuant to IFRS 9. At December 31, 2015, net gains and losses include the valuation of the issuer spread on issues carried out by Natixis and designated under the fair value option through (d)
available-for-sale financial assets Net gains or losses on 7.4 principally comprise: Net gains or losses on available-for-sale financial assets and financial assets recognized at their amortized cost; gains or losses on sales of available-for-sale financial assetsa variable-income securities, charged to “Available-for-sale permanent losses in value and dividends payable ona financial assets”; available-for-sale is charged to “Provision for credit losses”. The impairment of fixed-income securities classified asa
Sub-total Real Estate Activities 290 (237) 52 357 (283) 74 companies’ technical reserves Net charge to/reversal of insurance
Other related income and expenses 7.5.3 521 (355) 166 433 (399) 34 policies amounted to €11.9 billion at December 31, 2016 (see Note 3.1). The share in insurance income and expenses relating to the partnership with CNP Assurances regarding receivables arising on reinsurance activities linked to reinsured (a)
Of which +€72.9 million at December 31, 2016 versus -€80 million at December 31, 2015 resulting from the purchase and resale activity of commodity stocks on behalf (a)
Including a contribution of €114.5 million to the Single Resolution Fund (SRF) at December 31, 2016, versus -€44 million at December 31, 2015;(d)
Including the tax of €29.1 million on systemic banking risks (SBT) at December 31, 2016 versus -€31 million at December 31, 2015.
Provision for credit losses7.7 transactions: net provisions for reversals of individual and This line item mainly reflects net risk recorded on lending period and recoveries on bad debts written off. collective provisions, loans and receivables written off during the default risks associated with counterparties of OTC instruments. It also includes any impairments recorded in respect of proven against securities classified as “Loans and receivables” and “Impairment of individual loans” includes impairment recognized financial assets.
Net Charges reversals Net not Write-offs covered provisions by of bad Recoveries written off debts
o/w impairment provisions Reversals of surplus impairment provisions Reversals of utilized
Net capital gains/(losses) on disposals 48 127 175 (29) (1) (31)
Disposal mainly relate to, in the Investment Solutions division, Capital Growth Management for +€17.5 million, Reich and Tang for €4.8 million, Snyder for +€8.3 million, (a) as well as Kobrick for -€0.6 million and in terms of Corporate Data Solutions, the disposals of HCP NA LLC and Altus for +€10.9 million and Graydon for +€6.9 million.
tax impact was recorded at December 31, 2015. Including a -€29.6 million impairment charge on Kompass International, a consolidated subsidiary treated under IFRS 5 at June 30, 2015, which was sold in July 2015. No (c)
Reconciliation of the tax expense in the financial statements and the theoretical tax 7.9 expense
Of which: -€158 million for the derecognition of the previous tax loss on the tax consolidation group in France mainly related to the decrease in the corporate tax rate as of (b) 2020 (derecognition of -€51 million at December 31, 2015).
tax audits (see below). In 2016, including income relating to Natixis’ claim on the taxation in previous fiscal years of dividends and capital gains on the disposal of CCIs as well as the impact of (c)
Of which: -€21 million of dividend taxes (-€31 million at December 31, 2015) and tax savings of +€5 million resulting from the offset of previously unrecognized tax losses (d) against 2016 profits (€14 million at December 31, 2015).
Natixis S.A. was subject to an audit covering the 2008 to 2013 intends to contest the majority of the proposed adjustments and has recorded a provision for the estimated risk.
fiscal years. Following this audit, Natixis S.A. received a reassessment notice dated December 19, 2016. Natixis S.A.
The audit which initially covered the 2010 and 2011 fiscal years
The EuropeanCourt of Justice has ruled the application of aa share of costs and expenses, fixed at 5% of dividends received of establishment principle (EJC 2-9-2015, Case C-386/14, Groupe Steria SCA). Natixis thus received a reimbursement of
(Natixis Ruling n° 2016-553 QPC). The French Council of State then canceled the doctrine of administrative law (CE Natixis carrying voting rights. This condition was ruled unconstitutional by the ruling of July 8, 2016 of the French Constitutional Court form of cooperative investment certificates (CCIs). This entire stake was bought back in August 2013. All dividends paid on arrears.
Natixis is the parent company and which receive fees from financial leases on aerospace assets the right to increase the
Change in gains and losses recorded directly in other comprehensive income8.1
Revaluation of own credit risk on financial liabilities at fair value through profit or loss (156)
Revaluation of available-for-sale financial assets 273 (89) 183 (120) (125) (245)
Revaluation of own credit risk on financial liabilities at fair value through profit or loss (156) 54 (103)
Shares in unrealized or deferred gains/(losses) of associates 4 (1) 3 (4) 2 (2)
Private Equity in 2010; Lease Financing, Consumer Credit, Guarantees, Film Industry Finance, Employee Benefits Planning, and Payment and
Securities Services. These services are the key growth drivers for the retail banking business of Groupe BPCE.
Coface, Corporate Data Solutions, Private Equity businesses synergies with Natixis’ other businesses. The Ho Chi Minh branch was sold to BPCE International in October 2015.
Based on this new organization, Management monitors divisional performance, draws up business plans and manages the
Corporate & Investment Banking advises businesses, its widely recognized, award-winning research capabilities, Natixis designs tailored solutions for its customers incorporating
Building on the technical expertise of its teams, combined with the most recent market developments.
Equity Capital Markets, Strategic Equity Transactions and Corporate Loan Structuring. It also includes Bond origination; dialog with customers and incorporates the business lines “Acquisition & Strategic Finance”, Capital & Rating Advisory,
Global Finance which combines all the players in thea “Originate to Distribute” chain: Loan origination,j
“Global structured Credit and Solutions” businesses remains part of the Global Markets business line and those of Trade
Factoring: provides companies with credit managementa networks, which account for a significant portion of its business; solutions such as financing, insurance, and collection. Natixis Factor uses the Banque Populaire and Caisse d’Epargne network, along with legal guarantees and financial guarantees; granted to retail and business customers by the Caisse d’Epargne Network, and more recently the Banque Populaire
Consumer finance: this Natixis business line includes a broada out-of-court collection, etc.) and administrative management services for personal loans. These activities are operated by range of activities across the entire value chain for revolving loans (marketing, origination, administrative management,
Natixis Financement, which manages revolving loans granted by the Groupe BPCE networks, and manages personal loans granted by the Caisses d’Epargne and by the Banque Populaire banks; estate and non-real estate assets under finance leases or other long-term leasing arrangements; Leasing: this business line provides financing solutions for reala products based on employee savings (administration of employee accounts, fund administration and accounting) and
Employee Benefits Planning: this business line offers aa comprehensive range of B2B employee benefits planning securities services;
Film Industry Financing: this business line is operated viaa and audiovisual activities in France and Europe. Coficiné, a subsidiary specializing in structured loans for film
Together, these specialized asset management companies enable the Group to provide a full range of expertise meeting business franchises developed over the long term by the Asset Management companies, mainly with various client groups.
customer segments is optimized by the organization of distribution around the NGAM Distribution platform and the
Banque Populaire banks, and to a lesser extent from that of
Natixis Global Asset Management and a sponsoring vehicle generally unlisted, small and medium-sized enterprises in France and Europe via sponsored equity holdings. This was set up to monitor Natixis’ commitments in the funds. The teams have extensive expertise in equity financing for mature companies), venture capital (new, innovative companies) and funds of funds.
business line covers the Private Equity segments for third party investors, such as Private Equity deals (top-line funding for
marketing), receivables management (from issuance through to collection), and management of public procedures on behalf of
Other Financial investments notably include: the Private Equity business (non-core activities), coveringa
(divided into several small teams of investors) has been gradually divested, with the most recent divestment carried expertise in equity financing for generally unlisted, small and medium-sized enterprises outside France via equity holdings; corporate Data Solutions: Coface’s non-core activities (servicea activities mainly) were grouped under Corporate Data Solutions at the beginning of 2013. At the end of December 2016, the main entity is Ellisphère; Natixis’ subsidiary in Algeria.a
Corporate Center9.6 income from Natixis’ asset and liability management. It also debt.
Variation between December 31, 2016 and December 31, 2015 (pro forma figures).(a)
Corporate Center (17) for FICT and €534 million for Equities. Including €1,753 million excluding the net revenues of the XVA desks, which breaks down into €1,219 million in net revenues (a)
This information is determined based on the accounting principles applied in accordance with IFRS as adopted by the European Union at December 31, 2015.
This information is presented according to the analytical structure of businesses adopted by Natixis at December 31, 2016.
Other activities Total at December 31, 2015. This information is determined based on the accounting principles applied in accordance with IFRS as adopted by the European Union
Loans and receivables due from banks 47,109 1,329 1,596 479 386 20,564 71,462
Loans and receivables due from banks 47,109 1,329 1,596 479 0 20,864 71,462
Held-to-maturity financial assets 0 2,295 0 4 0 0 2,298 profit or loss Financial liabilities at fair value through
(in millions of euros) France Other EU North America Other OECD Other Total share) Net income for the period (group
Gross exposure to credit risk10.2.1 OTC financial instruments, the impact of netting agreements and account guarantees, sureties, credit default swaps, collateral on other credit enhancements. It corresponds to the net value of financial assets to credit risk. This exposure does not take into The following table sets out the exposure of all of Natixis’
impairments into account (individually or collectively assessed). the financial assets on the balance sheet, after taking all
(-) Additions (+) Reversals Translation adjustments Provisions as at risk Market risk, overall interest rate risk, liquidity risk and structural foreign exchange 10.3
Compensation and employee benefits11.2 such as long-service awards and benefits related to capital increases reserved for employees.
Payroll costs totaled €3,726 million at December 31, 2016 versus €3,609 million at December 31, 2015.
This item includes wages and salaries paid within twelve months services giving rise to such benefits.
Every year since 2010, Natixis has granted share-based payment plans to certain categories of staff. The accounting treatment of these plans is described in Note 5.17.
reporting date. These inputs relate to the share value and dividend assumptions.
Regarding the plan approved by the Board of Directors on February 9, 2017, as these allocations had not yet formally been
Following changes to the terms and conditions of the 2015 employee retention and performance plan indexed to the value of the
The corresponding expense associated with the short-term plan, estimated based on the probability of the presence condition being met, is fully recognized in the 2016 financial statements in the amount of €38 million.
(in millions of euros) (in millions of euros) Expense for 2015
Pension plans for which employees can voluntarily opt are operated by certain Natixis entities and are also classified as
For the other portion, Natixis has set up interest rate and liquidity hedges backed by long-term cash flows.
twelve months of the end of the period in which employees have post-employment and termination benefits not wholly due within Other long-term employee benefits comprise benefits other than
These notably include long-service awards and deferred end of the period.
compensation payable in cash twelve months or more after the a) Amounts recognized on the balance sheet at December 31, 2016 under the defined benefit plans, less the market value of the assets to hedge these benefit liabilities. The amount of the recognized provision on the liabilities side of the balance sheet corresponds to the value of the actuarial liabilities 31/12/2016 31/12/2015 defined-benefit plans Post-employment employee benefits Other long-term
defined-benefit plans Post-employment employee benefits Other long-term Post-employment defined-benefit plans employee benefits Other long-term
318 REGISTRATION DOCUMENT 2016 - Natixis c) Changes in recognized amounts on the balance sheet (Change in hedging assets)
Total benefits and other Supplementary pension awards End-of-career of period Fair value of assets at start respect of plan liquidation o/w amounts paid out in non-recyclable equity Changes recognized directly in on assets Revaluation adjustments - Return
Fair value of assets at end of period 167 38 205 0 39 39 d) Composition of plan assets
Total revaluation adjustments at start of period 207 5 211 273 28 301
Revaluation adjustments over the period 60 20 80 (67) (23) (90)
Total revaluation adjustments at start of period 63 0 63 84 0 84 o/w effect of ceiling on assets (13) 0 (13) 0 0 0
o/w effect of ceiling on plan assets 7 0 7 (13) 0 (13)
For end-of-career awards and long-service awards, employee turnover is calculated by age bracket and grade based on a three-year average. A rate of 0% is used for employees aged 60 and over.
+ 1% change in rate of increase in healthcare costs 6,12%
+ 1% change in rate of increase in salaries and income (incl. inflation) 14,00% 12,63% 9,30%
- 1% change in rate of increase in salaries and income (incl. inflation) (9.28)% (10.86)% (8.20)%
+ 1% change in rate of increase in salaries and income (incl. inflation) 15,49% 12,29% 9,04%
- 1% change in rate of increase in salaries and income (incl. inflation) (12.96)% (10.57)% (7.98)%
Total subscribed amount (in millions of euros) €23.6 m €40.2 m €2.1 m €45 m €26 m
Market participant’s borrowing rate (five years) 6,72% 5,47% 5,47% 4,45% 3,93%
Ordinary shares Number of shares Par value Capital in euros 1,458,006 in treasury shares at December 31, 2016, and 2,257,822 shares at December 31, 2015.*
recognized as equity instruments issued in accordance with a clause concerning dividend payments which has become discretionary, and have been booked to “Consolidated reserves” in the consolidated balance sheet.
Since December 31, 2009, issues of undated deeply subordinated securities and preference shares have been
Issues after June 30, 2009 were always classified as equity given the discretionary nature of their interest.
Note that the gross amount of exchange rate fluctuations in deeply subordinated notes in foreign currencies recorded in income at December 31, 2016 amounted to +€9.4 million, or +€6.1 million after tax, compared with €32 million at December 31, 2015, or €21 million after tax.
The main features of undated deeply subordinated securities are outlined in the Chapter 14 of “Risk and Pillar III report 2016”.
Pursuant to this contract, Natixis holds 1,121,885 shares representing €6.2 million as at December 31, 2016.
The exercise of these rights is subject to the occurrence of an uncertain future event.
The amounts shown represent the nominal value of the commitment undertaken: (in millions of euros) 12.31.2016 12.31.2015
IAS 37 as: A financing commitment given is a contingent liability, defined by will be confirmed only by the occurrence or non-occurrence of a potential obligation arising from past events whose existencea control of the entity; one or more uncertain future events not wholly within the or recognized because: a present obligation arising as a result of past events but nota required to settle the obligation, it is not likely that an outflow of economic benefits will bea or the amount of the obligation cannot be measured witha sufficient reliability.
Less than 1 year 197 1 year to 5 years 721
Assets at fair value through profit or loss 14,407 3,416 5,817 11,778 3,678 7,231
Loans and receivables due from banks 38,281 573 137 50,770 502 78
at fair value through profit or loss Net gains or losses on financial instruments financial assets Net gains or losses on available-for-sale
Income and expenses from other activities (20) 9 (11) (40) 7 (12)
The table below shows the compensation paid in the fiscal year.
(see resolution Six). In its session on February 19, 2014, Natixis’ the Combined General Shareholders’ Meeting of May 26, 2011 severance payment to the Chief Executive Officer, in order to Board of Directors reviewed the commitment related to the compensation paid for the last calendar year of activity and the define the Monthly Reference Compensation (1/12th the fixed of Chief Executive Officer, the Board of Directors, on the advice With regard to calculation of severance payments for the duties of the Compensation Committee, authorized during the meeting changes his position within Groupe BPCE, or if he leaves office leaves the Company at his initiative to perform new duties or accordance with the provisions of the AFEP-Medef code of due to serious misconduct or negligence. Furthermore, in certain number of criteria and performance conditions corporate governance, the right to compensation is subject to a
Members of the Board of Directors do not benefit from severance payments in relation to their function with Natixis.
Furthermore, the Board of Directors Meeting of February 19, 2014 authorized the potential implementation of a non-compete
This non-compete clause is limited to a period of six months and compensation, as in force at the date on which the CEO leaves is associated with an indemnity equal to six months of fixed office.
compensation. The Board of Directors will have to decide not exceed a ceiling of twenty-four months of monthly reference clause at the time the CEO leaves office. whether or not to apply the provisions of the non-compete
Tranche A corresponds to the fraction of annual compensation between €0 and €38,616(1) Tranche B corresponds to the fraction of annual compensation between €38,616 and €154,464
Européenne de Garanties et de Cautions). property and casualty insurance) and CEGC (Compagnie companies’ financial statements as presented and how they The following table shows a reconciliation between insurance consolidated contribution by insurance companies in banking would translate into the banking format. It also shows the format.
As regards net revenues, in the interest of consistency, income and expenses (principally interest and fees and insurance income and expenses that are similar to banking in the banking format. Technical reserves and claims expenses commissions) are reclassified under the corresponding line items for credit losses.
Revenues and income from other activities 234 234 234 234 write-downs and amortization) of investments (net of reversals, Capital gains and losses on disposal carried at fair value through profit or loss Change in fair value of investments
Income and expenses net of reinsurance transfers (40) (40) (40) (40)
Other recurring operating income and expenses (299) (68) (230) (299) (0) (299)
Other recurring operating income and expenses (283) (58) (223) (281) (1) (1) (283)
Share in income of associates 13 13 13 activities After-tax income from discontinued
Accounting change in the recognition 15.4 of tax amortization of goodwill under deferred taxes recognized on the 2000 acquisition of sub-group Nvest by Ixis Asset Management was reviewed over the period.
this difference could only be reversed in the event NGAM sold its shares in the US holding company or in the event of the partial disposal of shares in affiliates, in the form of an equity deal carried out from France, with the resulting capital gains
liability should be recorded both on the temporary difference relating to the asset (in this case goodwill) in the subsidiary, on an inside basis, and the temporary difference relating to the consolidated shares (outside basis), arising from the difference that, starting with paragraph 51 of IAS 12 which takes into account the method for recovering or settling assets (in our case, up to now, the disposal of shares from France), a deferred tax
The mandate of Deloitte & Associés was renewed by the shareholders at the General Shareholders’ Meeting of May 2016, years ending as of the General Shareholders’ Meeting called to approve the 2018 financial statements.
PriceWaterhouseCoopers Audit was appointed in replacement of KPMG by the shareholders at the General Shareholders’ Meeting of May 2016, for a term of six years ending as of the General Shareholders’ Meeting called to approve the 2021 financial statements.
Deloitte & Associés – 185, avenue Charles-de-Gaulle – 92524a Neuilly-sur-Seine Cedex represented by signatory partners Charlotte Vandeputte and Jean-Marc Mickeler; La Défense Cedex, represented by signatory partners Charles De Boisriou and Emmanuel Dooseman; Mazars – Immeuble Exaltis 61, rue Henri-Régnault – 92075a
PriceWaterhouseCoopers Audit – 63 rue de Villiers 92208a des Commissaires aux Comptes of Versailles” and under the supervision of the “Haut Conseil du Commissariat aux Comptes”.
Deloitte & Associés, Mazars and PriceWaterhouseCoopers are registered as Statutory Auditors with the “Compagnie Régionale following amounts in return for their duties: The Statutory Auditors and them networks were paid the of euros) (in thousands
Services other than the certification of accounts mainly include continuing preparation for the launch of the Insurance division’s respectively conducted by PWC (projects Onboarding) at Natixis
Paris, and work related to the FRTB project at Natixis Paris for €
product line in the Caisses d’Epargne from 2016 via a program entitled Assurément#2016 at BPCE Vie at a cost of €2,5 million conducted by Deloitte Conseil, work on the Onboarding and Volker projects for €390 thousand and €430 thousand 779 thousand invoiced by Mazars.
In addition, the fees paid to KPMG stand at €2,3 million for audit services and €1,4 million for other services.
The Deputy Auditors are: (92200) Neuilly-sur-Seine for Deloitte; Mireille Berthelot, from BEAS, avenue Charles de Gaullea
EUROPE) COFACE UK - BRANCH (COFACE Credit insurance and related services
(COFACE EUROPE) COFACE HONG KONG -BRANCH Credit insurance and related services
(COFACE EUROPE) COFACE IRELAND - BRANCH Credit insurance and related services
Income tax corresponds to the tax payable and deferred tax excluding taxes other than on income classified in operating income.
Partners Spain (2) Natixis Capital M&A advisory services FC 75 75 Spain
AEW Europe Italian Branch Retail FC 60 60 100 60 Italy
LEASE NATIXIS CAR Long-term vehicle leasing FC 100 100 100 100 France
HCP NA LLC (formerly COFACE COLLECTION NORTH AMERICA HOLDING LLC) (5) and data
Deconsolidation in the first quarter of 2016 as the percentage interest fell below eligible levels.(6)
Consolidation in the second quarter of 2016 after thresholds were exceeded.(9)
Change in ownership interest due to the acquisition on June 13, 2016 of interests held by a manager who left the structure.(11)
Change in ownership interest due to acquisitions in 2016 of interests held by company managers. These transactions increased the interest in (12) DNCA’s entities.
Change in ownership interest following the acquisition on an additional 10% of equity in accordance with the initial protocol signed upon (15) acquisition of the entity.
Consolidation during the third quarter of 2016 after taking possession of the asset.(18)
Consolidation in the fourth quarter of 2016 after thresholds were exceeded.(22)
To the Shareholders, year ended December 31, 2016, on: General Shareholders’ Meeting, we hereby report to you, for the In compliance with the assignment entrusted to us by your statements, as appended to this report; the audit of the Natixis group’s consolidated financiala the justification of our assessments;a the specific verifications required by law.a the Board of Directors. Our role is to express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the professional standards applicable in France; those standards require that we ended in accordance with International Financial Reporting Standards as adopted by the European Union.
consolidated financial statements which outline the impact of the early application, as of the fiscal year ended December 31, 2016, of certain provisions of IFRS 9 “Financial Instruments”, in line with the option provided by the standard, relating to the
Insurance-related liabilities relating to insurance policies (Notes 2.8, 5.23, 6.15, 7.5 and 15.3 to the consolidated financial statements). We reviewed the methodology used to measure these insurance policies, as well as the main assumptions and parameters used.
Measurement of goodwill methodology used to perform this work as well as the main assumptions and parameters.
The Group has recognized deferred tax assets in respect of tax loss carry-forwards (Notes 5.20, 5.23 and 6.8 to the consolidated financial statements). We examined the main estimates and assumptions on which the recognition of deferred tax assets
The Group records provisions to cover employee benefit obligations (Notes 5.15, 5.23, 6.16.1 and 11.2.3 to the consolidated financial statements). We reviewed the methodology used to measure these commitments, as well as the main assumptions and parameters used.
examined the methodology used by management to identify and assess these risks, as well as to measure the amount of
As required by law, we also specifically verified the information presented in the Group’s Management report, in accordance
See note No. Off-balance sheet items – Commitments received 2016 2015
Equity excluding fund for general banking risks 16,356 15,811 19 Regulated provisions and investment subsidies 0 9
Gross operating income 1,604 1,239 30 Provision for credit losses (261) (165)
ACCOUNTING PRINCIPLES AND VALUATION METHODSNOTE 1: General Accounting Plan (PCG - Plan comptable général). regulation No. 2014-03 dated June 5, 2014 relating to the French financial statements of companies in the banking sector and standards setter) dated November 26, 2014 relating to the
Autorité des Normes Comptables (ANC- French accounting are presented in accordance with regulation No. 2014-07 of the with the principle of prudence based on the following principles: The financial statements for the fiscal year are presented in accepted accounting principles have been applied in compliance identical format to those for the previous fiscal year. Generally going concern;a consistency of accounting methods;a principle of periodicity.a
item on the income statement. Accrued interest is credited to the corresponding receivables relevant loan book.
Fees and transaction costs to be recognized are included in the Recognition is shown as net interest income in net revenues.
considered to be non-performing. This corresponds to loans for any guarantees, that makes it probable that Natixis will be unable Loans for which there is an identified credit risk, regardless of under the terms and conditions of the loan agreement, are to recover all or part of the amount owed by the counterparty
become regular again, the loan in question can be reclassified as When the initial payments of a loan turned non-performing write-off is planned are deemed to be irrecoverable. non-performing loans for more than one year for which a Loans accelerated by the lender and loans classified among statement.
concession granted by Natixis and financial difficulties the use of amendments that modify the terms of an existing principal payment, extension of term, etc.) and are confirmed by contract or by the full or partial refinancing of an existing loan.
in a more favorable situation (e.g. suspension of interest or The modified terms of restructured loans must put the borrower downgraded into the Basel default category.
determined according to the contractual terms for variable-rate fixed-rate receivables or at the last effective interest rate receivables.
Impairment losses are calculated as the difference between the in question.
problems may arise are included in the base for performing loans removed from the collective write-down calculation base.
specific to each sector (sector growth, cash held by businesses Provisions for sector risk are based on combinations of indexes calculating the impairment loss is the “expected loss” method in the sector, cost of commodities, etc.). The method for already subject to specific write-downs.