Central governments or central banks 8,503 2,027 162 5,262 1,899 152 immovable property Exposures secured by mortgages on
Exposures to institutions and corporates with a short-term credit assessment 2,315 124 10 1,855 151 12
Central governments or central banks 4,069 195 16 3,473 22 2
Central governments or central banks 2,150 134 11 1,518 86 7
Exposures to institutions and corporates with a short-term credit assessment 162 41 3 132 23 2
Category of exposure 12.31.2016 o/w off-balance sheet 12.31.2016 o/w offbalance sheet 2016 average
Collective investment undertaking 282 282 125 immovable property Exposures secured by mortgages on
Other than SMEs 2,565 2,565 immovable property Exposures secured by mortgages on corporates with a short-term credit Exposures to institutions and
(external) rating. securitization transactions, namely the amount, maturity and securitization transactions. Three criteria are considered for Natixis’ credit decision-making process is followed for all submitted, along with an analysis of the associated guarantees. collateral, seller/originator and the planned tranching must be substantiated request and a description of the arrangement, For every structured arrangement subject to approval, a current risk policy.
margin on the loan, the capital burn and compliance with the the loan application’s parameters, including the expected profit Transactions are examined and decisions are made based on all necessary, a quantitative analysis of the portfolio’s default risks. A counter-analysis is then carried out by the Risk Division and, if on the watchlist are re-examined at least once a quarter. transactions are reviewed at least once a year, while transactions Like vanilla finance transactions, securitization structures and through two mechanisms: Natixis manages the risks associated with securitization positions as well as the associated potential risks and, if necessary, downgrades affecting Groupe BPCE’s securitization positions the first involves the daily identification of all ratinga deciding on an appropriate course of action.
the second is underpinned by a quantitative (ratings,a levels. for the purpose of segmenting the portfolio on the basis of risk valuations) and qualitative analysis of securitization positions
These agencies cover all types of exposures. transactions: Moody’s, DBRS, Fitch IBCA and Standard & Poor’s. Natixis relies on four external rating agencies for its securitization
Bleachers/Mountcliff. For both vehicles, Natixis plays a regulatory consolidation scope: Versailles and Magenta. Of these vehicles, only two are consolidated in Natixis’ through three vehicles, namely Versailles, Bleachers and Natixis acts as sponsor in ABCP-type securitization transactions
Natixis is not part of the governing body holding the power to influence over the amount of their returns. In contrast, given that thus giving it power over the conduits’ relevant activities and receivables as well as the management of the issuance program, predominant role in the selection and management of acquired consolidated in Natixis’ regulatory consolidation scope. decide on Magenta’s relevant activities, this conduit is not
IFRS 7) (Data certified by the Statutory Auditors in accordance with envelopes, business line targets and market trends and relies on a approach is mainly based on the strategic review of global risk based on both a qualitative and forward-looking analysis. This formal definition of all risk policies governing market transactions The Risk Management function places great importance on the proactive early warning system for the most sensitive areas at risk.
are consistent with market developments and changes in best product valuation models and regularly ensures that models used
IFRS 7) (Data certified by the Statutory Auditors in accordance with model that measures the risks incurred by each Group entity. Natixis’ market risk management is based on a risk metrics
Different techniques are used to measure market risk: Value at Risk (VaR)3.6.3.1
portfolio’s possible non-linear characteristics with respect to based on Monte Carlo-type methodology taking into account a The model is based on a calculation by computer simulation, correlations) is updated weekly.
VaR is calculated and monitored daily for all the Natixis trading and the related volatility) are updated on a daily basis when prices, indices, interest rates, exchange rates, commodity rates portfolios. Market data used in the valuation of portfolios (share business.
policies in force. A VaR limit is set at an overall level and for each and supervision systems, in accordance with the market risk All the trading portfolios are subject to adequate risk monitoring
These measurements give a snapshot of VaR and help identify confidence level (99%) and time period (1 day).
149REGISTRATION DOCUMENT 2016 - Natixis results and sensitivities (use of the same risk factors). The aim is to ensure consistency between VaR calculations, objective tools are used to measure the relevance of risk factors. Department, front office and P&L division). Quantitative, Committee Meetings attended by all parties concerned (Risk All decisions regarding risks factors are revised annually in futures.
metals prices and indices, commodity indices and commodity to this rule are exchange rates, share prices and indices, precious factors are absolute yields for most risk factors. The exceptions Yields used by Natixis to simulate potential changes in risk
ex-post comparison of the potential losses, as projected ex-ante process also known as backtesting. This exercise allows an comparison with the changes in the daily trading results, a
Stressed VaR (SVaR)3.6.3.2 260 daily fluctuation scenarios on a rolling one-year period, confidence level of 99%. However, unlike VaR, which uses based on an historical simulation for a one-day horizon and a a period of significant financial tension.
stressed VaR uses a one-year historical window corresponding to crisis scenario relevant to its portfolio. The calculation method is bank’s current VaR model would generate under a representative continuous 12-month period that defines the charge that the calculated based on a fixed econometric model over a implemented a daily stressed VaR model (SVaR), which is As part of changing regulatory standards (Basel 2.5), Natixis most conservative for calculating stressed VaR.
risk after eliminating the 0.1% of the worst outcomes over a the IRC is a 99.9% value at risk which corresponds to the largest risk. Calculated using a Monte Carlo internal simulation model, issuers for approved products in terms of specific interest rate to cover rating migration risk and the default within one year of
one year. Positions are revalued based on various scenarios. correlation model and migration matrices over a capital horizon of Rating and default migrations are simulated using an issuer
IRC calculation model is one year for all positions and all issuers. position or hedge it in unfavorable market conditions, used in the The liquidity horizon, which represents the time required to sell a not rated by S&P, restatements are performed internally. sovereigns, the historical depth exceeds 20 years. For issuers Poor's historical transition data. For both corporates and The calibration of the transition matrix is based on Standard and parameters.
to determine its capital requirement since December 31, 2011: The regulator has authorized Natixis to use these new indicators dedicated stress tests for each business. two categories of stress tests: overall stress tests and extreme market conditions. Natixis’ mechanism is based on stress tests to measure potential losses on portfolios in1.
They are performed daily and can be grouped into two Overall stress tests are reviewed on a continuous basis.
categories: known scenarios; make it possible to gauge the exposure of the portfolio to While stress tests do not have any predictive value, they do create an ex-post simulation of the P&L changes recorded. in market parameters observed during past crises in order to historic stress tests consist of reproducing sets of changesj assumptions regarding one market’s predicted response market parameters for all the activities, based on plausible hypothetical stress tests are used to simulate changes inj involving the Risk Department, the front office and Natixis initial stress. Stresses are determined through a joint effort compared with another’s, depending on the nature of the economists; portfolio.
identify circumstances that may trigger this loss and adapt Natixis to implement a new risk monitoring and steering tool, factors leading to the breach of a loss threshold, and allows extremely adverse assumptions on the fulfillment of risk This mechanism is based on plausible scenarios drawn from which is responsible for defining principles, methodology and All stress test mechanisms are defined by the Risk Division, approves work to be carried out, its workload and stress tests and meets on a monthly basis. The Committee Markets, is responsible for the operational implementation of co-chaired by the Chief Risk Officer and the Head of Global calibration and scenario choices. The Stress Test Committee, determines the annual IT budget;
In accordance with the provisions of IAS 39, financial regarding fair value accounting methodologies).
the Natixis 2016 registration document for further information instruments are recognized at their fair value. (See Chapter 5 of prices and/or valuation models.
may lead to valuation adjustments recognized in economic process for the bank’s transactions. The review of market inputs IPV teams, which control the market inputs used in the valuation Independent price verification is carried out by the P&L division’s
IPV governance is based in particular on: Market Risk Committee); (Observability and Inputs Committee, Valuation Committee, a supervision mechanism overseen by Committeesa escalation system; a policy and set of procedures, explaining the validation anda comprehensive reporting;a the mapping and internal classification of data;a dedicated tools.a
Validation of valuation models independent validation by the Market Risk Department. Valuation models used by the front office are subject to charter, this validation covers the following aspects: traded and the suitability of the model. In accordance with its This validation verifies the evaluation of financial instruments the theoretical and mathematical validation of the model;a method used; the analysis of the stability and consistency of the numericala the model’s stability in a stress scenario;a the assessment of implied risk factors;a the measurement of modeling risk;a the definition of the reserve policy in terms of modeling risk;a the assessment of the model’s observability.a model validation notes.
documenting the follow-up on the recommendations issued in have been properly identified, quantified and supervised and with
Model Validation Committee, which meets once per quarter. This validation. These models also undergo a periodic review by the parameters correspond to the value ranges projected upon their terms of quality and solidity to ensure that the applied risk These models may be subject to backtesting and monitoring in
Committee is tasked with verifying that the bank’s model risks modeling choices. marketplace practices, thus reinforcing the validation of internal Through benchmarking, these models are compared with
The aim of this policy is twofold: principle of prudence; ensuring the reliability of the result announced by applying thea hedged or that are non-hedgeable.
Adjustments for market risks are divided into: in an active market; adjustments for the cost of position reversals/liquidity positionsa markets; unobservable valuation inputs and modeling risks in non-active adjustments for uncertainty relating to observable anda size, etc.); (discontinuity risks, risks relating to uncertainty regarding adjustments specific to risks inherent to positionsa uncertainties (numerical method, calibration, etc.). adjustments for modeling risk to hedge model-relateda continuous basis.
Meetings. adjustments is presented during Market Risk Committee changes in methodology applied to the calculation of reported to senior management. A quarterly summary of Adjustment amounts are updated on a monthly basis and
bottomed out at €29.2 million on September 23, 2016 and stood at €37.4 million at December 30, 2016. This indicator covers the regulatory scope. Natixis’ IRC level averaged €69.7 million. It peaked at €171 million on January 22, 2016 and
Overall stress test levels increased compared to 2015, averaging -€40.68 million at December 30, 2016, versus -€28.1 million
The historical stress test replicating the 1987 equity market crash gave the maximum loss (-€139 million at December 30, 2016).
In cr ea se in in te re st ra te
It defines five operational risk management criteria: corrective actions; incidents to be reported to the regulator, and an operational risk, one individual indicator identifying the occurrence of major the cost of risk, one forward indicator measuring the cost of four quantitative indicators: one historical indicator measuringa risk management indicator measuring the progress of framework.
all the Company’s business lines and support functions in France measures, monitors and controls the level of operational risks for The operational risk management framework identifies,
ORGANIZATION3.7.2 organization of: The structure of the Operational Risk function mirrors the risk managers; the core businesses under the responsibility of the operationala risk managers of the Americas, EMEA and Asia-Pacific the foreign offices under the responsibility of the operationala
where the processes have an impact on several teams, whether managers where the support or control functions are involved, or out across the Bank, often involving several operational risk their designated scopes (subsidiary, business line or support managers) dedicated to operational risk management. Within The function has some 50 staff members (operational risk and escalating information to management. Analyses are carried proposing and following up corrective actions, compiling reports culture, reporting and analyzing incidents, mapping risks, function), they are responsible for instilling the operational risk system that has been deployed across the Company’s entities, Overseeing this framework is a single overarching information key risk indicators, corrective actions, Committees, etc.). The mapping of quantified potential risks, risk management systems, the components required to manage operational risk (incidents, internationally. It is available in French and English and hosts all business lines and support functions in France and compliance, legal, IT Systems Security, etc.).
against information from other functions (accounting, operational risk managers is ensured through reconciliation accuracy of the information entered or approved by the
mapping and factors in identified incidents for backtesting and situations. The methodology uses a VaR calculation based on risk business line entity, geographic region and in certain high-risk overall estimation of its level of exposure to operational risk by However, Natixis uses an internal methodology to obtain an the standardized approach for all of Natixis’ operational divisions.
Risk mapping is central to operational risk monitoring: OPERATIONAL RISK MAPPING FRAMEWORK■
Analysis of the change in risk profile of the business lines and support functions exercise involves identifying and descriptively analyzing risks, entity and support function to map operational risks. The the other control functions, works with each business line, Every year the Operational Risk Department, in conjunction with backtesting by drawing on incident history. business activities and it is checked for consistency through management mechanisms. It is carried out for all the bank's maximum loss), and taking into account existing risk quantifying the risk situations (average frequency, average and as contingency and business continuity plans. and the effectiveness of risk management mechanisms, as well factored in are assumptions on unrealized net revenue items the financial industry, especially for establishing frequency. Also pandemics, and attacks) draws on external data on incidents in (occurring infrequently, such as major natural disasters, to manage them. The mapping of extreme risk situations exposed business lines and its biggest risks in order to be able The risk mapping process serves to identify the Natixis'
Losses are listed without a threshold and as they are incurred. A single definition of “serious incident” is used, in compliance consistent with its activity and level of risk.
Operational Risk Committees review their serious incidents, corrective actions. At all levels of the Bank, the business line impact per incident. Most operational risk incidents occur frequently and have a low
low-to-nil impact, and concerned primarily the back office and IT into the collection tool by the business lines. The losses had a potentially comprising several individual incidents) were entered In 2016 over 6,000 reported incidents (a single incident amount of losses and provisions reported in 2016, with these activities in France and abroad account for more than half of the 13% of impacts. However, Corporate & Investment Banking half of the number of reported incidents, but accounts for only The Specialized Financial Services division makes up close to activities representing only 10% of the listing in number.
BREAKDOWN OF REPORTED INCIDENTS BY NET AMOUNT BY DATE AND BASEL CATEGORY ■
Bank’s exposure to operational risks. These corrective actions, of which there were approximately 150 at end-2016, are monitored by the business line and central Operational Risk Committees. A central alert system has been set up to detect corrective actions that are taking too long to implement.
Natixis has implemented measures in every business line and support function to monitor the corrective actions to reduce the
The insurance plans were renewed on January 1, 2016, anda have been pooled in whole or in part with Groupe BPCE.
Natixis and its subsidiaries benefit from the guarantees provided by the combined “Banker’s Blanket Bond” (securities and fraud) and Company Civil Liability policies providing coverage of €148 million per claim per insurance year, of which €133 million have been pooled with Groupe BPCE.
“Civil Operating Liability” coverage is provided by the civila operating liability group insurance plan taken out by BPCE S.A., for up to €100 million per claim.
Coverage for the buildings housing Natixis’ operations ina France, their contents, IT risks and the resulting loss of banking business is provided by the “All Risks & Resulting Loss of Banking Business” group insurance policy taken out by BPCE S.A. (reconstruction and/or replacement cost, capped at €300 million per claim).
group insurance policy taken out by BPCE S.A., for coverage of up to €60 million per claim and per year.
managed and monitored under the authority of the Asset/Liability Management Committee (ALM Committee) chaired by the Chief Executive Officer, and composed of the members of the Senior Management Committee in charge of Finance and Risks and of the Corporate & Investment Banking division, the Head of Global Markets, the Chief Risk Officer, the Head of the Joint
The ALM Committee’s monitoring scope includes: the banking book of Natixis and its main credit subsidiaries fora overall interest rate risk; risks and which are monitored and managed separately in respect of ALM risks); Natixis’ entire scope of consolidation for liquidity risk (excludinga insurance subsidiaries, which do not present intrinsic liquidity
In the interest of fulfilling its duties and in order to be able to apply the main principles of asset-liability management and ALM control, the ALM Committee delegates certain operational tasks to: Committee for approval, under the oversight of the Risk Department, and which supervises structural ALM risks on a consolidated basis while verifying the overall consistency of the ALM system. The department is also in charge of managing the balance sheet, regulatory liquidity ratios and leverage ratio (see Section 3.8.2.6 and the following sections); conventions and limits, and submits them to the ALM
In light of the commitments Groupe BPCE has made to the supervisory authorities to ensure and guarantee the liquidity of the bank as lender of last resort, Natixis remains under the supervisory authority of BPCE.
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 160 REGISTRATION DOCUMENT 2016 - Natixis financing and optimize the management of collateral and allocation of liquidity within the Group in accordance with pre-defined rules, with the aim of limiting the use of market financing and reducing funding costs.
Liquidity risk is controlled, managed and monitored as follows: procedure and approved by the ALM Committee. Consumption is monitored weekly for Corporate and Investment Banking business lines and monthly for other business lines; management of each business line’s funding needs: toa manage the bank’s funding needs, liquidity budgets are allocated for each business line as part of the budgetary management of the bank’s contribution to Groupe BPCE’s neta market footprint: the objective is to match the liquidity allocation system with the Group’s strategic ambitions and operational oversight; transactions, including some subsidiaries. It is subject to four permanent limits approved by the ALM Committee and monitored daily, on overnight market exposure at opening, on the 60-day, 150-day and 330-day static liquidity gaps; measured using liquidity gaps. This indicator is produced daily for a 365-day period in one-day intervals for all parent company supervision of short-term maturity transformation, which isa the ALM Committee and validated by the Board of Directors; consolidated basis, and are restricted by the minimum coverage ratios approved by the ALM Committee and monitored monthly. In accordance with regulations, in 2015 Natixis established governance, an overall limit and an alert threshold applied specifically to the coverage ratio, as recommended by the ALM Committee and monitored monthly. Furthermore, in compliance with regulations and within the framework of the bank’s risk appetite, in 2015 Natixis set up governance as well as a global limit and an alert threshold applied specifically to a coverage ratio, proposed by housing medium-term activities, and for Natixis on a supervision of medium-term maturity transformation, which isa performed using coverage ratios that are defined by maturity tranche, such as the ratio of assets that have not yet matured to liabilities that have not yet matured. These ratios are calculated for long-term cash assets, credit subsidiaries simulations of liquidity stress scenarios: the purpose of thesea scenarios is to measure the Group’s ability to continue meeting its commitments and operating in the event of a liquidity crisis. Natixis periodically simulates its contribution to the Group’s stress results based on different crisis scenarios (systemic, specific, combined, etc.) and different levels of intensity (moderate, strong, extreme, etc.) over one-, two- and three-month periods for which assumptions are set by BPCE; funding structure: the funding structure is monitored to ensurea that resources are well diversified, by type of counterparty, by market segment and by geographic area, in order to mitigate all concentration risk (see section 3.8.2.4); market depth tests conducted by the Joint Refinancing Pool:a these liquidity tests aim to explore the limits established by our counterparties on our issues.
Business continuity plan under 3.8.2.3 liquidity stress the Group’s ability to obtain funding, all resources are used in a coordinated and optimized manner to allow the Group to meet its current and future financial obligations and thus maintain business continuity.
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 161REGISTRATION DOCUMENT 2016 - Natixis
In particular, Natixis’ funding model is based on strong centralization of liquidity and liquidity access points through three Treasury platforms (Paris, New York and Hong Kong).
Over the course of the year, in line with Group policy, Natixis continued to diversify its funding sources as in 2015. Efforts customer inflows. The funds collected by this business line continued to grow compared to last year, with increased diversification (particularly through the product offer of the “Natixis Deposit” fund) and the improved efficiency of these resources from a “regulatory liquidity” standpoint.
Finally, the weight of net resources provided by the Group was segment.
GROSS WEIGHT OF ON-BALANCE SHEET FUNDING ■ SOURCES, BY MAJOR CATEGORY OF VEHICLE AND/OR BY CUSTOMER SEGMENT AT END-2016
The funding structure was stable overall at December 31, 2016, 12.31.2016: BREAKDOWN OF GROSS FUNDING ■ STRUCTURE BY CURRENCY, AT CURRENT USD EXCHANGE RATES
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 162 REGISTRATION DOCUMENT 2016 - Natixis 2016 NET MLT FUNDING PROGRAM■
In Europe, the European Central Bank warded off looming deflation by slightly lowering its key interest rates in March (cutting the key rate to 0% and the deposit facility rate to -0.40%). It also expanded its bond buying (quantitative easing) program by increasing monthly purchases from €60 billion to €80 billion from March 2016 to March 2017, and extending the facility
These developments were accompanied by a new bank debt refinancing facility (TLTRO II), which offers preferential terms to purchases on the one-year maturity range.
banks that increase their outstanding loans in the non-financial sector. These decisions contributed to a slight decrease in euro zone yields, which nevertheless was large enough to take the short end of curve into negative territory. In this unfavorable environment, Natixis’ NEU CP(1) issuance outstandings fell by just under €3 billion. However, investors still largely preferred long investment periods for this type of instrument, focusing their the higher yields offered by the money market segment) softened the impact of this reform, thereby boosting outstandings in our US programs in 2016.
In the United States, the Fed, having long considered that external risks and a fragile financial environment justify stable interest rates, finally raised its key interest rates by 25 bp in
(in millions of euros or euro equivalents) Certificates of Deposit Commercial Paper
Long-term funding months of the year. countries (Germany in particular) – to decline in the first two
US government bonds fell 89 bp to 1.36% over the same period.
As inflation forecasts were pared down on both sides of the Atlantic after commodity prices plunged, in March the European Central Bank decided to take action by lowering the deposit facility rate by 10 bp to -0.40%, and by raising the amount of its asset purchase (quantitative easing) program from €60 billion to €80 billion. Long rates continued to decline in the first half of the year. The yield on the German 10-year Bund, which stood at 0.63% at the start of the year, hit a low of -0.18% in early July.
In the second half of the year, encouraging macroeconomic data out of the US (GDP, improved household consumption) pushed up US long rates. In November rates were further boosted with the election of Donald Trump whose program to revive economic activity in the US includes, among other things, a 10-year $1 trillion infrastructure investment plan. In Europe, long rates followed suit, albeit to a lesser extent. The US 10-year ended the year at +2.44%, and yield on the German 10-year Bund at 0.20%.
In the credit market in Europe, bank spreads on unsecured senior debt widened at the start of the year, but tightened overall in 2016 following the European Central Bank’s quantitative easing holders of these instruments will be ranked “senior” to subordinated debt, but “junior” to “senior preferred debt”.
In France, systemically important banks (BNP, BPCE, Crédit Agricole, Société Générale) were able to issue senior non-preferred bonds – a new type of debt security passed into French law in December 2016. The bonds that banks choose to issue under this new type of debt security will be eligible for application of the new TLAC ratio. In the hierarchy of creditors,
(in millions of euros or euro equivalents) EMTN NEU MTN(a) USMTN Bond issues
NEU MTN: “Negotiable European Medium Term Note”, the new commercial name of BMTNs used on the marketplace (reform enacted by decree on May 30, 2016 (a) subsequent to the opinion of the European Central Bank issued on March 30, 2016).
In 2010, the Basel Committee introduced new liquidity risk measures: the Liquidity Coverage Ratio (LCR, January 2013) is aa short-term liquidity ratio whose aim is to ensure that, in stress scenarios, banks hold enough liquid assets to cover their net cash outflows for a 30-day period; to less than one year.
Regulation (EU) No. 575/2013 of June 26, 2013, which laid down the filing obligations in force during the observation period from January 1, 2014 and set forth the conditions of implementation of these prudential requirements. For the LCR, Delegated Regulation (EU) No. 2015/61, published on October 10, 2014, entered into force on October 1, 2015. The NSFR, which the Basel Committee wished to establish as a minimum requirement as from 2018, is still in the observation period; a legislative
Natixis determines its LCR on a consolidated basis and operationally manages its liquidity position and liquidity coverage
Liquid assets must meet a number of intrinsic requirements (issuer, rating, market liquidity, etc.) and operational requirements (availability of assets, diversification, etc.) in a 30 calendar day liquidity stress scenario.
The liquid asset buffer – in the regulatory sense – is the numerator of the LCR (HQLA) and predominantly consists of: Level 1 liquid assets, i.e. cash deposited with central banks;a other Level 1 liquid assets consisting mainly of marketablea securities representing claims on, or guarantees by, sovereigns, central banks and public sector entities, and high-rated covered bonds; and debt securities issued by sovereigns or public sector entities not eligible for Level 1, corporate debt securities and equities listed on active markets that satisfy certain conditions.
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 165REGISTRATION DOCUMENT 2016 - Natixis denominator, cash outflows (€101.7 billion) are primarily generated by the run-off of deposits (€43.3 billion), repurchase agreements maturing within 30 days (€11.8 billion) and other cash outflows (€21.7 billion). Other cash outflows mainly include outflows related to market-stressed collateral requirements and outflows subsequent to a 3-notch downgrade in Natixis’ credit rating by the rating agencies. Nearly half of the cash inflows recorded (€59.1 billion) were due to loans (including BPCE or financial customers) reaching maturity (€33.3 billion) and to repurchase agreements maturing within 30 days (€6.4 billion).
Natixis’ LCR was 108% at December 31, 2016, with total liquid assets of €46.1 billion according to the eligibility rules of the Delegated Act, i.e. surplus liquidity of €3.5 billion. The liquid asset buffer consists predominantly of central bank deposits (€25.1 billion) and sovereign securities (€10.2 billion). In the
Group liquidity-stressed BCP is activated and executed. market, and this monetization may be forced in the event the
In June 2013, Natixis established a governance system for the for a 70% regulatory limit at end-2016, is borne by BPCE.
billion in order to deal with any last-minute contingencies, through BPCE adjustments. The structural over-hedge of the Group's LCR, i.e. around 15% to 20% above the 100% threshold regulatory requirements in force). The oversight of the LCR is part of a Groupe BPCE framework under the aegis of the BPCE Group Finance Division. Natixis' LCR hedging is organized in close cooperation with BPCE and is managed by the Joint Refinancing Pool, acting with the authorization of the Financial Management Department on the basis of its forecasts. Within this framework, the strategy for the Natixis scope aims to hedge the LCR above 100% with a safety buffer of €3 billion to €5
Under the French Ministerial Order of November 3, 2014 on internal control by companies in the banking, payment services and investment services sector subject to the supervision of the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage
Banques Populaires banks and Caisses d’Epargnes) are excluded from the leverage exposure measurement, in accordance with Article 429(7) of the Delegated Act. This treatment is contingent upon prior authorization from the ECB, which is currently in progress as per the conditions set out in Article 113(6).
(Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative 4 Adjustments for derivative financial instruments (38,832)
Given the presence of risk-weighted assets in foreign currencies (mostly USD), the aim of Natixis’ structural foreign exchange risk policy is to protect the Common Equity Tier 1 ratio (CET 1) against exchange rate fluctuations. To this end, it establishes a “structural” foreign-exchange position that is restated for translation adjustments when it purchases foreign currencies to fund strategic long-term net investments in foreign entities, while non-strategic net investments in local currencies are
The following table shows the impact that a 10% depreciation or appreciation in the main foreign currencies would have on the CET 1 ratio at December 31, 2016.
Currency Impact on the CET1 ratio of 10% depreciation Impact on the CET1 ratio of 10% appreciation
The Risk Division calculates indicators and monitors limits daily for Treasury and monthly for balance sheet management operations and credit subsidiaries.
The Bank’s interest rate risk monitoring framework is based on economic sensitivity measures subject to an overall limit. It is supplemented by two other measurements that are periodically reported to the Group as part of the overall interest rate risk monitoring consolidation process: interest rate gap measurements (fixed-rate assets-liabilities) and measurements of NII sensitivity to interest rate variations.
The sensitivity of the major Natixis entities to a variation in interest rates represented a total of €87 million (for an immediate parallel shift of +1% in the yield curve) at December 31, 2016. This sensitivity is primarily due to the effect of the spread on
MEASURE OF SENSITIVITY TO A +100 BP VARIATION IN INTEREST RATES, BY MATURITY AT DECEMBER 31, 2016R
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 168 REGISTRATION DOCUMENT 2016 - Natixis
As part of its refinancing activities, and repurchase agreements in reused as collateral.
Debt securities issued besides own secured bonds or own asset-backed securities 1,611
At December 31, 2016, Natixis’ encumbered assets amounted to €75,936 million, of which: €48,204 million in encumbered securities for corporate actions and issues of securities;a €4,692 million in encumbered receivables in mechanisms other than secured bonds;a €745 million in receivables securing secured bond issues;a €22,296 million in encumbered assets in respect of margin calls on derivatives.a
3RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 171REGISTRATION DOCUMENT 2016 - Natixis
Liabilities Total Demand 1 month Less than 3 months 1 to 6 months 3 to 1 year 6 months to 1 to 2 years 2 to 5 years 5 years Over
3 RISKS AND CAPITAL ADEQUACYOverall interest rate, liquidity, structural foreign exchange risks 172 REGISTRATION DOCUMENT 2016 - Natixis 3.8.5.3 Monitoring of rating triggers may be required to provide additional collateral to investors under In the event the Bank’s external credit rating is downgraded, it three notches.
calculating the liquidity coverage ratio (LCR), the amounts of agreements that include rating triggers. In particular, in requirements are measured. These amounts comprise the these additional cash outflows and additional collateral in the event its credit rating were downgraded by as much as payment the bank would have to make within 30 calendar days
3RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 173REGISTRATION DOCUMENT 2016 - Natixis legal risks Compliance and reputational risk, 3.9
Secretary, the Compliance Department functions independently Security and business continuity. Reporting to the Corporate
Management Committee. For the business lines operating within function are set out in a charter approved by Natixis’ Senior hierarchically to Natixis’ Chief Compliance Officer. There is a the parent company, the Heads of Compliance report compliance heads and Natixis’ Chief Compliance Officer. “direct” reporting line between the subsidiary and branch subsidiaries’ compliance heads, participates in annual approval for the assignment, appointment or removal of work plans and fulfills reporting and alert requirements vis-à-vis performance and career advancement reviews, approves annual
Responsibilities structures and new or modified products, the function issues formal notices to help secure Natixis’ activities.
prevent compliance risks when performing their duties, and The function advises and assists all employees on how to procedures. To ensure the proper oversight of new activities, participates in establishing new standards, policies and
Lastly, it reports to the members of the Senior Management Committee and the Board of Directors (Risk Committee) on the
The prevention of conflicts of interest is ensured through: employee compliance with professional obligations;a the set-up and monitoring of information barriers;a the use of risk maps to identify situations posing a risk ofa conflict of interest; the verification of compensation policies;a the keeping of a conflict of interest catalog; anda covers gifts and invitations received or offered, personal compliance with Natixis’ employee Code of Conduct, whicha offices and investments held in a personal capacity. transactions, the performance of duties outside of Natixis and
The provisions concerning conflicts of interest and the circulation regular training and follow-up controls using a risk-based of information are enforced through formalized procedures, approach.
principle of Natixis’ activities and is reflected in the policies of with diligence, loyalty, honesty and professionalism, and to offer In all circumstances, employees are required to serve customers abilities and needs.
Natixis has established a system that ensures that: customers receive transparent information on how theira complaints are being handled; complaints are handled effectively;a identified.
In addition, Natixis has established a policy governing new client relationships. The procedures are in line with the various financing and international embargoes for the entities in regulatory requirements governing money laundering, terrorist question.
In 2016, Natixis implemented the Automatic Exchange of Tax operations concerned and located in countries that have Information regulation across all its French and international regulation requires the identification of non-residents who own implemented the Common Reporting Standard (CRS). This assets, more specifically financial accounts in the books of
All employees are called upon to exercise vigilance against abnormally high or overcharged commissions and informal and pressure and solicitation and in situations such as those involving private interactions with public companies.
Corrupt Practices Act. local regulations such as the UK Bribery Act and the Foreign
Financial security3.9.1.4 the Compliance Department, is to organize anti-money The purpose of the Financial Security section, which is part of and to ensure compliance with embargoes and anti-fraud laundering and counter-terrorist financing (AML – CTF) measures measures, both for Natixis and its subsidiaries.
In addition to this standing supervisory task, it may directly spearhead special efforts on behalf of certain business lines.
3RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 175REGISTRATION DOCUMENT 2016 - Natixis resources identified as likely to benefit persons or entities linked Regarding terrorist financing, funds, financial assets or economic must meet two obligations: to terrorist-related activities are automatically frozen. Natixis continuously checking that customers do not appear on thea terrorist financing; and official lists of persons or entities suspected of participating in these lists.
Anti-fraud measures are steered by the Financial Security the relevant business lines. This unit is also in charge of drafting Department’s Anti-Fraud Coordination Unit in collaboration with
More specifically, the risk associated with Capital markets second-level controls, with the help of the SAFIR Compliance activities is subject to close monitoring and specific first-level and constant vigilance and specific prevention measures, as this tool. Social engineering-type payment fraud is subject to
Concerning the risk of information leakage, a specific control, continuously evolving fraud is particularly widespread.
Continuity IT Systems Security and Business 3.9.1.5 business lines. respond to the security and continuity needs expressed by the IT Department implements the technical solutions devised to risks incurred. It employs a method which identifies, in terms of The ITSS-BC Department coordinates its activities according to assets that may be vulnerable. Based on this cross-verification, a operational risk, areas of risk for the business lines and their IT
produced and action plans to reduce these risks are defined. The map of IT systems security and business continuity risks is with their digital transformation), the prevention of cyber-threats, The main issues addressed are business line support (particularly reinforcement of our control plan. The overhaul of user the user authorization management framework and the management processes, tools, the documentation of application authorization management was initiated in 2012 to review all reauthorization of user rights and the associated controls. profiles, the setting of business line profiles and the business lines, all projects submitted to the IT Commitment for several foreign entities. In terms of advice and support to of the project, the business lines express their security Committee are required to undergo security analysis. At the start implementing the appropriate technical solutions.
In 2016, the following actions were taken: for referencing the use of personal data; all processes declared to CNIL were integrated in a shared toola regulatory changes and to integrate personal data protection in awareness-building measures were taken to take stock ofa all new projects; the organizational standardization process in place to ensurea its entry into force was initiated.
Like many banking groups, Natixis and its consolidated be investigated by regulatory authorities.
and its consolidated subsidiaries as a whole, or have not reached on Natixis’ financial situation or profitability and/or that of Natixis an impact.
a stage where it can be determined whether they will have such inclusion in the list does not indicate that they will necessarily The most significant disputes are described below. Their
3 RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 176 REGISTRATION DOCUMENT 2016 - Natixis
Class action lawsuits in the United States relating transactions to Municipal Guaranteed Investment Contract
prices, rig bids and allocate customers beginning in 1992. The and European banks and brokers as defendants in all. The various lawsuits, as initially filed, named more than 30 other US
provider defendant or alleged co-conspirator, or municipal municipal derivatives from Natixis Funding Corp. or any other derivative transactions brokered by any broker or alleged continues to deny the allegations of wrongdoing and any liability remaining class action defendants, reached a final settlement in in these proceedings, Natixis Funding Corp., together with other includes all state, local and municipal government entities, early 2016. The class, under the terms of this settlement, purchased, by negotiation, competitive bidding or auction, independent government agencies and private entities that settlements with the plaintiffs. Although Natixis denied and Over the course of the litigation, several defendants entered into
The settlement is applicable to Natixis and its affiliates and the nationwide consolidated class action or submitted by the encompasses all claims that were or could have been included in except for certain individual claimants who chose to exclude group of Attorneys General, and is binding on all class members proceedings.
court approval in July 2016, bringing an end to the legal themselves from the class. The class action settlement received agreements with each of the individual claimants outside the Furthermore, by the end of 2016 Natixis had negotiated class, none of which involved a material amount.
dismissed on a preliminary basis or prior to any ruling on merit, including a motion to dismiss, requesting that the case be matters to the United States district court. These proceedings and a motion to withdraw the reference to transfer certain ongoing. A recent ruling (November 2016) by the bankruptcy have been subject to numerous rulings and appeals and are still trustee on the grounds of extraterritoriality. The case is still in court dismissed a number of restitution claims initiated by the progress.
Madoff Investment Securities LLC (BMIS), submitted a Irving H. Picard, the court-appointed trustee for Bernard L.
New York against several banking institutions, including a the United States Bankruptcy Court for the Southern District of made against it and has taken the necessary steps to defend its $400 million claim against Natixis. Natixis denies the allegations position and protect its rights. Natixis has launched appeals, defendants to respond.
Natixis deems these proceedings to be entirely unfounded and is have been named as defendants in some of these proceedings.
In March 2009, the Paris public prosecutor’s office (Parquet de at the beginning of the subprime crisis.
Association for the Defense of Minority Shareholders). As the Association de Défense des Actionnaires Minoritaires (ADAM –
3RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 177REGISTRATION DOCUMENT 2016 - Natixis
(formerly CDC Gestion) – Profit sharing Natixis Asset Management schemes from 1989 to 2001.
Labor Code, on August 1, 2013 the Constitutional Council Management on the interpretation of an article of the French declared unconstitutional were in force. be applicable to them for the period during which the provisions
Labor Code in its version prior to Law No. 2004-1484 of declared the first paragraph of Article L.442-9 of the French employees of companies whose share capital is predominantly December 30, 2005 to be unconstitutional and ruled that held by public entities cannot call for a profit-sharing scheme to collectively submitted an appeal to the Court of Cassation. The and rejected the appeal filed by the plaintiffs. Employees have timetable for court proceedings is still unknown.
Natixis Asset Management and dismissed all of the employees’ In September 2014, the Paris District Court ruled in favor of of Appeal. On May 9, 2016 the Court of Appeal upheld the ruling complaints. The employees appealed the ruling to the Paris Court
annulment of the subscription on the grounds of defect in subscription price of the bonds and, and as an alternative, the dismissed all of MMR Investment Ltd’s claims. consent. On February 6, 2017, the Commercial Court of Paris
Natixis and the financial intermediary before the Commercial In April 2012, MMR Investment Ltd filed a joint claim against
Court of Paris, claiming not to have received the bonds, despite
Union Mutualiste Retraite management of two real estate portfolios in Germany between against AEW Europe in relation to the acquisition and
In June 2013, Union Mutualiste Retraite filed three complaints action by the claimants to be admissible.
Three further claims have been brought against Natixis, purportedly on behalf of certificate holders. Natixis considers the intends to defend itself vigorously. claimants do not have the legal standing to file the suit, and
Natixis Real Estate Holdings LLC and several subsidiaries, Another lawsuit has been filed before a US federal court against
for the sudden termination of commercial relations following the Paris against Compagnie Européenne de Garanties et Cautions refusal by the latter to grant EDA a guarantee.
and EDA brought proceedings before the Commercial Court of On June 18, 2013, through two separate complaints, Selcodis various loans by BRED. CEGC to grant a guarantee to EDA and to the termination of
Court of Paris against Natixis, BRED and CEGC for unlawful Selcodis and EDA also brought claims before the Commercial agreements, alleging that such actions led to the refusal by
3 RISKS AND CAPITAL ADEQUACYCompliance and reputational risk, legal risks 178 REGISTRATION DOCUMENT 2016 - Natixis
For its part, EDA is requesting that the defendants be ordered to pay damages and interest, which it assesses to be €32 million.
referred the case to the Tribunal of Florence on February 23, Following an objection as to jurisdiction, the Tribunal of Siena 2016. The case is still in progress before the Tribunal of Florence.
the amounts paid by SWL as part of the swap agreement, less and taking into account any amounts that would have been paid any amounts paid by Natixis to SWL under the same agreement had the previous swap agreement not been terminated.
wider spreads, interest rate hikes) as well as the risk of lower asset impairment risk (fall in the equity or real estate market,
Market risk is in large part borne by the subsidiary BPCE Vie via returns commitments (euro-denominated policies, €45.5 billion the financial assets underpinning its principal and guaranteed on the main fund balance sheet). The company is exposed to diversification is managed by a strategic allocation, defined on a commitments to policyholders and commercial requirements. yearly basis, that takes into account regulatory constraints,
(financing the economy, low-volatility equity, etc.). This diversified, namely via investments in new asset classes
Life insurance underwriting risk vehicles, as reinvestments in securities dilute the main fund’s redemptions and/or excessive inflows in euro-denominated been taken, such as the creation of unit-linked policy products return. To prioritize inflows in unit-linked policies, measures have targeting customers and the network.
The main risk to which life insurance underwriting is exposed is interest-rate environment, the biggest risk is that of fewer linked to the Investment Solutions activity. In an especially low
(degree of liability and bonuses/penalties for motor insurance, their cost and other variables specific to the activity in question detecting potential risks arising from large claims, and to for instance). This monitoring policy also contributes to arranging adequate reinsurance coverage; policyholders corresponds to the transferred risk, BPCE premium risk: in order to ensure that the premiums paid by thea each policy is given a score based on its track record over Assurances implemented a portfolio monitoring policy whereby three years. Factored in are types of claims, number of claims, based on methods widely recognized by the profession and assessment of the reserves for claims to be paid is conducted required by the regulator; risk of loss: each time inventory is taken, an actuariala of significant magnitude generating a multitude of claims either through the government in the event of a natural (storm, risk of civil liability, etc.). This risk is therefore reinsured reinsurers, specifically in the event of a storm or a civil liability disaster or an attack, for example, or through private claim, or through reinsurance pools.
Counterparty risk reinsurers is a key component of managing this risk: The counterparty risk to which Natixis Assurances is exposed mainly concerns reinsurance counterparties. The selection of
(Debtor Risk Assessment) and business sector, by acceptance breaks down the changes in domestic/export credit by DRA
In order to monitor exposures and portfolios, the Group rate on the DRA scale, or by product line (deposit, single risks).
established a more extensive risk oversight system, covering levels). Accordingly, delinquent payments are analyzed weekly 38 sectors and 5 levels of country risk (a total of 150 risk
Coface’s Underwriting Committee. Loss ratios for the different by the Senior Management Committee and monthly by
Coface level; underwriting regions are also monitored at the consolidated recorded for the same debtor or group of debtors, or of an event risk represents the risk of abnormally high lossesa covered by Coface Re reinsurance.
Management of financial risks is thus based on a rigorous and constraints related to the management of its liabilities.
Portuguese and Greek sovereign debt. Coface has limited December 31, 2016. Coface still has no exposure to a defined risk budget; exposure to Italian, Spanish and Irish sovereign debt as part of allocations are in fixed-income products, ensuring stable and interest rate risk and credit risk: The majority of Coface’sa portfolio is deliberately capped at 4 and stood at 3.6 at recurring revenues. The overall modified duration(2) of the bond branches using other currencies must observe the same instruments are denominated in euros. Subsidiaries and hedges against the EUR in the portfolio combining its principles of congruence. In 2016, Coface systematically set up denominated in USD, GBP, CAD and AUD; European entities, to protect investments in bonds foreign exchange risk: the majority of Coface’s investmenta to partial, discretionary hedging through the purchase of put options on indices, to mitigate any external shocks; portfolio and is concentrated in the euro zone, in connection equity risk: exposure is capped at less than 10% of thea represented 4.3% of the investment portfolio and were subject with its core business. At December 31, 2016, listed equities
Modified duration measures a bond’s loss in value in the event of an interest rate hike. For example, bonds with a modified duration of 3 will see a(2) 3% reduction in their market value if interest rates increase by 1%.
181REGISTRATION DOCUMENT 2016 - Natixis median rating (1) equivalent to at least BBB-; counterparty is set at 5% of assets under management, with counterparty risk: the maximum exposure to any givena 89% of the bonds are Investment Grade and therefore have a exceptional exemptions for short-term exposures. More than carries a liquidity risk that is currently considered as low. vast majority of the portfolio is listed on OECD markets and liquidity risk: nearly 52% of the bond portfolio was due toa mature in less than three years at December 31, 2016. The are also carried out.
In 2016 underwriting risk was managed effectively, reflected by a level of claims 25% below earned premiums. The new risks incurred on the balance sheet, particularly risks on refinanced mortgage loans, have a good risk profile.
The French regulator's plan to tighten prudential requirements on mortgage loan guarantees led CEGC to underwrite a new economic recession that would exceed CEGC’s financial resources within a limit of 2% of outstanding guaranteed reinsurance program. The close to €1 billion capacity acquired under the program covers the risk of loss in the event of an mortgage loans.
This increase was in line with fiscal year 2015, driven mainly by mortgage guarantees for retail customers.
CEGC held an investment portfolio of about €1.70 billion on its the Company’s investment choices. Its risk limits are set forth in the portfolio management mandate established with Natixis balance sheet at December 31, 2016, up 15.23% since the end of 2015. Market risk from the investment portfolio is limited by does CEGC carry transformation risk: the investment portfolio is entirely backed by equity and technical reserves.
calibrated to protect against three individual loss events (loss related to a counterparty or a group of counterparties) which
In the Corporate segments, the program is used to protect CEGC’s capital by covering high-severity risks. It has been could have a significant impact on the Corporate segment’s
by a broad panel of international reinsurers with a minimum rating of A on the S&P scale.
Strategy risks are monitored by the Board of Directors and supported by its Strategic Committee, which approves the the structure of its balance sheet or its risk profile.
Senior Management is in charge of defining and steering Natixis’ strategy, with assistance from the Senior Management
Climate risks with a direct impact on Natixis are addressed in the the world. Maximum impact is estimated as part of the operational risk map, and results in a VaR figure (95% and 99% value at risk) that factors in scenario analyses and external data, the quality of the BCP and insurance.
183REGISTRATION DOCUMENT 2016 - Natixis low-carbon economy). to the adjustments brought about by the transition to a
In 2016 Natixis took part in industry initiatives to improve the incorporation of these risks. Specifically, and in line with the
in green bonds; financing of green growth: Natixis is a market leader ina renewable energy and sustainable infrastructure financing, and investment products helping to combat climate change:a vehicles dedicated to the fight against climate change; Mirova, the investment firm of Natixis Asset Management, and specialized in responsible investment, offers a range of management of the climate risks of major projectsa their projects, and to report annually on the project’s CO2 emissions once it is in operation; environmental impact of its major projects. Borrowers are required to present an analysis of the possible alternatives to financed by Natixis: as a signatory of the Equator Principles, Natixis takes climate change into account when assessing the transition.
with this sector, and of the desire to support the energy transition. The policy was the subject of a detailed report that conduct more than 50% of their business this sector. This decision is the result of considering the credit risks associated
New strategic guidelines cross-business component of Natixis’ next strategic plan. As a result, CSR risks should be factored into the company’s lending governance and adapted resources.
policies for the most sensitive sectors, and the business lines should adopt a low-carbon requirement that will include
At the end of 2016 work was begun to make CSR a
Natixis was exposed to the following risks at December 31, 2016.
2016, versus €106 million at December 31, 2015. In 2016, value adjustments went down by €33 million (excluding the effect of the BPCE guarantee) to €736 million at December 31,
CMBS (in millions of euros) Net exposure as at 12.31.2015 Change in value in 2016 Other changes Net exposure as at 12.31.2016
At December 31, 2016 exposure to non-government risk, in particular Greece and countries facing uncertainties (political, currency, etc.), directly held by Natixis stood as follows: (in millions of euros)
Asset financing and structured transactions (c) Corporate * Countries receiving financial aid from the European Union.
(a) Gross exposure: gross carrying amount on the balance sheet at December 31, 2016.
Gross exposure: gross carrying amount on the balance sheet at December 31, 2015.(a)
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 188 REGISTRATION DOCUMENT 2016 - Natixis at December 31, 2016 Management report 4.1
In accordance with European regulation 809/2004 relating to 2015 registration document filed with the AMF on March 10, 2016, information contained in prospectuses, the financial statements for the year ended December 31, 2014, that were published in the
Among the divisions, in 2016 Corporate & Investment Banking adopted a new global structure comprising five business lines cross-business coverage team. Consequently, calculations were performed pro forma in respect of 2015 data.
Capital is allocated to Natixis business lines on the basis of 10% of their Basel 3 average risk-weighted assets.
mechanism applied to the holding of capital instruments issued by financial entities.
Deeply subordinated notes (DSNs) are classified as equity instruments, while interest expense on these instruments is not recognized in the income statement.
ROE and ROTE for Natixis and the business lines are calculated as follows: deferred gains and losses recognized in equity; equity (Group share) under IFRS, after distribution of dividends, excluding average hybrid debt, eliminating unrealized or share), from which DSN interest expense is deducted, net of tax effects. The equity used is average annual shareholders’
In 2016 the allocation of the cross-business functions’ expenses to the SFS division was reviewed to more accurately reflect the
New York-based independent consultancy specialized in mergers and acquisitions, capital structure and restructuring. Natixis also and continued their development, with a focus on the BPCE networks and its own clientele.
Moreover, Natixis bolstered its positions on its core businesses management of its multi-boutique model.
Within the Investment Solutions division, the Asset Management business line pursued the growth and development in the first half of the year included: Highlights of Natixis Global Asset Management's (NGAM)
Capital Growth Management (CGM) in the US; the sale in early January of NGAM’s entire stake in Snyder ina the US; the announcement in April of the progressive closing of Auroraa in the US, until early 2017.
previously held by CDC. Since the merger, La Banque Postale Europe and Ciloger, NGAM acquired a 40% stake in AEW Europe €25 billion. In June 2016, in the run-up to the merger of AEW
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 189REGISTRATION DOCUMENT 2016 - Natixis transfer of Ciloger.
holds a 40% stake in AEW Europe’s capital, in exchange for the including: NGAM won a number of awards in the second half of 2016, 2nd out of the main asset management companies in France; companies for corporate clients in Europe; NGAM was placed was placed 11th out of the 120 main asset management the 400 main asset management companies in Europe; NGAM Investment & Pensions Europe: NGAM was placed 15th out ofa main asset management companies in Europe; Institutional Investor: NGAM was placed 6th out of the 100a the North American equities category; Natixis Actions US Growth fund was named the No. 1 fund in FERI EuroRating Awards (Germany and Switzerland): thea
The awards for best investment manager went to: North American equity category, Aziz Hamzaogullari, Loomis Sayles & Cie, in thej
France category. Louis Bert and Stéphane Furet, Dorval AM, in the equityj
H2O Asset Management won the award for best three-year fund in the “Alternatif Global Macro” category.
equity France category; Dorval Asset Management won the award for best fund in the the gold prize was won NAM for its Caisse d’Epargne range; Plan prize was won jointly by Natixis Interépargne/NAM, and Mieux Vivre Votre Argent magazine: the Employee Savingsa
Investment firm”; asset management company category, and has over €5 billion named Best Asset Management Company in 2016, in the Gestion de Fortune awards: H2O Asset Management wasa in AuM; management company; World Finance: NAM won the award for best French asseta fund FRANCEUROPE Immo.
Manager of the Year in the United States by Morningstar. Harris Associates, was named 2016 International Stock Fund David Herro, Chief Executive Officer of International Equity at
Finally, Natixis Global Asset Management was ranked 1st in the based on an assessment of 2016 performance.
Banques Populaires. management: +28% for Caisses d’Epargne and +74% for the networks delivering a solid performance in the area of wealth
platform category of the Service Provider Awards (Palmarès des Investissement Conseil magazine, and third place in the banking Pyramides de la Gestion de Patrimoine awards ceremony held by Editors’ Choice award in the banking platform category at the
Natixis Assurances the exclusive insurer of all new business Caisses d’Epargne sell the new insurance offering, making were aligned via a cross-reinsurance mechanism, namely: Caisse d’Epargne’s existing assets at CNP, the parties’ interests into effect on January 1, 2016. To facilitate the run-off of The new partnership agreements between BPCE and CNP came the approval of quota-share reinsurance amounting to 10% ofa
Caisse d’Epargne life insurance established by CNP on life insurance business in euros generated by the the sale of quota-share reinsurance amounting to 40% of newa
by the BPCE networks of which CNP is now the lead insurer. generated on collective payment protection policies distributed In addition, Natixis Assurances co-insured 34% of new business - a commitment that is already bearing fruit. The Centre internally for its staff, and externally for its customers and parters line is committed to seeing through its digital transformation both Lastly, as part of the innovation strategy, the Insurance business
Assurément#2016 campaign to align with market quality and Customer Relations) was launched in 2016 as part of the d’Expertise et de Relation Client (CERC – Center for Expertise
OWI semantic analysis tool for customer email queries was also on artificial intelligence technology. In general insurance, the "Process Game" life insurance interactive simulation tool based standards. The networks’ advisors now also have access to the electronically in the Banques Populaires network.
accident insurance and legal protection insurance are signed introduced, and over 60% of multi-risk policies for personal
(especially cross-expertise) and investment recommendations, Global Markets research increased its publication output
(“Best Credit Research for 2016 in Europe across 3 categories: House of the Year” at the Energy Risk Awards 2016), credit expertise and client focus in commodities (“Customers Research and held more conferences. The teams were recognized for their nine awards at the Thomson Reuters Analyst Awards 2016). Euromoney) and equity (No. 2 equity research in France, with Agencies & supranational – Covered bonds – Utilities” by
correspondents initiative trade payments in RMB (Renminbi) to launched the Africa to China offering that allows Natixis’ banking
Natixis continued to expand internationally. Despite a challenging markets, and expanded its M&A advisory capacities by opening a continued to strengthen its product offering, particularly in capital delivered a superb performance in all its business sectors. It market and regulatory environment, the Americas platform representative office in Montreal into a branch.
representative office in Colombia and transforming its presence, expertise and offering. Notably, the Taiwanese In Asia-Pacific Natixis continued the selective development of its regulator approved the opening of a branch in Taipei in 2017.
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 191REGISTRATION DOCUMENT 2016 - Natixis and customer needs in an increasingly digitized world. and services, as well as tools adapted to changes in distribution synergies with the BPCE networks by rolling out new products The Specialized Financial Services core businessn increased
Many innovative solutions were launched in 2016: a technological solution that, since July 19, gives Banque in cooperation with VISA, Natixis Payment Solutions developeda exclusively French Apple Pay payment system; Populaire and Caisse d’Epargne customers access to the new communications agency and Orange Business Services, in collaboration with Samsung Electronics France, the Cheila promotes employee savings plans; comprising touch screens and a facial recognition system, that Natixis Interépargne launched an innovative digital package, orders and consult their balance from their smartphone. Caisse d’Epargne customers to manage their accounts, place EuroTitres developed a mobile securities solution to enablea
Furthermore, in the interest of efficiency and competitiveness merged and given a new development outlook via: gains, all Natixis’ Payments activities for Groupe BPCE were a strategy to address the European markets and leverage ona new digital business models; growth.
Graydon within Corporate Data Solutions. disengagement strategy with the sale in 2016 of Altus and €66.1 billion at December 31, 2016.
4 OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 192 REGISTRATION DOCUMENT 2016 - Natixis
statement comprising the consolidated income Analysis of changes in the main items
Natixis’ net revenues stood at €8,718 million at businesses (+2%, or +3% excluding non-recurring items (2)).
Asset Management business line (-8%), while the Insurance was Investment Solutions net revenues fell 4%, pulled down by the
In the capital markets business, up 23% on 2015, revenues in posted revenue growth of 10%, buoyed by Equity Derivatives. Income, which enjoyed vibrant sales in Asia and France. Equities Fixed Income and Forex (+22%) were spearheaded by Fixed
objective of the strategic plan BPCE networks at end-2016, on target with the €400 million Natixis generated €341 million in revenue synergies with the claims.
management business). This decrease was essentially due to received by Coface for the sale of the state guarantee on 2015 (-25% once restated for the one-off compensation At €699 million, Financial Investments net revenues fell 16%
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 193REGISTRATION DOCUMENT 2016 - Natixis
Excluding the impact of the revaluation of own senior debt, the The cost/income ratio increased by 3.2 points to 71.6%.
Pre-tax profit sector recorded in the first half of 2016. on 2015, reflecting mainly the provisioning effort in the Oil & Gas Provision for credit losses came to €305 million in 2016, up 5%
contributions from Investment Solutions and Financial Investments, was down compared to 2015, totaling €13 million.
The item "Change in the value of goodwill" was -€75 million in quarter.
Excluding this impact, pre-tax profit fell 2% between 2015 and revaluation of own senior debt versus €139 million in 2015.
recurring net income (Group share) stood at €1,374 million After incorporating -€90 million in non-controlling interests, versus €1,344 million in 2015.
exchange rates) to €1,013.8 million. Gross operating income was down 11.0% (11.1% at constant
exchange rates. Pre-tax profit totaled €1,031.5 million, up 10.8% at current
Outstandings at 12.31.2016 the period: The business line recorded net outflows of -€12.3 billion over
companies. 2015, and the fall in fees on AuM in US asset management management companies, which had reached a very high level in weighed down by the fall in incentive fees in European asset on the same period in 2015 (-7.7% at constant exchange rates), At end-2016 net revenues stood at €2,547.2 million, down 7.5%
Restated for this effect, AuM would be up 9% for the period. €29.1 billion, with an unfavorable scope effect of €1.2 billion.
of structured products abroad. These decreases were partially offset by the strong performance strong year in 2015) together with the decline in transaction fees.
by growth in Multi-Risk Home Guarantees (+10%) and Insurance increased by more than 9% to €1,287 million, driven 1.2 million new policies gained by the BP and CE networks policies and 25% in new MRH policies. Compared to 2015, the opportunities. The results in 2016 were 35% in new Automotive bill enacted in January 2015 that offers market share
4OVERVIEW OF THE FISCAL YEARManagement report at December 31, 2016 195REGISTRATION DOCUMENT 2016 - Natixis 10.8% compared to 2015, resulting from: Net revenues for Insurance businesses totaled €647 million, up interest rate environment; in private placements or the direct financing of the economy in the Caisse d’Epargne network. Likewise, investments made assets (+8%), supported in turn by the offering’s deployment (€230 million/+13%), propelled by considerable growth in partially offset lower bond yields by 26 bp in a historically low strong net revenue growth in Life Insurancea revenue growth (€171 million vs. €138 million) posted in after a subdued fiscal year in 2015 (-7% vs. 2014), the 24% neta 26.0%); drop in the loss ratio (-2.6 points on last year, standing at insurance was the result of a volume effect (sales +8%) and a
deterioration of the Automotive combined ratio and, to a lesser combined ratio was up slightly to 92.5% due to the May/June, together with the period of drought. The overall loss ratio (+2.6 points) of the extreme weather events in revenues (€225 million/+5%), largely due to the impact on the the moderate growth in Property & Casualty Insurance neta
for a legal dispute with the counterparty Wallonne du Logement rates. Restated for non-recurring items related to the provision €3,322 million, up 8.6% compared to 2015 at constant exchange In 2016 Corporate & Investment Banking’s net revenues totaled up 11% at constant exchange rates to €3,391 million. in Corporate & Investment Banking net revenues), revenue was in the third quarter of 2016 (€68.6 million recognized under Other compared to 2015.
and Cash Management stood at €1,219 million in 2016, up 18%
Revenues from Fixed Income, Forex, Credit, Commodities €494 million, a performance largely owed to Fixed Income revenues from Fixed Income and Forex were up 22% toa currency volatility generated by political uncertainties that led Forex activities were up 8% to €149 million, capitalising on the brisk business with major corporate clients in Asia and France. activities which gained 35% to €326 million on the back of clients to hedge their risks; spurred by the continued growth of securitization and loan revenues from Credit were up 28% on 2015 to €292 million,a by wide credit spreads across the board; the secondary credit segment which, in 2015, was penalized activities, and by the development of the Solutions business in
2015. Finance and Investment Banking were stable compared to At €1,592 million, the accumulated revenues from Global structured finance franchise continued to struggle in the In the origination activity, new business in the commodities portfolio revenues were down 5% year-on-year, still impacted by strong business levels, particularly in Asia-Pacific. Financing price in the year, while the aircraft financing franchise recorded unfavorable investment climate, despite the rebound in the oil with 4% revenue growth on an increase in drawn outstandings. renewal. Commodities Trade Finance remained sturdy in 2016 lower average portfolio margins due to progressive inventory of subsidiary Peter J. Solomon Company (PJSC) in the US, the integration, from the second quarter of 2016, of the revenues activities were up 16% in comparison to 2015, benefiting from Revenues generated by Investment Banking including M&A
Table meal vouchers to 16.5% (up 0.5 point). performance, taking its 2016 market share gain in Chèque de
service offering to the networks continued to expand. Assets under custody totaled €142 billion, down 17%. The Securities Services transactions decreased 21% in 2016.
Consumer Finance persistently challenging market conditions in France. Net revenues totaled €1,350 million in 2016, up 3% despite for mortgage loans granted to retail customers. Factoring net with a sharp increase in earned premiums mainly in refinancing Sureties and guarantees posted 18% growth in its net revenues, Specialized Financing revenues picked up by almost 6%.
under control. The provision for credit losses, down 2% to €57 million, is
2015. Corrected for non-recurring items linked to the transfer of Net revenues in 2016 reached €605.1 million, down 11% on
Compared to 2015, Natixis’ share of cash-at-risk commitments fell 3% to €98 million at December 31, 2016. At €51 million,
New loan activity was limited given the context of scarce and average basis, short-term outstandings fell 23%, medium- and costly liquidity. At constant exchange rates and on an annual fell 15% compared to 2015. Off-balance sheet commitments long-term outstandings increased 11%, and leasing outstandings the decrease in documentary credits.
o/w Issuer Spread 0 139 foreign currency o/w Exchange rate fluctuations of DSNs issued in
Corporate Center benefited from the cheaper financing of -€173 million in 2015 to -€27 million in 2015; in 2016 the products for hedging forex and fixed income risks.
business efficiency plans. fiscal years, in line with regulatory, digital transformation and Corporate Center were up €85 million between the two
The Single Resolution Fund contribution is covered by the €43 million in 2015. Excluding this item, the expenses of the Corporate Center and came to €114 million in 2016 versus
commercial position since the end of the fiscal year for which the financial statements have been audited. Excluding the items referred to in the aforementioned note, there have been no material changes in the Group’s financial and
Mainland France (in %) Branches (in %) Natixis S.A. (in %) France
recorded income from the unwinding of a transaction for transactions carried out by foreign branches. Foreign branches on securities held for sale under net revenues which were down €182 million, with a corresponding entry booked to gains/(losses)
projects, and +€76 million in regulatory taxes and costs (including mainly due to the rise in costs associated with regulatory the contribution to the Single Resolution Fund).
Net income after tax was +€1,621 million versus €1,134 million in 2015.
OF EARNINGS PROPOSED ALLOCATION 4.3.2 positive net income of €1,621,448,753.36 and, taking into Natixis’ financial statements at December 31, 2016 showed distributable profits of €2,285,975,268.05. account retained earnings of €664,526,514.69, showed
Shareholders’ Meeting on May 23, 2017 proposes: The third resolution that will be put before the General the allocation of €81,072,437.67 to the legal reserve;a a total dividend pay-out of €1,097,976,103.00;a earnings, i.e. €1,106,926,727.38.
Consolidated income statement 206 other comprehensive income Statement of net income/(loss) and
STATEMENTS AND NOTES PARENT COMPANY FINANCIAL 5.3 balance sheets Natixis comparative separate
FINANCIAL STATEMENTS 391 Opinion on the parent company financial I statements 391
204 REGISTRATION DOCUMENT 2016 - Natixis and notes Consolidated financial statements 5.1
Loans and receivables due from banks 6.5 58,783 71,462 o/w institutional operations
Customer loans and receivables 6.5 140,303 107,189 o/w institutional operations 758 682
Revaluation adjustments on portfolios hedged against interest rate risk 193 227
Net gains or losses on available-for-sale financial assets 7.4 216 609
Depreciation, amortization and impairment on property, plant and equipment and intangible assets (241) (220)
Pro forma shareholders’ equity at January 1, 2015 4 986 5 780 989 (11) 6 704 Capital increase 19 26
Shareholders’ equity as of December 31, 2015 after appropriation of income 5 005 5 864 1 213 (12) 6 173 fair value option through profit or loss (e) Initial application of IFRS 9 for financial liabilities under the
Total activity related to relations with shareholders 14 12 13 (1 084)
January 2016 as well as a partial repayment of -€2 million. (b) Other equity instruments issued: undated deeply subordinated notes. BPCE subscribed to a new €400 million undated deeply subordinated note in
(c) At December 31, 2015, the call options awarded to the minority shareholders of DNCA France and Natixis Partners were recorded under equity for by BPCE.
Changes in cash related to investment operations result from cash flows related to acquisitions and disposals of investments in
+/- Net charge to other provisions (including insurance companies’ technical reserves) 4,493 2,875
= Total non-cash items included in pre-tax profit and other adjustments 3,398 3,939
Cash flow of assets and liabilities held for sale (6) 15
- flows related to assets held to maturity (+€316 million); - flows related to investments in consolidated affiliates totaling -€154 million, corresponding to the acquisition of Peter J. Solomon Company
(-€69 million) and Euro Private Equity (-€1 million); of Snyder Capital Management (+€1 million) and Capital Growth Management (+€16 million), the partial exercise of the put option on DNCA (-€78 million), 40% of AEW Europe and Coinvest (-€42 million), +€19 million of cash acquired from the acquisition of Ciloger, the disposal - flows related to investments in non-consolidated affiliates for +€48 million.
- issue of a subordinated loan (+€300 million) subscribed for by BPCE; - maturity of two issuances of subordinated debt (-€956 million) subscribed for by BPCE; - interest paid on subordinated notes (-€150 million); - interest paid on deeply subordinated notes recorded as equity (-€78 million).
IFRIC interpretations applied IFRS standards and 1.1 by the Group 214 financial statements Presentation of the consolidated 1.2
Change in consolidation scope2.3 219 to minority shareholders Treatment of put options granted 2.4
Subsidiaries held for sale2.6 221 treatment of intra-group transactions Standardization of individual data and 2.7 companies Consolidation of insurance 2.8
Key events3.1 224 since January 1, 2016 Changes in consolidation scope 3.2
STRUCTURED ENTITIESNOTE 4 229 with which Natixis has dealings Scope of structured entities 4.1 structured entities Interests held in non-consolidated 4.2 as a sponsor in which Natixis is involved only Non-consolidated structured entities 4.3 entities Financial support to structured 4.4
Leases5.2 236 Credit risk on assets classified 5.3 as loans and receivables 237 and hedge accounting Derivative financial instruments 5.4
AND OTHER COMPREHENSIVE INCOME STATEMENT OF NET INCOME/(LOSS) NOTE 8 income directly in other comprehensive Change in gains and losses recorded 8.1 comprehensive income losses recognized in other Breakdown of tax on gains and 8.2
Credit risk and counterparty risk10.2 309 liquidity risk and structural foreign Market risk, overall interest rate risk, 10.3 exchange risk 312
OPERATIONS BY COUNTRYNOTE 16 335 at December 31, 2016 Entity operations by country 16.1 and headcount by country Net revenues, pre-tax profit, taxes 16.2
BASIS OF PRESENTATIONNOTE 1 by the Group IFRIC interpretations applied IFRS standards and 1.1
other comprehensive income (previously referred to as the sheet, income statement, statement of net income/(loss) and Natixis’ consolidated financial statements include a balance cash flow statement and notes to the financial statements. directly in equity), statement of changes in shareholders’ equity, statement of net income/(loss), gains and losses recorded incorporated for reference into this registration document. registration document filed with the AMF on March 12, 2015, are
Texts in force since January 1, 2016 independent of employee seniority (e.g. employee no impact on Natixis’ financial statements ; being allocated to the periods of service. This amendment had the period during which the service is rendered instead of may be recognized as a reduction in the cost of services for contributions calculated as a fixed percentage of salary), which statements. This amendment applies to contributions by mandatory application from January 1, 2016 to Natixis’ financial the European Commission on December 17, 2014, with “Defined benefit plans: employee contributions” adopted by The amendment to IAS 19 “Employee benefits” entitleda is to clarify and simplify accounting for contributions that are employees and third parties to defined benefit plans. The aim aimed at simplifying and clarifying international accounting amendment stems from the annual improvement process financial statements ; disclosures”. This amendment had no impact on Natixis’ “Property, plant and equipment” and IAS 24 “Related party combinations”, IFRS 8 “Operating segments”, IAS 16 IFRS 2 “Share-based payment”, IFRS 3 “Business standards. The following standards have been amended: December 17, 2014, with mandatory application from 2010-2012 cycle”, adopted by the European Commission on The amendment entitled “Annual improvements to IFRS,a
January 1, 2016 to Natixis’ financial statements. This to Natixis’ financial statements. This amendment clarifies how with mandatory prospective application from January 1, 2016 adopted by the European Commission on November 24, 2015, had no impact on Natixis’ financial statements ; applied in respect of the interest acquired. This amendment Combinations”. Accordingly, IFRS 3 guidelines should be that constitutes a business as defined under IFRS 3 “Business to account for the acquisition of an interest in a joint operation
Acceptable Methods of Depreciation and Amortization”, no impact on Natixis’ financial statements ; used for property, plant and equipment. This amendment had amortization of an asset is not appropriate and should not be of revenue-based methods to calculate the depreciation or financial statements. This amendment stipulates that the use with mandatory application from January 1, 2016 to Natixis’ adopted by the European Commission on December 2, 2015, and IAS 38 “Intangible Assets” entitled “Clarification of The amendments to IAS 16 “Property, Plant and Equipment”a 2012-2014 cycle”, adopted by the European Commission on
January 1, 2016 to Natixis’ financial statements. This December 15, 2015, with mandatory application from financial statements ; Reporting”. This amendment had no impact on Natixis’ IAS 19 “Employee Benefits” and IAS 34 “Interim Financial Operations”, IFRS 7 “Financial Instruments: Disclosures”, IFRS 5 “Non-current Assets Held for Sale and Discontinued standards. The following standards have been amended: aimed at simplifying and clarifying international accounting amendment stems from the annual improvement process
The amendment to IAS 27 “Separate Financial Statements”a financial statements. This amendment allows entities to use with mandatory application from January 1, 2016 to Natixis’ adopted by the European Commission on December 18, 2015, entitled “Equity Method in Separate Financial Statements”
shareholders’ equity at January 1, 2016, the fair value of the
Under “Revaluation of own credit risk on financial liabilities at comprehensive income for fiscal year 2016 (gross amount). €144.1 million in gains and losses on non-recyclable fair value through profit or loss”, Natixis recognized 2016 but which had not yet entered into force: standards adopted by the European Union at December 31, Natixis did not opt for early application of the following current standards and interpretations on revenue recognition.
Natixis began to analyze the impact of the application of this completed during the 2017 fiscal year.
new standard in the second half of 2016 and this work will be in advance to the financial statements as of January 1, 2016. has applied the option offered by the standard of applying them liabilities at fair value through profit or loss, for which Natixis conditions referred to above, provisions relating to financial applicable retroactively as of January 1, 2018, except under the the European Commission on November 22, 2016 and The new standard, IFRS 9 “Financial instruments” adopted bya
for equity instruments, fair value through profit or lossj becomes the default classification. Classification at fair value through shareholders’ equity remains possible as an option and under certain conditions; a single impairment model that is forward-looking and basedj not on incurred credit losses but on expected credit losses calculated across all portfolios recognized at amortized cost or at fair value through other comprehensive income (recyclable), as well as on finance lease receivables under IAS 17 and on contract assets under IFRS 15. This single impairment model will also apply to provisioning for financing commitments which fall outside the current standard’s scope (for their evaluation) and provisioning for financial guarantee commitments.
(see Note 5.3); Under the new framework, it will no longer be necessary to identify an event of default to record an impairment. IFRS 9 generally requires one-year expected losses to be recorded upon initial recognition, and subsequently, if the counterparty risk has deteriorated significantly since initial recognition, expected losses at maturity should be recognized. Thirdly, if credit quality deteriorates to the point that recoverability is threatened, a provision must be set aside for expected losses at maturity, which is the same as the requirement under IAS 39 for individual impairment of loans in default a new hedge accounting model that is more in line with riskj management activities.
Considering the major changes introduced by IFRS 9, Natixis is carrying out implementation work as part of the organization of a project involving all affected business lines and support functions.
Launched in H1 2015, IT analysis, design and development work continued during fiscal year 2016 and should be completed by the end of H1 2017. The second half of 2017 will
216 REGISTRATION DOCUMENT 2016 - Natixis value through profit or loss under IAS 39 will continue to be measured at fair value under IFRS 9.
Reclassifications identified at this stage include: for financing portfolios:j assets at fair value through profit or loss”, repurchase agreements designated under the fair valuej option through profit or loss under IAS 39 for the purpose of comprehensive management at fair value and subject to a trading business model will be recognized as “Financial under IAS 39 and subject to a trading business model under IFRS 9 will be recognized as “Financial assets at fair value through profit or loss”; repurchase agreements classified as loans and receivablesj expected to rule on whether such instruments should be considered as “basic” or not over the course of 2017; The vast majority of financing and lease receivables will continue to be classified and measures at amortized cost. Nevertheless, Natixis has certain fixed-rate loans with symmetric repayment clauses in its portfolio, a marketplace issue raised with the IASB Board in December, which is for security portfolios, reclassification should mainly relate to:j debt securities held in the liquidity reserve, which underj IAS 39 were recognized as available-for-sale assets and which, as they were held under a “hold to collect and sell” business model will be reclassified as financial assets at fair value through recyclable OCI, as “Financial assets at fair value through profit or loss”,
“Available-for-sale assets” or as “Financial assets under the fair value option through profit or loss”, which are considered under IFRS 9 as debt instruments with non-basic characteristics and as a result will be recognized mutual fund and FCPR units classified as equityj instruments under IAS 39 and recognized as
(non-recyclable for unrealized gains and losses, even in the event of disposal and recyclable for dividend), investments in associates recognized as available-for-salej assets under IAS 39 which, as allowed under IFRS 9, subject to an individualized option, will either be recognized as “Financial assets at fair value through profit or loss” or as “Financial assets at fair value through OCI”
Reclassification between financial assets at amortized cost and financial assets at fair value have a net impact on Natixis’
Quantified impact simulations carried out to date still include simplified options which cannot reasonably guarantee that estimates are sufficiently reliable to be published.
Natixis, like Groupe BPCE, has chosen the option offered by IFRS 9 of not applying its provisions relating to hedge accounting and of continuing to apply IAS 39 for hedge accounting transactions. Considering the limited number of
Pursuant to the option available under IFRS 9, Natixis does not intend to provide comparative information for its financial statements.
IFRS 16 “Leases” will replace IAS 17 “Leases” anda interpretations related to the accounting of these contracts. It will be applicable retrospectively as of January 1, 2019 according to specific phase-in conditions, subject to adoption by the European Union.
From the lessor’s perspective, the impact is expected to be limited, as the provisions will not change substantially in operating leases are not recorded in the balance sheet and only the related rental charge is recognized in the profit and loss statement.
depreciation charge for the right of use will be carried separately in income. In contrast, under existing IAS 17,
The estimated amount of the rights of use to be recorded in the balance sheet is currently being assessed. Natixis expects a major impact on Fixed assets and on financial liabilities in the balance sheet.
the relevance of each entity’s contribution to the consolidated financial statements of Natixis. The main thresholds applicable are as follows: Materiality is determined based on specific thresholds for each of the Group’s business lines and on a qualitative assessment of
Core businesses (in millions of euros) Total balance sheet Net revenues Net income
By way of exception to the thresholds described above, and in order to comply with Article 19 of (EU) Regulation No. 575/2013, the consolidation threshold is decreased to €10 million (total balance sheet and off-balance sheet commitments excluding derivatives) for entities that meet the definition of financial institutions or ancillary services undertakings.
The consolidation scope includes all material entities over which Natixis exercises exclusive control, joint control or significant influence. IFRS stipulate three types of control: exclusive control, joint control and significant influence. Determining the type of control that exists is not limited to identifying the voting rights held, but also involves an analysis of the economic and legal relations existing between the various entities being analyzed.
In determining whether it exercises control or significant influence, Natixis considers all current voting rights and any potential voting rights to the extent that they are currently exercisable or convertible and to the extent that they have influence over relevant activities of the entity. Potential voting rights arise from stock options on ordinary shares or from the conversion of bonds into new ordinary shares. However, potential voting rights are not taken into account when determining the percentage of ownership except if it is concluded that these voting rights provide access to economic
The scope of Natixis’ consolidated entities is provided in Note 17 of the financial statements.
If this is not the case, control is determined through the exercise of judgement and by taking into account all facts and circumstances, such as: the objectives, terms and circumstances surrounding thea creation of the entity; the nature of the entity’s relevant activities and thea decision-making processes concerning these activities; the scope of Natixis’ decision-making rights (from voting rightsa or contractual agreements) over the management of the entity’s relevant activities (i.e. activities having a significant impact on the entity’s returns); received by the other investors, etc); exposure to variability in the entity’s returns (the significance ofa the returns received by Natixis compared to the returns rights held by other parties (withdrawal rights, earlya redemption rights, rights on termination of the entity, etc.).
If, after reviewing these criteria, Natixis concludes that its decision-making rights over the management of the entity’s relevant activities enable it to influence the variable returns obtained, the entity in question will be subject to consolidation pursuant to IFRS 10.
Full consolidation involves replacing the book value of the investments by the full value of all the subsidiary’s assets and liabilities.
IFRS 11 distinguishes between two types of partnerships: joint-ventures and joint operations.
Joint-ventures are partnerships in which the parties exercisinga joint control over the company have rights to that company’s net assets. They are consolidated using the equity method. Consolidation by the equity method involves replacing the book
Significant influence over associates2.2.3 method in accordance with the same terms as those applicable to joint-ventures (see above), with the exception of Private Equity investments which Natixis classifies under assets designated at fair value through profit or loss, pursuant to the option available under IAS 28.
“Consolidated reserves”. In the event of a decrease in Natixis’ percentage of ownership in an entity without loss of control, the difference between the selling price and the book value of the share of interests sold is also recorded in “Consolidated reserves”.
In the event of an increase in Natixis’ percentage of ownership in an already-controlled entity, the difference between the acquisition cost of the additional interest share and the share acquired in the entity’s net assets at this date is recorded in securities from an entity previously recognized in available-for-sale (AFS) financial assets is shown as two transactions taking place upon the assumption of control: The assumption of control through successive purchases of sale financial assets, and; the disposal of securities previously classified as available-for-a the acquisition of all the securities held after the assumption ofa control.
In the event of the loss of control of a consolidated subsidiary,
Gains or losses on disposals of associates are presented among “Gains or losses on other assets” in the consolidated income statement.
The granting of put options to minority shareholders by Natixis has no impact on the determination of Natixis’ controlling interest in the subsidiary in question as long as the option is not
The granting of put options to minority shareholders which do not transfer to Natixis the risks and benefits associated with the underlying shares prior to exercise, result in the recognition of a liability for the estimated present value of the option’s exercise deducted in part from non-controlling interests in the amount of their book value, with the rest deducted from consolidated reserves (Group share). Subsequent changes in the liability related to adjustments to the exercise price of the put option are recorded in consolidated reserves (Group share).
Revised IFRS 3 (IFRS 3R) if they occur after January 1, 2010.a Indeed, IFRS 3R can be applied prospectively to business
Application of IFRS 3 to business combinations carried outa before January 1, 2010: minority interests are determined based on their share in thej identifiable net assets of the acquired entity, measured at their fair value at the purchase date (partial goodwill method), goodwill is the difference between the cost of the businessj combination and the share of the purchasing entity’s interest in the net fair value of identifiable assets, liabilities and contingent liabilities; Application of IFRS 3R to business combinations carried outa after January 1, 2010: for each business combination, Natixis chose to determinej non-controlling interests: either based on their share in the identifiable net assets ofj the acquired entity, measured at their fair value at the purchase date, and therefore without recognizing goodwill on the non-controlling interests (partial goodwill method), or based on their fair value at the purchase date, resulting inj the recognition of goodwill, both for the group share and the non-controlling interests (full goodwill method),
Positive goodwill is recorded on a separate line on the asset side
Goodwill related to an associate or joint-venture is included in the book value of “Investments in associates” under assets if it is positive; however, it cannot subsequently be amortized. It is tested for impairment, at least once per year (see Note 2.2.2.). If it is negative, it is immediately recognized in income under “Share in income of associates”.
method based on historic carrying amount to such transactions. According to this method, the difference between the price paid and Natixis’ share in the historic carrying amounts of the assets
Barring clarification of IFRS 3R on the accounting treatment of business combinations under joint control, Natixis applies a
The assets contributed by the CNCE to Natixis fall into two categories: shares in the corporate and investment banking and servicea subsidiaries; d’Epargne.
As the contributions were recognized at their net carrying amount under IFRS, no valuation adjustments have been recorded on the various assets and liabilities contributed. The difference between the acquisition cost and the Group’s interest in the net assets of the contributed entities does not constitute
In 2016, goodwill decreased by €6.6 million, excluding translation gains (€48.1 million).
Impairment tests the absence of goodwill for HCP, UGT CDS was not subject to an impairment test at December 31, 2016, as the disposal value of Ellisphère and IJCOF did not require an impairment to be recognized in the financial statements at December 31, 2016.
The following assumptions have been used: medium-term plans established in conjunction with the core business lines as part of Natixis’ strategic plan and Coface's "Fit to win" plan ; estimated future cash flows: forecast data drawn froma perpetual growth rate: 2.5% for all valuations;a
Financial Services (11.2% in 2015), 10.5% for Coface (unchanged from 2015) and 11% for Corporate & Investment Banking (10.9% in 2015).
discount rate: use of a specific rate for each CGU: 9.8% fora Investment Solutions (9.7% in 2015), 11.3% for Specialized following: The discount rates were determined by factoring in the for the Investment Solutions, Specialized Financial Servicesa and Corporate & Investment Banking CGUs, the risk-free interest rate of the Euro-Bund zone, averaged over a depth of 10 years, plus a risk premium calculated according to a sample of CGU-representative companies; determined according to a similar method as applied to the other CGUs, using samples of equivalent companies for insurance and factoring activities.
At June 30, 2016, tests carried out on the Coface CGU following an increase in the loss ratio level, as mentioned in the press release dated July 4, 2016 (an indication of a deterioration in the recoverable value), led to the impairment of goodwill on Coface in the amount of €75 million (€31 million group share).
At December 31, 2016, tests carried out did not result in the recognition of an additional impairment of goodwill on Coface. The net amount of goodwill after impairment amounted to
Similarly, the sensitivity of future business-plan cash flows to variations in key assumptions does not significantly affect the recoverable amount of CGUs: for Investment Solutions, a 10% decline in the “equity”a markets would have a negative impact limited to 3% on the recoverable value of the CGU and would not lead to the booking of an impairment loss; three-month EURIBOR applied to Factoring and recreating a “2008-2009” (drop in production and increased cost of risk) type crisis on Leasing would have an 8% negative impact on the recoverable amount of the CGU and would have no impact in terms of impairment; for Specialized Financial Services, a one point drop in thea for Corporate & Investment Banking, sensitivity to the dollar ora to the performance of the CAC would have a limited impact on net revenues and would not lead to any impairment being recorded; for Coface, the primary sensitivity vector is the loss ratio. Aa target level of 51% for this ratio (net of reinsurance) was applied to conduct the CGU’s impairment test at December 31, 2016. A one point increase in this loss ratio for all years as of 2017 compared with the trajectory used for the DCF, would have an impact on the average multi-criteria value and would lead to the recognition of an impairment of €40 million (€16.5 million group share) for the CGU. Furthermore, a valuation at the lowest price in 2016 would lead to a limited impact on the weighted average valuation of the various methods.
Moreover, at December 31, 2015, Snyder Capital Management, a fully-consolidated subsidiary of the Investment Solutions
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 sale”.
Natixis has also started discussions regarding the disposal of a share of its stake in Caspian, an entity belonging to the Investment Solutions division. At December 31, 2016, Natixis maintained the full consolidation of its subsidiaries and combined, in accordance with the provisions of IFRS 5 “Non-current Assets Held for Sale and Discontinued treated in accordance with IFRS 5, and the stake recorded under “Non-current assets held for sale”. In accordance with IFRS 5, securities were measured at their net book value, without taking into account the share of income generated after the classification as “Non-current assets held for sale”.
separate balance sheet line items: “Non-current assets held for sale” and “Liabilities associated with non-current assets held for sale”. IJCOF, consolidated using the equity method, was also
Finally, at December 31, 2016, Natixis had started discussion regarding the disposal of its subsidiaries Ellisphère and IJCOF, entities belonging to the Corporate Data Solution division. At December 31, 2016, Natixis maintained the full consolidation of Ellisphère and combined, in accordance with the provisions of IFRS 5 “Non-current Assets Held for Sale and Discontinued Operations”, the assets and liabilities of that entity under two
companies included in the scope of consolidation are restated if necessary to bring them into line with Natixis’ accounting policies
The impact on the balance sheet and income statement from internal transactions carried out between fully-consolidated entities is eliminated. The internal results of the entities consolidated using the equity method are eliminated to the extent of Natixis’ share of interest in the joint-venture or associate.
Consolidation of insurance companies2.8 statements of insurance subsidiaries: The following rules are applied to consolidate the financial income and expenses are classified by type in accordance witha banking accounting principles and not as a function of expense; balance sheet items are included under the corresponding linea items of the financial statements presented in the banking format.
for each insurance policy. They correspond to the portion of premium income remaining between the fiscal year-end and the premium due date.
In addition to this statistical estimation, specific reserves are recognized for major disasters based on the probability of default and of severity, estimated on a case-by-case basis.
profit-sharing reserve. The deferred profit-sharing reserve thus reflects the potential entitlement of policyholders to unrealized gains for financial investments or their portion of unrealized losses. Considering pay-out ratio in the 2017 budget and in accordance with the pay-out ratio recorded for 2016, the
The change in the deferred profit-sharing asset and liability is recognized: in equity when it relates to changes in the value ofa “available-for-sale assets”; fair value through profit or loss” or investment property held to cover insurance policies, as well as changes in provisions for prolonged declines in value in “available-for-sale assets”.
in income when it relates to changes in the value of assets “ata
In the case of deferred profit-sharing assets, a recoverability test is carried out. Deferred profit-sharing may be recovered depending on the intention and ability of companies to steer future compensation of contracts according to resources. These are sensitive to: changes in the equity and bond markets;a their contracts; changes in net inflows, which result from the commerciala appeal of policies and the propensity of policy holders to renew available reserves and own resources within companies to holda assets for a period compatible with changes in liabilities and consistent with market cycles.
contractual conditions applied to contracts and with the help of economic scenarios based on historic probability.
institutional operations. The bank’s assets and liabilities relative and its June 24, 2015 amendment, Natixis manages certain public procedures on behalf of the French State, mainly consisting of loans and gifts to foreign States conferred in the framework of Public Development Aid, non-concessional loans to foreign States, gifts to the “Fund for Private-Sector Aid and Studies” and the stabilization of interest rates for export credit guaranteed by Coface. The related transactions, some of which may be guaranteed by the State, are recognized separately in the financial statements. The State and other related creditors have a specific right over the assets and liabilities allocated to these
In accordance with Article 41 of the Amended Finance Act for 1997 (No. 97-1239 of December 29, 2007), amended by Article 121 of the Amended Finance Act for 2008 (No. 2008-1443 of December 30, 2008), of Article 5 of the Amended Finance Act for 2014 (No. 2014-1655 of December 29, 2014) and the agreement signed with the French State on September 21, 2011,
In 2016, this activity resulted in a margin of €7.5 million versus €12.6 million for 2015.
State. Accordingly, they are not included in the Group’s consolidated financial statements. Expenses relating to public procedures management are mainly incurred in delivering State guarantees, managing claims, and recovering debts covered by the guarantees.
At December 31, 2016, Coface sold its management of state export guarantees activity to BpiFrance. The teams and information systems dedicated to this activity were transferred from January 2, 2017.
The balance sheets of foreign subsidiaries and branches whose functional currency is not the euro are translated into euros at the closing exchange rate, except for share capital, reserves and capital allocations, which are translated at the historic exchange rate. The income statements of foreign subsidiaries and branches whose functional currency is not the euro are
In 2016, Natixis, via Natixis North America LLC, concluded the acquisition of the US advisory firm Peter J. Solomon Company
At December 31, 2016 Natixis held 51% of PJSC’s capital, and has the option to acquire the remaining shares by 2026 by exercising share purchase and sale promises.
Via Natixis North America LLC, Natixis exercises control over PJSC within the meaning of IFRS 10, and fully consolidates the entity.
This transaction generated goodwill of €72 million as at December 31, 2016, as determined using the partial goodwill
This transaction generated goodwill of €19.7 million, as determined using the partial goodwill method.
Acquisition of 75% of the share capital and voting rights ina Natixis Capital Partners Spain on January 29, 2016.
Creation of the Natixis Canada subsidiary during the thirda quarter of 2016.
Liquidation during the fourth quarter of 2016 of Natixis Fundinga UK LLP.
Consolidation of ABP Vie Mandat FCPI, a Private Equity fund,a in the second quarter of 2016, when ownership interest thresholds were crossed.
Consolidation of Ossiam Emerging Market Minimum Variance,a an asset management fund, in the fourth quarter of 2016, when ownership interest thresholds were crossed.
Deconsolidation of the asset management fund Natixis Credita Opportunities I/A EUR in the first quarter of 2016 as the percentage interest fell below eligible levels.
Deconsolidation of Harris Associates Investment Trust in thea fourth quarter of 2016.
In 2016, the percentage interest in DNCA Managementa increased from 8.2% to 42.5% following several buyouts of shares owned by the company’s managers. These transactions
In the second quarter of 2016, the interest in Euro Privatea Equity S.A. and Euro Private Equity France increased from 70% to 80% following the acquisition of an additional 10% of the share capital in accordance with the initial protocol agreement signed on the entity’s acquisition.
The ownership interest in Ossiam rose from 62% to 64%a following the purchase of 900 shares on June 13, 2016.
Natixis is subject to liquidity risk supervision, which requires it to establish a liquidity pool limiting the use of the assets
The share of encumbered assets that cannot be freely used is presented in section 3.8 of Chapter [3], “Risk Management and Capital Adequacy” of the registration document.
Assets representative of unit-linked policies from insurance activities measured under the fair value option through profit or loss are held for the benefit of policyholders.
Types of partnerships and associates 3.4.1 with which Natixis has dealings
Natixis does not have interests in joint-ventures having a material impact on Natixis’ consolidated financial statements.
Associates method at December 31, 2016 is the EDF Investment Group (EIG) entity. This entity met the definition of “joint-venture” at December 31, 2013, when IFRS 11 was initially adopted. Following a change in governance in the first half of 2014, this entity now falls under the definition of “associate”.
The percentage of ownership and voting rights at 12.31.15 are 6.11 % each.*
Further to the application of the equity method, there is no unrecognized share of losses over the period in joint-ventures or
A structured entity is an entity that has been designed so that who controls the entity, such as when any voting rights relate to voting or similar rights are not the dominant factor in deciding directed by means of contractual arrangements.
the administrative tasks only and the relevant activities are characteristics: Structured entities generally have one or more of the following restricted and narrowly-defined activities and objectives;a its activities without subordinated financial support; low or non-existent equity, i.e. insufficient to allow it to financea instruments that create concentrations of credit or other risks financing in the form of multiple contractually linkeda
(tranches); few or no employees.a with which Natixis has dealings Scope of structured entities 4.1
non-contractual relationship that exposes the entity to the risk of Interest in an entity is understood to mean a contractual or entity. Interests in other entities may be evidenced by, among variable returns associated with the performance of another
external structured entities for which Natixis acts simply as ana investor. This mainly includes: investments in external mutual funds not managed byj virtually all the shares ; Natixis, with the exception of those in which Natixis owns
The structured entities with which Natixis has dealings can be of structured financing, asset management funds, securitization categorized into four groups: entities created within the context vehicles and entities established for other types of transactions.
In accordance with IFRS 10, consolidation analyses for structured to in paragraph 2.2.1. entities are performed taking into account all the criteria referred
(involving air, sea or land transportation), real estate, corporate In order to meet financing requirements for movable assets required to create structured entities around a specific financial acquisitions (LBO financing) or commodities, Natixis may be transaction on behalf of a customer.
default event, acting either alone or via the bank syndicate agent. Natixis has the power to have the assets sold in the event of a never benefit from the income from the sale beyond the amount This right equates to a protective right because Natixis would does not have power over such entities’ relevant activities. of the balance due under the loan agreement. As such, Natixis rights to the assets once the guarantees have been exercised. structured entity’s income, by leading to the disposal of the
impact; criteria are met cumulatively and if the funds have a material other Natixis entities and business lines may hold minoritya interests, intended mainly to meet cash investment needs.
A fund is subject to consolidation: non-revocable by a limited number of persons and if Natixis if Natixis acts as principal, i.e. if Natixis is a manager and isa controls the fund; or holds a large enough material interest to conclude that it if Natixis is not a manager but owns virtually all the shares.a 2. Guaranteed mutual funds: funds. Once the structuring is established initially, it is fixed for mutual funds. These packaged funds are passively-managed to negative variable returns thanks to the fund’s strict the fund’s entire lifetime. Natixis has relatively limited exposure risk control system put in place upon structuring and monitored management by the NAM management company and a robust the risk of guarantee activation.
Natixis acts as principal (e.g. Natixis acts as an irrevocable manager and holds a material interest).
The relevant activities of these funds are those involving the are managed on behalf of investors by the management investment and divestment of real estate assets. These funds
A fund is subject to consolidation if Natixis acts as principal (e.g. Equity funds are the same as those applied to real estate funds.
Securitization vehicles of structured entities used to segregate assets or derivatives Securitization transactions are generally constituted in the form representative of credit risks.
The purpose of such entities is to diversify and tranche the by investors seeking a certain level of compensation based on underlying credit risks, most often with a view to their acquisition the level of risk assumed.
suitability between the level of risk associated with each tranche rated by the rating agencies, which continually monitor the sold and the rating attributed.
The following types of securitization are encountered at Natixis and involve structured entities: transactions through which Natixis (or a subsidiary) transfersa vehicle in cash or synthetic form; credit risk related to one of its asset portfolios to a dedicated company in a dedicated structure (generally a special purpose some cases be subscribed to directly by investors, or entity (SPE) or a conduit). The SPE issues shares that may in purchases of its shares by issuing short-maturity “notes” subscribed to by a multi-seller conduit which refinances the
Natixis is not significantly exposed to the variability of returns. Natixis entity holds a material interest in these funds. Therefore,
Extérieur: out by Compagnie Française d’Assurance pour le Commerce of insuring receivables securitized by a third party for investors The Coface sub-group’s credit enhancement operations consist amount. A distinction must be made between the policies taken via a structured entity for losses in excess of a predefined losses in excess of a deductible termed the Aggregate First under the German policies, the credit insurer is only liable fora of first losses that are not covered by the credit insurer. The Loss. This first loss tranche contractually defines the amount to “Natural disaster” type coverage. An analysis of these coverage provided by Coface Kredit via these policies is similar structures shows that the amount of the first loss is criteria for powers and significant exposure to returns are not met, these funds are not subject to consolidation; average losses expected over the year. Furthermore, the systematically higher than the expected loss, namely the the credit insurer, which is only a protection seller. Coface activity of the structured entity is not conducted on behalf of
the French policies taken out by Coface rarely includea small portion of the receivables held by the SPE. Furthermore, non-covered “first losses”. However, the policies only cover a that borne by the other stakeholders (other insurers, sponsors, the quality of portfolio risk covered by Coface, compared to risks to Coface. In addition, Coface does not play any role in sellers) is not such as to significantly transfer the structure’s determining the activity of the structured entity, nor in its
As well as the breakdown of Natixis’ interests in these entities, entities. This information is reported on an aggregate basis, in the table below also provides information on the size of the level of the interest, are grouped together by business. which all entities that Natixis has an interest in, regardless of the
The size of structured entities equates: liabilities; for Securitization, to the total issues under balance sheeta for Asset Management, to the fund’s net assets;a for Structured Financing, to the amount of remaininga outstandings); outstanding loans due to banks in the pool (drawn for other activities, to the total assets.a
They are only included on the “Guarantees received” line and Natixis to cover its exposure related to structured entities.
MAXIMUM EXPOSURE TO RISK OF LOSS 8,911 20,860 6,507 4,369 40,647 as a sponsor in which Natixis is involved only Non-consolidated structured entities 4.3
includes structuring fees as well as capital gains and losses on parties and in which Natixis holds no interest. Reported income loans to securitization vehicles, created by Natixis with third a US activity consisting of originating and selling real estatea
Net gains or losses on instruments at fair value through profit or loss - 14 14
Book value of the assets transferred from the entity over the year* 1,797 - 1,797 not available. The book value of assets transferred to these vehicles corresponds to assets sold by Natixis during 2016, where the information on the sold amounts by all investors is *
(excluding derivatives) Financial assets and liabilities 5.1 are classified in one of the four categories of financial assets set out below: sheet classification. In accordance with IAS 39, financial assets Their subsequent accounting treatment depends on their balance at fair value, corresponding to their acquisition price at that date. At initial recognition, financial assets and liabilities are measured
These are instruments held for trading purposes or designated at accordance with the fair value option amendment to IAS 39 fair value through profit or loss on initial recognition in
European Union on November 15, 2005). (published by the IASB in June 2005 and adopted by the
for which there is evidence of a recent actual pattern of three categories: Securities valued under this option fall into one of the following separable embedded derivative features; hybrid instruments that contain one or more significant anda managed on a fair value basis; instruments belonging to a group of financial assets valued anda instruments that present an inconsistency in accountinga treatment with a related financial liability.
The market value is reviewed at each subsequent reporting date of financial instruments”. Any changes including accrued interest in line with the principles outlined in Note 5.6 “Fair value fair value through profit or loss” in the consolidated income are recorded in “Net gains or losses on financial instruments at
fixed or determinable payments that are not quoted on an active Loans and receivables are non-derivative financial assets with transaction costs include fees and any expenses directly discount and transaction revenues. In the case of loans, attributable to setting up the loan.
On initial recognition, loans and receivables are measured at fair value (i.e. face value) plus transaction costs and less any
discount corresponding to the difference between the face value When loans are granted at below-market interest rates, a financial situation Specific case of loans restructured due to the debtor’s under which Natixis grants a concession to borrowers facing or “Restructured” loans correspond to loans with modified terms likely to face financial difficulties. They are a combination of a experienced by the borrower.
Financial difficulties are determined by observing a number of criteria such as amounts past due for over 30 days or an at risk following conditions are met: An outstanding is no longer considered as restructured once the restructuring; a period of two years has past since the date of thea reporting date; the outstanding is recognized as a performing loan at thea no defaults on payment have occurred in the past 30 days;a been made over a period of at least one year. regular and material repayments (principle and interest) havea substantially different asset (such as an equity instrument) or For restructured loans either fully or partially converted into a giving rise to a change of counterparty: the new instruments are booked at fair value;a credit losses; received in exchange is entered as a loss under provision for loan (or portion of the loan) and the fair value of the assets the difference between the book value of the derecognizeda any previous provision created on the loan is adjusted on thea non-derecognized portion of the loan and is reversed in full if basis of the discounting of the new recoverable flows from the the loan is converted into new assets.
Available-for-sale financial assets assets that are not classified as loans and receivables, Available-for-sale financial assets include non-derivative financial through profit or loss. Assets in this category include Natixis’ held-to-maturity investments or financial assets at fair value investments in non-consolidated companies. Securities classified the reporting date, they are remeasured at their market value in this category are initially recognized at their market value. At determined based on the market price for listed instruments.
recognized in the income statement under “Interest and similar each reporting date. Where there is objective evidence that an Available-for-sale financial assets are tested for impairment at recognized directly in equity, the cumulative impairment loss is asset is impaired and a decline in the fair value has already been
If the fair value of an available-for-sale financial asset increases linked to an event occurring after the impairment loss was during a subsequent period, and this increase can be objectively charged to income: reversals of impairment losses on equity instruments area recorded in equity rather than in the income statement; loss.
recorded in the amount of the previously recorded impairment reversals of impairment losses on debt instruments area
commitment received or given respectively is recognized For repurchase and reverse repurchase transactions, a financing Reverse transactions are also recognized on the settlement date.
to the present value of minimum lease payments due from the any non-guaranteed residual value accruing to the lessor. lessee discounted at the rate of return implicit in the lease, plus
during the set-up of the leasing contract. These two items on a regular basis. If there has been a reduction in the estimated IAS 17 requires that non-guaranteed residual value be reviewed the lease term is revised (revised depreciation schedule) and any non-guaranteed residual value, the allocation of revenues over immediately.
the lease term, under “Income or expenses from other recognized in the income statement on a straight-line basis over
Assets provided under operating leases are shown in the balance the case of equipment leases, and investment property in the sheet under property, plant and equipment or intangible assets in
Transactions where Natixis is a lessee entry under debt on the liabilities side of the balance sheet. present value of minimum lease payments, with a corresponding
At the inception of the lease term, leased property, plant and reported under “Property, plant and equipment” where material. in the business and held under finance leases is restated and For consolidation purposes, property, plant and equipment used equipment is recognized at the lower of fair value and the of the same nature.
of impairment is found to exist for a given group of assets, a assets with similar risk characteristics. Where objective evidence no objective evidence of impairment are included in a group of Financial assets measured at amortized cost for which there is risk has yet affected one or more individual loans.
collective impairment loss is recorded regardless of whether the other similar counterparties.
and industry risk and geographic risk for corporate, sovereign and credit rating for loans to individual and small business customers, Financial assets are grouped according to three characteristics: customers, pre-disputed loans are recognized as impaired. In the first risk group comprising individual and small business and monitoring of business sectors and countries. Such evidence objective evidence of impairment is based on in-depth analysis For the other two risk classes (industry and geographic risk), factors specific to the industry or country concerned. typically arises from a combination of micro or macroeconomic
shock, and the fundamentals of the economy (e.g. GDP per information from specialist independent agencies is also is itself measured by one or more indicators. Qualitative performance and economic outlook. In turn, each of these inputs capita, external debt), government efficiency, economic
For geographic risk, the analysis takes into account the sovereign country’s political situation, its ability to withstand a severe rating, which itself includes a number of inputs such as the
arising on each exposure within the Group, in accordance with impairment loss is calculated based on the expected losses Where a group of financial assets is found to be impaired, the
probability of default over the remaining term of the majority of the results of this calculation to the Natixis group’s actual risks. Where necessary, Natixis calls on the opinion of experts to adjust 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
income statement under “Net gains or losses on financial After initial recognition, changes in fair value are recorded in the instruments at fair value through profit or loss”. The interest
response to changes in an underlying (interest rate, share price, causes some or all of the cash flows of that contract to change in An embedded derivative is a component of a host contract which those of the host contract.
included in assets and liabilities at fair value through profit or purposes Derivative financial instruments used for hedging investment in a foreign operation.
offset changes in the value of the hedged item in a range of
Cash flow hedges are mainly used to hedge Natixis’ overall transactions.
variable-rate loans and fixed-rate lender swaps, by maturity fixed-rate borrower swaps by maturity bracket, and (ii) cumulative index and currency): (i) cumulative variable-rate borrowings and amount of the hedging derivatives.
Accounting for cash flow hedges losses on financial instruments at fair value through profit or taken to income at each reporting date under “Net gains or recognized directly in equity, while the ineffective portion is The effective portion of the gain or loss on the hedge is those that would be made if they were not hedged). loss”. No specific entries are made to hedged items (other than hedge effectiveness is outside the 80%-125% range, the If a hedging relationship is discontinued, for example when directly in equity under “Unrealized or deferred gains or losses” to the effective portion of the hedge that has been carried value through profit or loss, while the cumulative amount relating derivative must be reclassified in financial instruments at fair income.
(“Revaluation adjustments on portfolios hedged against interest instruments are reported on a specific line of the balance sheet derivatives. Changes in the fair value of portfolios of hedged value hedges is similar to that applied to fair value hedging rate risk”), with a corresponding entry in income.
rates to protect itself against the impact of unfavorable changes Natixis uses plain vanilla interest rate swaps lending at fixed vanilla swaps borrowing at fixed rates are used to protect it from in interest rates on its fixed-rate borrowings and issues. Plain
Documentation of fair value hedges financial characteristics of the hedged item and the hedging Prospective hedge effectiveness tests involve verifying that the notional amount, fixed rate, and payment frequency. instrument are virtually identical: value date, maturity date, whether the hedge was effective at different reporting dates. Retrospective hedge effectiveness tests are used to verify
At each such date, changes in the fair value of hedging changes in the fair value of the hypothetical assets and liabilities instruments (excluding accrued interest) are compared with items in a range of 80%-125%.
Symmetrically, changes in the fair value of the hedged items are income.
Accordingly, only the ineffective portion of the hedge affects interest are recorded in income under “Net gains or losses on Changes in the fair value of hedging derivatives excluding accrued and similar income” or “Interest and similar expenses”. interest relating to these instruments is recorded under “Interest financial instruments at fair value through profit or loss”. Accrued hedged item is fixed at its amount on the date the hedge is through profit or loss, while the unrealized gain or loss on the instrument is reclassified in financial instruments at fair value When a hedging relationship is discontinued, the hedging discontinued and taken to income through to maturity.
Hedging of a net investment in a foreign operation portion of changes in fair value is recognized in income. when the entity is consolidated (see Note 2.10). The ineffective changes in fair value offset translation adjustments recognized denominated in foreign currency) is recognized in equity. These sold.
transferred to income when all or part of the net investment is Unrealized gains or losses recognized directly in equity are fair value of hedging instruments (monetary derivative or liability arising on net foreign currency investments (consolidated Net investment hedges are used to hedge the exchange risk way as cash flow hedges. The effective portion of changes in the subsidiary or investment). They are accounted for in the same
consolidation purposes, Natixis regularly verifies that they have that the transactions meet the hedge accounting criteria for accounting exist between Natixis and its subsidiaries. To ensure
Credit derivatives used by Natixis are not considered as financial profit or loss. They are classified as assets or liabilities at fair value through guarantees but as derivatives falling within the scope of IAS 39.
upon whether the asset or liability in question is classified as a foreign currency transactions entered into by Natixis depends The method used to account for assets and liabilities relating to prevailing at the reporting date. All resulting foreign exchange are translated into the functional currency at the spot rate Monetary assets and liabilities denominated in foreign currencies gains and losses are recognized in income, except in two cases: calculated based on the amortized cost of available-for-sale only the portion of the foreign exchange gains and lossesa financial assets is recognized in income, with the remainder equity”; being recognized in “Gains and losses recognized directly in designated as cash flow hedges or as part of a net investment foreign exchange gains and losses arising on monetary itemsa recognized directly in equity”.
Non-monetary items denominated in foreign currencies and foreign currency are recognized as income when the asset is non-monetary item (e.g., equity instruments) denominated in a rate at the end of the reporting period. Gains or losses on a measured at fair value are translated at the prevailing exchange hedged item in a fair value hedge, in which case foreign financial assets”, unless the financial asset is designated as a and in equity when the asset is classified as “Available-for-sale classified as “Financial assets at fair value through profit or loss”
General principles a standard arm’s length transaction between market participants would be received to sell an asset or paid to transfer a liability in The fair value of an instrument (asset or liability) is the price that at the measurement date.
received to assume the liability. the transaction price, i.e. the price paid to acquire the asset or The fair value of an instrument on initial recognition is normally and liabilities must be based primarily on observable market data, In subsequent measurements, the estimated fair value of assets transaction.
instruments or non-observable data when no pricing or market if the market for a financial instrument is not active, fair value isa valuation uncertainties, such as market, credit and liquidity risks Additional valuation adjustments incorporate factors related to
Adjustment (FVA) aiming to account for – through assumptions – exit transaction on the main market. Similarly, a Funding Value in order to account, in particular, for the costs resulting from an derivatives is also taken into account.
uncollateralized derivatives or imperfectly collateralized costs associated with the funding of future cash flows of
position or of selling at a price proposed by another market requested by a market player in respect of the risk of acquiring a ask price corresponding with the selling costs. It reflects the cost This adjustment is the difference between the bid price and the
for the same inputs when evaluating the financial instrument’s probability that market participants might adopt different values
value. the fact that Natixis cannot recover all the transactions’ market related to a counterparty’s default risk and aims to account for counterparty’s credit quality. It corresponds to the expected loss This adjustment applies to valuations that do not account for the
Adjustment – DVA) and funding valuation adjustment (FVA) Value adjustment for internal credit risk (Debit Valuation
(FVA) is taken into account in the DVA calculation. CDS spread over the period. The funding valuation adjustment loss, from the counterparty’s perspective, on liability valuations The DVA is symmetrical to the CVA and represents the expected comparable entities, taking into account the liquidity of Natixis’ adjustment is made by observing credit spreads on a sample of Natixis’ credit quality on the valuation of these instruments. The of derivative financial instruments. It reflects the impact of
construction and of the inputs incorporating these models. system consists of the independent validation of model For fair values determined using valuation models, the control
It involves verifying that the model is consistent with and which it applies, based on: coverage, measurement and control of risk) and the product to relevant to its intended function (price setting, valuation, the theoretical approach: the financial and mathematicala foundations of the model; generate risk and earnings data; the application of the model: the pricing models used toa the stability of the model under parametric stress;a numerical methods used; an assessment of the stability and consistency of thea the independent re-implementation of the model as part ofa algorithm validation; parameters; the comparative analysis of the calibration of modela in order to ensure the adequacy of the model and the pay-off; an assessment of the modeling risk, particularly thea comparative analysis of the model with other valuation models, the implementation of an adjustment in respect of modelinga calibration; risk to account for potential deficiencies in the model or its integration of the model in information systems.a
The methods for determining fair value are monitored by a comprise representatives of the Risk Department, the Finance Committee and the Model Validation Committee, which Committee, the Valuation Committee, the Impairment number of bodies including the Observability and Inputs
be demonstrated, and shares of UCITS whose NAV is data Level 2: Fair value measurement using observable market b)
through to maturity. This mainly includes: observable (prices) or indirectly observable (price derivatives) a valuation technique incorporating inputs that are either directly mentioned in Level 1 fair value and instruments measured using Level 2 fair value comprises instruments other than those
For these instruments, the extent to which models are used and
volatility layers of options, market consensus data or active inputs derived from observable data such as yield curves, implied measured using a recognized model on the basis of market instruments are described below by type of product: The main models for determining the fair value of these
Equity Products: complex products are valued using:a market data ;j flows attached to the product at maturity ; the “pay-off”, i.e. a calculation of positive or negative cashj a model of changes in the underlying asset.j or hybrid (e.g. fixed income/equity) products. The products traded may be mono-underlying, multi-underlying
The Tskew model is a valuation model for mono and standard option prices. distribution of the underlying asset or assets at maturity to multi-underlying options. Its principle is to calibrate the
specific characteristics which justify the choice of model. The Fixed-income products: fixed-income products generally havea valuation of the pay-off will take into account all underlying risk
The Hull & White models are simple pricing models for plain exercised at certain dates set at the beginning of the contract). Bermudan-type cancellation option (i.e. one that may be Products valued using these models generally contain a vanilla fixed-income products and can be calibrated easily.
characteristics which justify the choice of model. Currency products: currency products generally have specifica factors.
their characteristics are identical to the characteristics of thea input risk.
The margin generated when these instruments begin trading is market data Level 3: Fair value measurement using non-observable c)
mainly includes: where they are liable to materially impact the valuation. This models and/or models based on non-observable market data, Level 3 comprises instruments measured using unrecognized observable inputs; unlisted shares whose fair value could not be determined usinga fluctuations and whose fair value determination necessarily Valuation (IPEV) standards, but which are sensitive to market participants, in accordance with International Private Equity measured at fair value with models commonly used by market involves a judgement call; Private Equity securities not listed on an active market,a held by the insurance business line; structured or representative of private investment portfolios,a classified in Level 2; hybrid fixed-income and currency instruments that are nota instruments with a deferred day-one margin;a shares of UCITS for which the fund has not published a recenta liquidity observed for such shares; available market prices (NAV, etc.) in respect of the low or any other constraint calling for a significant adjustment to NAV at the valuation date, or for which there is a lock-up period
“Loans and receivables” pursuant to the amendment to IAS 39 the wake of the financial crisis, which were not reclassified as which data are no longer available due to a freeze in trading in instruments carried at fair value on the balance sheet and fora valuation model is used based on the only available relevant there is a significant drop in trading in a given market, a data.
Main types of products the instrument class comprising Level 3 within used Valuation techniques data Main unobservable relevant Level 3 products unobservable among Data ranges instruments Credit derivative CDOs, Index tranche and recovery modeling defaults given correlation effects Technique for estimating the CDO portfolio underlying specific to the Correlation curve 5% – 95% (a)
collateral TRS Repos and general collateral equities a basket of general TRS and repos indexed to underlying general collateral Synthetic modeling of the or with a standard hybrid and actuarial valuation for TRS basket (with an estimated repo)
TRS autocall Equity/Fixed Income model for baskets general collateral Repo curve for -1.11%/+0.33%
Long-term options valuation model Hybrid fixed income/forex levels long-term volatility rates as well as rates and interest foreign exchange Correlation between
(equity-FX, parameters Correlation fixed income-FX) equity-fixed income, - EQ/FX = 24%
Main types of products comprising Level 3 within the instrument class
Main unobservable data relevant Level 3 products unobservable among Data ranges derivatives income/forex Hybrid fixed and credit callable range Long-dated interest rate
classification, is thus fully hedged. As all transactions including this kind of data are back-to-back derivatives; the correlation input, which justifies the level-3 (a)
particularly Finance, Risk and Business Lines. The Committee ad hoc Committees of representatives of various functions, Transfers between fair value levels are reviewed and validated by considers various indicators of market activity and liquidity as
Instruments affected by the financial crisis and CDPCs) CDS contracted with credit enhancers (monoline insurers a)
value assets resulting from securitization transactions for which The section below describes the underlying principles used to measured using valuation models: no market prices could be identified and which were therefore
Trust Preferred Securities (Trups) CDOs financial ratios. For other sectors, default rates are estimated deduces the default probability of banks according to their default rates determined according to a statistical approach that The valuation model is based on projected future cash flows and considering the current ratings of assets.
underlying PFI bonds and the use of a uniform collection rate. CDS, is based on an approach calibrated to the market prices of The valuation model used, for Private Finance Initiative (PFI)
on the balance sheet Instruments not carried at fair value including loans. The valuation methods used to determine the hierarchy, of all financial instruments carried at amortized cost, statements of the fair value, as well as the associated fair value IFRS 13 requires disclosure in the notes to the financial described below.
If there is a quoted price that meets the criteria of IFRS 13, the accounts.
for financial assets with a term of one year or less and current considered to be their book value. This is also generally the case The fair value of loans with an initial term of less than one year is
GAPC assets Guarantee mechanism for former 5.7 mechanisms: portion of its equity allocated to segregated assets and to protect guarantee mechanism, Natixis was able to free up a significant vehicle with retroactive effect at July 1, 2009. With this protect a portion of the portfolios of the former GAPC hive-off
June 30, 2009. This protective arrangement is based on two itself against the risk of loss from these portfolios subsequent to
plant and equipment on the balance sheet, consists of property Investment property, shown separately from other property, held with the aim of generating leasing revenues rather than for property held by insurance companies which is carried at fair permitted by the options available under IFRS 1, except for and investment property were maintained at historical cost as On the first-time adoption of IFRS, property, plant and equipment value through profit or loss.
Expenses incurred during the development phase are capitalized asset will generate future economic benefits, the availability of complete the asset and use or sell it, the probability that the out in IAS 38: these include technical feasibility, the intention to if they meet the criteria for recognition as intangible assets set expenses.
the research phase are not capitalized but are recognized in attributable to the asset’s development. Costs incurred during resources, and the ability to reliably measure the expenditure
IFRS 4. at fair value through profit or loss in accordance with IAS 40 and Investment property held by insurance companies is measured accumulated depreciation, amortization and impairment losses. After initial recognition, assets are measured at cost less
For buildings used in the business and investment property, the following components and depreciation periods have been identified: Component Depreciation period
“Depreciation, amortization and impairment of property, plant consolidated income statement under the heading The charge to write-down or amortization is recognized in the
future cash flows expected to be derived from continuing use of less selling costs and value in use, which is the present value of asset belongs. The recoverable amount is the higher of fair value otherwise the recoverable amount of the CGU to which the is recognized in income under “Depreciation, amortization and the asset or CGU is lower than its book value, an impairment loss the asset or cash-generating unit. If the recoverable amount of amount of the individual asset is estimated wherever possible; reporting date. When any such evidence exists, the recoverable considers whether there is any evidence of impairment at each case of intangible assets with an indefinite useful life. Natixis evidence that they may be impaired and at least annually in the Assets are tested for impairment whenever there is objective
“Expenses from other activities”. property are recorded within “Income from other activities” or
Gains or losses on disposals of assets used in the business are recognized in the income statement under “Gains or losses on other assets”, while gains and losses on disposals of investment
“Gains or losses on property, plant and equipment and intangible assets” on the consolidated income statement.
Non-current assets held for sale 5.9 and discontinued operations sale, and it must be highly likely that the sale will happen within twelve months.
sheet. liabilities are also identified on a separate line of the balance are reclassified. An impairment loss is recognized if their book value is higher than their fair value less costs to sell. Associated
The relevant assets are classified in the “Non-current assets held for sale” line item, and cease to be amortized as soon as they
“Available-for-sale financial assets” and “Financial assets and liabilities under the fair value option through profit or loss” were reclassified as “Non-current assets held for sale”. In accordance with IFRS 5, reclassified securities are valued according to the nonetheless subject to approval by the ACPR. Securities representing insurance commitments initially recognized as provisions of IAS 39 and the technical provision of insurance commitments is discounted.
sale, and: A discontinued operation is a clearly identifiable component of an entity that either has been disposed of, or is classified as held for represents a separate major line of business or geographica area of operations; is part of a single coordinated plan to dispose of a separatea major line of business or geographic area of operations; or is a subsidiary acquired exclusively with a view to resale.a the post-tax gain or loss resulting from operations discontinued before disposal and from the sale or valuation of assets or disposal groups held for sale at fair value less costs to sell.
These include financial liabilities held for trading (including derivative financial instruments) and those designated as at fair value on initial recognition pursuant to the option available under IAS 39. The conditions for applying IAS 39 were described in the amendment to the standard published in June 2005.
under “Gains and losses recognized directly in other comprehensive income” in accordance with IFRS 9, for which
In accordance with IAS 39, Natixis derecognizes all or part of a financial asset if the contractual rights to the cash flows from the asset is derecognized. If the Group retains control of the asset, it remains on the balance sheet to the extent of Natixis’ “continuing involvement”.
If Natixis has neither transferred the contractual rights nor substantially retained all the risks and rewards, Natixis then determines whether it has transferred control of the asset. If control is considered to have been relinquished, the financial contractual conditions such as: Continuing involvement is evidenced by the existence of an option or obligation to repurchase the assets transferred;a collection of financial compensation linked to the performancea of the asset transferred.
the category in which they were initially classified. In the assignee’s accounts, the amount receivable from the assignor continues to appear in the balance sheet.
At subsequent reporting dates, the securities continue to be valued by the assignor in accordance with the rules applicable to
Transactions on derivatives and repurchase agreements carried out with clearing houses, whose operating principles meet the two criteria mentioned above, are offset in the balance sheet
Provisions and contingent liabilities5.14 a present obligation arising from past events, the settlement of which is expected to result in an outflow of resources embodying economic benefits that can be reliably measured.
A provision is a liability of uncertain timing or amount. A liability is
France: the early retirement plan was presented to employeea representative bodies on December 13, 2016 and relates to 64 positions.
“other long-term employee benefits”, including long-servicea awards and deferred compensation payable in cash under
In accordance with the principles of recognition set out in IAS 19, Natixis has identified the following types of post-employment benefit: defined contribution plans, under which an entity has noa obligation to pay a specified benefit amount; constructive obligation to pay a specified benefit amount. defined benefit plans, under which Natixis has a legal ora
A provision is set aside for defined benefit plans based on an actuarial assessment of the benefit obligation using the projected unit credit method. This method draws on demographic and financial assumptions reviewed annually
Revaluation adjustments for actuarial debt related to changes in actuarial assumptions and experience adjustments (impact
The annual payroll costs recognized in respect of defined-benefit plans consist of: the costs of services rendered, representing rights vested bya beneficiaries over the period; past service costs, arising from possible plan changes ora curtailments as well as the effects of possible plan settlements; the net interest cost reflecting the impact of unwinding thea discount on the net obligation.
method as that applied to post-employment benefits under defined benefit plans, except that liability revaluation items are recognized directly as an expense.
the change over the fiscal year is presented in Note 6.17, “Changes in subordinated debt over the period”, and in however, if an instrument is considered equity:a its compensation is treated as a dividend and thereforej affects equity, as do the taxes related to this compensation ; if issued in foreign currencies, it is fixed at its historical valuej resulting from converting it to euros on the date it was initially classified under equity; The share of third party investors in the profits of the mutual funds is recorded in “Net gains or losses on financial instruments at fair value through profit or loss” in the consolidated income statement; mutual funds included in Natixis’ consolidation scope comprises a financial liability recorded on the balance sheet under “Financial liabilities at fair value through profit or loss”.
the units held by third party investors in dated funds, which area fully consolidated by Natixis, entitling the unit-holders to the repayment of a share of the fund’s net assets upon its
loan interest rate is that which would have been granted to a strategy consisting of a five-year forward sale of the locked-up shares and purchasing the same number of shares in cash, by financing the purchase with a loan ultimately repayable at the end of the five years with the income from the forward sale. The
The lock-up valuation method is based on the cost of a two-step
No. 604/2014 of March 4, 2014, Natixis has set up a deferred variable compensation plan applicable to the so-called “regulated” categories of staff and to a certain number of employees not covered by the provisions of the Decree of
Under IFRS 2 “Share-based payment”, employee bonus share awards give rise to an expense representing the fair value of the goods or services received at the grant date. This payroll account the presence conditions.
Under IFRS 2, the services acquired and the liability incurred are measured at fair value. Until the liability is settled, debt is
an employee retention and performance plan settled in shares would trigger the derecognition of the debt recorded for the initial plan indexed to the value of the Natixis share and the recognition of a debt equivalent to the services provided for the
All treasury shares held by Natixis are deducted from equity regardless of the purpose for which they are acquired/held. Any gains or losses recognized in the parent company financial statements in respect of the sale, measurement or impairment
Treasury share derivatives are recognized differently depending on how they are unwound: another financial asset, and if this trade is the only possible unwinding method. In such case, the instruments are not subsequently revalued; as equity instruments, if they are unwound by trading a fixeda number of treasury shares for a fixed amount of cash or a net treasury shares settlement. In such case, the fair value changes in the instruments are recorded in the income statement.
Fees and commissions received5.19 method of accounting for the financial instruments to which the service relates.
Fees and commissions that form an integral part of the effective yield on an instrument, for example loan set-up fees, are
The tax expense for the year comprises: tax payable by French companies at the rate of 34.43% for thea 2016 fiscal year and of 38% for the 2015 fiscal year, and by foreign companies and branches at the local rate. In 2015, the 10.7% passed in December 2013 (French Finance Act for 2014) affecting the 2013, 2014 and 2015 fiscal years; French rate of 38% included the additional contribution of deferred taxes arising from temporary differences between thea book value of assets and liabilities and their tax basis, which are calculated using the balance sheet liability method.
each tax entity in accordance with local tax rules and based on tax rates that have been enacted or substantively enacted at the date the temporary difference will reverse. Deferred taxes are not discounted.
Deferred tax assets and liabilities are calculated at the level of
payroll costs. this tax credit is presented as a deduction from the related
The Employment Competitiveness Tax Credit (CICE) was considered to fall under IAS 19 – Employee Benefits. As a result,
Specific case of guarantees issued to mutual funds Natixis guarantees the capital and/or returns on shares in certain mutual funds. These guarantees are executed solely in the event that the net asset value of each of the shares in the fund at maturity is lower than the guaranteed net asset value. Under IAS 39, these guarantees represent derivative instruments.
the fair value of the guarantee, guarantees granted to mutual funds are treated as financial guarantees.
IAS 39, for guarantees received in respect of financiala instruments; IAS 37, for guarantees received in respect of liabilities fallinga within the scope of IAS 37.
The specific treatment applied to the guarantee granted to Natixis by BPCE regarding former GAPC hive-off assets is disclosed in Note 5.7.
portion of these commitments is classified in “Loans and exceeds the associated revenues.
All financing commitments granted by Natixis give rise to loans granted at market rates at the grant date. The drawn-down
Contributions to banking resolution 5.22 mechanisms 2015. Contributions made to the deposit and resolution guarantee fund may be paid in the form of partner or association as “Taxes other than on income” among other operating expenses (see Note 7.6).
Directive 2014/59/EU (BRRD – Bank Recovery and Resolution Directive) which establishes the framework for the recovery and resolution of banks and investment firms and European regulation 806/2014 (SRM regulation) established the introduction of a resolution fund as of 2015. In 2016, this fund this fund when implementing resolution procedures.
became a Single Resolution Fund (SRF) between the member States participating in the Single Supervisory Mechanism (SSM). The SRF is a resolution financing mechanism available to the resolution authority (Single Resolution Board). The latter may use directive on ex-ante contributions to financing mechanisms for the resolution, the Single Resolution Board set the level of contributions to the Single Resolution Fund for 2016. Contributions paid to the fund may be made in cash security deposits recognized as assets on the balance sheet (15% in cash security deposits) and in contributions recorded in income as “Taxes other than on income” (see Note 7.6).
assumptions to be made in advance (in particular, projected expected future cash flows and discount rates).
value in use, it is determined by discounting annual free cash flows to infinity (see Note 2.5). Use of the discounted cash flow method involves: the book value of each CGU (including goodwill) with its recoverable amount. Where the recoverable amount equals the
Fair value of loans and receivables recognized at amortized cost (excluding loans reclassified institution during the period for groups of loans with similar risk characteristics. Loans have been classified into groups with similar risk characteristics based on statistical research enabling
Corporate bonds for discount rates). When applied to long-term rates and rates of return are based on observed market rates at the end of each calculation period (e.g. the yield curve on AA
The participation rate used to calculate deferred profit-sharing is determined based on payout ratios projected over the term of the medium-term plan and in line with the actual pay-out ratio for assets and generate unrealized losses. This recoverability test relies on projected future cash flows based on different economic assumptions about historical redemptions and inflows (see Note 2.8).
To this end, Natixis prepares tax business plans over rolling periods as from the last tax reporting period, and based on growth assumptions used in the medium-term plans for the business lines.
Earnings/(loss) per share5.24 instruments into ordinary shares. Stock options issued are taken into account in calculating diluted earnings/(loss) per share. The conversion of these instruments does not impact net income/(loss) used to calculate diluted earnings/(loss) per share.
Net income/(loss) attributable to shareholders (in millions of euros) (a) 1,296 1,288
Average number of shares used to calculate diluted earnings/(loss) per share 3,134,298,222 3,123,184,861
The difference between net earnings/(loss) attributable to the Group and net income/(loss) attributable to shareholders corresponds to the interest generated on deeply (a) subordinated notes and on preference shares, i.e. -€78 million at December 31, 2016 and -€56 million at December 31, 2015.
Financial assets and liabilities 6.1 designated at fair value through profit or loss
(see Note 8.1) for which this component of IFRS 9 is applied early.
These assets and liabilities are measured at fair value at the reporting date, with changes in value, including interest, recognized in income under “Net gains or losses on financial instruments at fair value through profit or loss”, except for
Derivative instruments not eligible for hedge accounting (b) 6.1.3 69,754 70,546
Securities at fair value through profit or loss 6.1.1.2 61,633 64,460
256 REGISTRATION DOCUMENT 2016 - Natixis option through profit or loss and credit risk Loans and receivables measured under the fair value 6.1.1.1
Conditions for classification of financial assets under 6.1.1.2 the fair value option through profit or loss when this choice provides more pertinent information or when these instruments incorporate one or more significant and separable embedded derivatives.
Financial assets are designated at fair value through profit or loss
where a portfolio of financial assets and liabilities is manageda and recognized at fair value as part of a documented policy of indexed to a basket of equities whose risks are managed globally and dynamically, as well as financial assets representative of unit-linked policies from insurance activities and, to a lesser extent, assets with embedded derivatives for which the principle profit or loss consist primarily of long-term structured repos of separation was not adopted.
Managed on a fair value basis Embedded derivatives Book value Accounting mismatch
Other liabilities 349 765 or loss Instruments designated at fair value through profit
Balances relating to the early repayment of Natixis issues recognized in shareholders’ equity over the 2016 fiscal year totaled +€12.4 million.(b)
Book value due at maturity contractually Amount Difference between book value and amount contractually due at maturity Book value
Other liabilities comprise a portfolio of structured repos managed according to a dynamic approach, as well as vanilla repos with short-term maturities.(a)
own credit spreads for financial liabilities designated at fair value (see Note 1.1).
Financial liabilities are designated at fair value through profit or when the instruments incorporate one or more significant and separable embedded derivatives (see Note 5.1).
The use of the fair value option is considered to provide more pertinent information in two situations: derivative; automatically offset changes in the fair value of the hedging where there is an accounting mismatch between economicallya linked assets and liabilities. In particular, the fair value option is used when hedge accounting conditions are not met: in such cases, changes in the fair value of the hedged item where a portfolio of financial assets and liabilities is manageda and recognized at fair value as part of a documented policy of asset and liability management.
neutralized, except for those allocated to own credit risk, by those of the derivative instruments hedging them.
Natixis has contracted Total Return Swaps (TRS) with BPCE. These instruments are used to hedge changes in the fair value recognized since July 1, 2009 on instruments (a) previously linked to the former GAPC hive-off carried at fair value through profit or loss at December 31, 2016 and are included on this line for an amount of €24.7 million in assets (versus €32.6 million at December 31, 2015) and €2.4 million in liabilities (versus €34.9 million at December 31, 2015).
Hedging derivatives6.2 retrospectively, changes in the value of the hedging instrument 80%-125%. offset changes in the value of the hedged item in a range of
Hedging relationships are presumed to be effective when, the hedge. These criteria include formal documentation that the criteria set out in IAS 39 at inception and throughout the term of items is both prospectively and retrospectively effective. hedging relationship between the derivatives and the hedged
Financial Products LLC according to the carve-out provisions of comprehensive hedging of the interest-rate risk of Natixis
criterion or the simultaneous settlement of assets and liabilities by master arrangements under which the net settlement cannot be demonstrated or for which the right to set-off cannot
shown in the “Financial instruments” column are recognized at Guarantees received and given in the form of the securities
After taking into account collateral received in the form of securities.*
Gross amount liabilities of financial financial offset assets amount of Gross recognized liabilities sheet in the balance of financial Net amount profit or loss Financial liabilities at fair value through
Net amount liabilities of financial instruments Financial given in cash Guarantees Net exposure of financial Net amount balance in the sheet recognized liabilities
The table below shows available-for-sale financial assets by type variable-income securities). It discloses the gross value before of instrument (loans outstanding, fixed-income securities, objective evidence of impairment and a reduction in fair value end of each reporting period (i.e. every quarter). When there is impairment loss is removed from equity and taken to income. has previously been recognized in equity, the aggregate
“Held-to-maturity financial assets” are exclusively recognized by fully-consolidated insurance companies at December 31, 2016 and
These instruments continue to be disclosed in the consolidated balance sheet in accordance with their original classification.
transfers the contractual rights to collect cash flow from the financial asset or retains the contractual rights to collect cash
A financial asset is partially or wholly transferred if Natixis to that asset.
Natixis has continuing involvement in a fully derecognized transferred financial asset if, according to the terms of the
They are kept on the asset side of the consolidated balance
transferred assets Book value of Book value of associated liabilities Fair value of transferred assets associated liabilities Fair value of
At December 31, 2016, €349 million (€329 million at December 31, 2015) in bonds self-underwritten by Natixis and eliminated on consolidation were lent or sold under repurchase agreements.
Natixis maintains continuing involvement include transfers of assets to a deconsolidated securitization vehicle in which Natixis
The fully derecognized transferred financial assets for which vehicle maintained by Natixis.
At December 31, 2016 (as at December 31, 2015), there is no material impact from continuing involvement in a securitization and able to be sold or reused as security Financial assets received as security 6.7.3 guarantee.
The fair value of financial assets received as security that Natixis resold or reused as security was €128 billion at December 31, 2016, versus €134 billion at December 31, 2015.
“Technical” delinquencies, meaning those related to incidents occurring in the collection process and unrelated to the missed payment.
The age of each amount in arrears is determined according to the
The data reported in 2015 includes late payments identified by the factoring entities amounting to €1,642 million. These data refer to all outstandings rather than the unpaid amount alone.
Book value Level 1 Level 2 Level 3 Book value Level 1 Level 2 Level 3 trading Financial assets held for securities o/w fixed-income securities o/w variable-income value) accounting (positive fair eligible for hedge Derivative instruments not derivatives o/w interest rate for trading Other financial assets held profit or loss fair value option through Financial assets under the profit or loss value option through Securities under the fair securities o/w fixed-income securities o/w variable-income through profit or loss under the fair value option Other financial assets
Gains and losses loss - Trading Financial assets at fair value through profit or
Fixed-income securities held for trading 343 1 5 accounting (positive fair value) Derivative instruments not eligible for hedge o/w interest rate derivatives 863 (239) (154)
value option through profit or loss Variable-income securities under the fair option through profit or loss Other financial assets under the fair value
TOTAL FINANCIAL ASSETS RECORDED AT FAIR VALUE 10 950 268 (412) (41)
The main impacts counted in income statement are mentioned in note 7.3(1)
I.e. the standard deviation of consensus prices used to measure the inputs.(1)
Derivative instruments not eligible for hedge accounting (positive fair value) 663 39 o/w interest rate derivatives 154 33 o/w currency derivatives (a) 527 2 o/w credit derivatives o/w equity derivatives (b) (17) 4 o/w other
Other financial assets under the fair value option through profit or loss 20 22
Other available-for-sale securities 77 49 103 540 o/w variable-income securities 8 23 55
For Helvetix derivatives, the contribution of valuation adjustments became very significant with respect to the fair value of these instruments taken as a whole. Natixis (a) therefore transferred them to Level 3 of the fair value hierarchy in 2015.
proprietary data. TRS and repos indexed to a basket of equities were transferred to Level 3 of the fair value hierarchy in 2015 subsequent to a change in the valuation model based on (b)
Loans and receivables due from banks 58,783 59,281 0 50,744 8,537
The change in deferred taxes on items whose variation is recorded directly in reserves is presented in Note 8.2 “Breakdown of tax on gains and losses recognized in other comprehensive income”. At December 31, 2016, this amount was -€36 million compared to -€12 million at December 31, 2015. Other changes in deferred taxes for the period are booked to profit or loss.
Including the outstanding non-amortized amount of the margin not recognized in income on the transaction date (“Day One Profit”) of €74 million at December 31, 2016 (a) versus €82 million at December 31, 2015 (see Note 6.9.2).
Restatement of the deferred margin on financial instruments6.9.2 period, and changes during the period. inputs or market models not commonly used classified as Level 3 in the fair value hierarchy: at the start of the period, at the end of the The table below shows the deferred day-one margin on instruments priced using valuation techniques drawing on non-observable
The fair value of investment property, for which the valuation techniques are described in Notes 5.6 and 5.8, is classified in Level 3 of the fair value amount on average at December 31, 2016 compared to 90.0% at December 31, 2015 (see Note 2.8). Insurance company investments. Changes in fair value give rise to the symmetrical recognition of a deferred profit-sharing reserve equal to 87% of the related base (a)
Life insurance loss reserves cover the capital payable upon the occurrence of a loss. In credit insurance and non-life insurance, they include an estimate of the total cost of losses reported but to policyholders.
The difference mainly corresponds to technical reserves representing life insurance contracts related to the reinsurance treaties signed as part of the partnership with (a) CNP for €11,600 million at December 31, 2016.
December 31, 2015 (see Note 2.8). At December 31, 2016, net deferred profit-sharing liabilities amounted to €3,108 million, compared with deferred profit-sharing liabilities of €2,805 million at (b)
Of which €122 million in reversals used following disposals of receivables made during the year (vs. €139 million at December 31, 2015).(a)
Of which: a €53 million change (€77 million change in 2015) in actuarial assumptions for employee benefits recorded directly in non-recyclable equity.(c)
Of which €30 million in reversals not used following disposals of receivables made during the year (vs. €42 million at December 31, 2014).(b)
Of which: a €77 million change in actuarial assumptions in 2015 for employee benefits recorded directly in non-recyclable equity.(c)
Impairment and amortization of property, plant and equipment and intangible assets (0) 0 0
(c) Of which €42 million of provisions for restructuring costs at December 31, 2016 in respect of the Coface plan (see Note 5.14).
Of which €475 million in provisions at December 31, 2016 in respect of Madoff net outstandings.(a)
Financial liabilities held for trading 88,787 22,868 65,089 830 94,153 23,213 69,380 1,560
Derivative instruments not eligible value) for hedge accounting (negative fair trading Other financial liabilities held for
Financial liabilities under the fair value option through profit or loss 57,439 1,170 55,498 771 64,837 87 64,038 712
Securities under the fair value option through profit or loss through profit or loss Other financial liabilities under the fair value option
Derivative instruments not eligible for hedge accounting (negative fair value) 93 594 o/w interest rate derivatives 35 569 o/w currency derivatives (a) 12 o/w credit derivatives o/w equity derivatives (b) 46 26
Financial liabilities under the fair value option through profit or loss (b) 765 4
Securities under the fair value option through profit or loss 33
The table below presents the balances of financial assets and liabilities by contractual maturity in the balance sheet. Variable-income assets, derivative financial instruments for trading and hedging purposes as well as revaluations of components hedged or unhedged by financial assets and liabilities are considered as having an “undated” maturity. Likewise, delinquencies and non-performing loans are deemed to have an “undated” maturity.
Less than 1 month months 3 months to 1 year 5 years 1 year to 5 years
Loans and receivables due from banks 36 3 9 3 7 0 59
Less than 1 month months 3 months to 1 year 1 year to 5 years
Less than 1 month months 3 months to 1 year 1 year to 5 years 5 years
Financial assets and liabilities valued at amortized cost give rise interest rate method.
The method of accounting for fees and commissions received in ultimate purpose of the services rendered and the method of respect of services or financial instruments depends on the accounting for the financial instruments to which the service business provider commissions, are recognized in income as relates. Fees and commissions for one-off services, such as ongoing services such as guarantee commissions or soon as the service is provided. Fees and commissions for management fees are recognized over the service period.
Fiduciary or similar fees and commissions are those that result in pension schemes or other institutions. In particular, trust assets being held or invested on behalf of individual customers, performed on behalf of third parties.
transactions cover Asset Management and custody activities yield on an instrument, such as fees on financing commitments Fees and commissions that form an integral part of the effective adjustment to the effective interest rate over the estimated term of given or loan set-up fees, are recognized and amortized as an interest income rather than fee and commission income. the applicable loan. These fees and commissions are recognized as
“Available-for-sale financial assets” is recognized in expenses pro rata to the write-back of the provisions and the discounts respect of the guarantee given against the former GAPC hive-off assets classified as “Loans and receivables” and recognized in respect of reclassifications during the period.
Hedging derivatives include changes in the fair value of derivatives classified as fair value hedges, excluding interest, plus the symmetrical revaluation of the items hedged. They also include the “ineffective” portion of cash flow hedges.
Net gains/(losses) on financial assets and liabilities excluding hedging derivatives 2,115 1,969
- Impairments taken against the fair value of CDS entered into with monoline insurers: a decrease of €18.6 million in cumulative impairments was recognized (income)
- The Funding Valuation Adjustment (FVA) used on uncollateralized derivatives or imperfectly collateralized derivatives is also recognized on this line in the amount of equity items treated as capital.
Income and expenses from other operations mainly comprise income and expenses relating to finance leases and investment income, paid benefits and claims, and changes in insurance liabilities. This item also includes income and expenses relating to insurance and reinsurance activities, in particular life insurance premium
Other insurance income and expenses 7.5.2 19,943 (5,061) 14,882 6,127 (4,105) 2,022
Gains or losses on disposals 15 (43) (28) 15 (43) (27)
Other related income and expenses 170 (159) 11 236 (189) 47
instruments at fair value through profit or loss”. of clients carried out by the entity Contango, which economically hedges its exposure to price changes using futures carried under “Gains or losses on financial
Of which -€69 million at December 31, 2016 related to the provision for a legal dispute with SWL (Société Wallone du Logement).(b)
Operating expenses mainly comprise payroll costs, including wages and salaries net of rebilled expenses, social security expenses and with IFRS 2. The details of these expenses are provided in Note 11. employee benefits such as pensions (defined benefit plans), and expenses relating to share-based payment recognized in accordance
Of which +€7.6 million in respect of the Competitiveness and Employment Tax Credit at December 31, 2016 versus +€7.9 million at December 31, 2015.(a)
Of which -€19 million at December 31, 2016 related to the Coface restructuring plan.(b)
portion of compensation paid in cash and indexed to the Natixis share price and an additional expense of -€5 million (versus -€1 million at December 31, 2015) for the The amount recognized for 2016 in respect of the retention and performance plans includes an expense of -€59 million (versus -€67 million at December 31, 2015) for the (c)
€96.7 million (gross amount). Disposals mainly relate to the sale of operating property by the Specialized Financial Services division for €30 million (gross amount) and by the Corporate center for (b)
income of associates = Consolidated net income/(loss) before tax, goodwill amortization and share in
+ Losses for the period not recognized for deferred tax purposes (22) (19)
included the impacts of the SBT and SRF, both of which are non-deductible expenses. The main permanent differences consist of capital gains taxed under the long-term scheme and tax-exempt earnings of foreign subsidiaries. Permanent differences also (a)
the 2009 to 2014 fiscal years. A reassessment notice regarding the refund of withholding tax in respect of dividends and covering
NGAM P1 was extended to 2012 to 2014. NGAM P1 received an audit proposal on December 23, 2016.
The net impact of these procedures were entirely recognized at December 31, 2016 and resulted in an expense of -€23.6 million.
The Taxation of Dividends and CCI redemption proceeds froma previous fiscal years: until 2013, Natixis held a 20% stake in the Banque Populaire banks and the Caisses d’Epargne, in the the French General Tax Code, which limits the application of the investment income exemption scheme to equity securities the CCIs and all net proceeds from the 2013 buyback were subject to corporate tax in application of Article 145, 6 b ter of
in the financial statements at December 31, 2016 for previous fiscal years in the amount of €326.0 million plus interest on amended it in the October 5 Official Bulletin. On this basis, which makes a tax gain almost certain, the latter was recorded n°397316 dated October 5, 2016) and the Finance Minister
Reimbursement of flat-rate tax credits related to aerospacea companies that were members of the tax group of which financing transactions intended to eliminate double taxation for €13 million: during the audit the tax authorities granted certain amount of flat-rate tax credits directly offset against corporate tax payable from 66.67% to 100%.
Breakdown of tax on gains and losses recognized in other comprehensive income8.2
TOTAL CHANGES IN UNREALIZED OR DEFERRED GAINS OR LOSSES 247 (37) 210 483 (10) 473
In 2012, in light of regulatory constraints and the persistently uncertain economic environment, Natixis forged ahead with its customer relations at the core of development and, as a result, the division previously named Wholesale Banking is now known transformation policy. In particular, in terms of Corporate and Investment Banking, its organization was adapted to place as “Corporate & Investment Banking”.
The entity is organized around three core businesses: Corporate and Investment Banking, which advisesa financing solutions as well as access to the capital markets. Its duties are threefold: to strengthen the bank’s customer businesses, institutional investors, insurance companies, banks and public sector entities and offers them a diversified line of optimize the rotation of the bank’s balance sheet via active orientation, to serve as a meeting place between issuers and investors and to roll out the “Originate to Distribute” model to management of the loan book; Insurance, Private Banking and the Private Equity for third party clients business line that resulted from the spin-off of Natixis
2014-2017 Strategic Plan, “New Frontier”. This organizational structure was confirmed as part of Natixis’
(proprietary funds and share of sponsored funds) and Natixis Algérie are managed as financial holdings due to their lower
Non-strategic activities (primarily service activities) stemming from Coface have been grouped under Corporate Data
business from an operational perspective. In accordance with IFRS 8 “Operating Segments”, this is the segmentation used by
Corporate & Investment Banking9.1 financing solutions as well as access to the capital markets.
institutional investors, insurance companies, banks and public sector entities and offers them a diversified line of customized
In 2016, its organizational structure was adapted to better model. This led to the creation of two new business lines: support its customers, by strengthening strategic dialog, and to accelerate the implementation of the “Originate to Distribute”
Finance and the developing of flow offering part of “Global transaction banking”.
Populaire networks, as well as Natixis customers: businesses primarily serving the Caisse d’Epargne and Banque
Sureties & Financial Guarantees: this business line isa operated by Compagnie Européenne de Garanties et Cautions
Securities Services: this business line offers back and middlea depositary control) for the BPCE networks and external clients; office services for retail securities custody (account administration, back office outsourcing, office services,
Investment Solutions9.3 cover all asset categories and are carried out mainly in the US and France. These activities are performed by autonomous
Asset Management: asset management activities area combined within Natixis Global Asset Management. They company that ensures the organization’s consistency by entities (specialized asset management companies and specialized distribution units) coordinated by a holding performance, while retaining the option of developing their own institutional clientele and drawing on the business line’s overseeing its strategic direction. These companies are thus able to focus on their core business and on achieving robust such as Loomis Sayles, Harris Associates, AEW, DNCA and Natixis Asset Management.
other support functions, based on appropriate economic models. A number of them have forged a strong reputation,
The management companies continue to handle distribution via the shareholder retail banking networks in France; demand from all customer segments. Coverage of the various
Insurance: Natixis Assurances is a holding company fora various operating insurance subsidiaries. In March 2014, in accordance with the plan to develop the bancassurance model, diversified, customized solutions are designed for retail and small business customers, farmers, companies and of individual and collective life insurance, personal protection insurance and property and casualty insurance solutions. These associations; Natixis Assurances acquired PPI and casualty insurance subsidiary BPCE Assurances. It offers a comprehensive range management activities in France and Luxembourg, financial planning solutions, and services for independent wealth
Natixis. Private Banking offers advisory services, financial player on the French market. The bank mainly develops its customer base from the clientele of the Caisses d’Epargne and planning and expertise, and fund management solutions; from the merger between Banque Privée Saint Dominique (BPSD) and La Compagnie 1818, has taken its place as a major management advisors (IWMAs). Banque Privée 1818, created
NCI’s asset management companies were transferred to Private Equity for third party clients: at the start of 2014,a
Coface's main activities are credit insurance, international factoring solutions, business information and ratings (credit and the French State. Most of Coface’s revenue is derived from its international operations.
Since 2011, Coface has refocused on its core business lines (credit insurance and factoring in Germany and Poland).
The Corporate Center operates alongside the operating divisions. As such, it recognizes the central funding mechanisms and
Union at December 31, 2016. This information is determined based on the accounting principles applied in accordance with IFRS as adopted by the European
Including €1,519 million excluding the net revenues of the XVA desks, which breaks down into €1,035 million in net revenues for FICT and €484 million for Equities.(a)
Held-to-maturity financial assets 0 2,064 0 3 0 0 2,066 through profit or loss Financial liabilities at fair value reserves Insurance companies’ technical
Assets at fair value through profit or loss 170,069 16,278 2,649 2,470 174 191,639
Capital Adequacy”. presented in section 3.3 of Chapter 3, “Risk Management and The information on capital adequacy required under IAS 1 is
The information on risk management required under IFRS 7, with the exception of the disclosures given below, is presented in
(excluding variable-income securities) Financial assets at fair value through profit or loss variable-income securities) Available-for-sale financial assets (excluding
Loans and receivables due from banks 58,783 71 (71)* 58,783 71,462
Management and Capital Adequacy”) involves the following key credit risk (presented in Section 3.4 of Chapter 3, “Risk exclusion of equity-accounted insurance companies in thea prudential scope; exclusion of exposure classified in the trading scope;a inclusion of all netting agreements on market transactions;a exposure to the risk of default and a position in risk dilution; restatement of factoring positions to take into accounta and guarantee commitments.
311REGISTRATION DOCUMENT 2016 - Natixis exposures relative to these entities. for insurance companies accounted for by the equity method in the prudential accounting scope are therefore excluded, as are The amounts of the guarantees shown are those used under Basel prudential regulations to reduce capital requirements. Guarantees
The disclosures on the management of market risk, overall interest rate risk, liquidity risk and structural foreign exchange risk required under IFRS 7 are presented in sections 3.6 and 3.8 of Chapter 3, “Risk Management and Capital Adequacy”.
Benefits”. In accordance with this standard, short-term benefits are expensed in the period in which the employees render the the definition of short-term benefits under IAS 19R “Employee
carried out at the reporting date, these expenses have been estimated using best available estimates of inputs at the
Coface has had share-based compensation plans in place since 2014. As the impact of these plans is not material for Natixis at outlined in the paragraphs that follow. the consolidated level, the characteristics of these plans are not
Year of plan Grant date Initial number of units granted * Acquisition dates acquired by beneficiaries
Natixis share, this plan has been reclassified as an employee retention and performance plan paid in Natixis bonus shares (see below). The resulting impact of this change recognized in profit or loss for the period totaled €5,3 million.
Expense for 2015 (in millions of euros)Plans settled in shares to the Natixis share
Retention and performance plans settled in cash expense is based on an actuarial estimate of the probability of these conditions being met. The expense is recognized over the vesting period. The amount recognized in respect of fiscal year 2016 was: performance criteria. In terms of accounting treatment, they are recorded under “Other long-term employee benefits”. The estimated Deferred retention and performance bonuses paid in cash are awarded to some staff. These bonuses are subject to presence and
into a separate entity and has no obligation to pay further Under defined-contribution plans, Natixis pays fixed contributions employees are operated in France. They include the mandatory pension scheme and the national schemes AGIRC and ARRCO.
316 REGISTRATION DOCUMENT 2016 - Natixis employee benefits Post-employment defined-benefit plans and other long-term pay a specified level of benefits.
post-employment benefits for which Natixis has committed to Post-employment defined-benefit plans include all or in part, by assets comprised mainly of outsourced insurance Liabilities in respect of these awarded benefits are hedged, in full regulations.
insurers are subject to French prudential standards and funds, which, for the most part, generally consist of bonds. The liquidated. Plan assets are invested in the insurers’ general The insurers carry the longevity risk once the annuities are contracts managed by French insurers specializing in retirement.
portion of the benefit liabilities that they cover. The insurers also manage the asset/liability strategy for the
as “Accruals and other assets”. commitments are recorded in the asset side of the balance sheet intended to finance all or part of Natixis’ defined-benefit plan Insurance contracts taken up with a related party to Natixis and provided the related services.
Fair value of separate assets (a) (167) (38) 0 0 (205) 0 (39) 0 0 (39)
Effect of ceiling on assets 6 0 0 0 6 13 0 0 0 13 balance sheet Net amount recognized in other entities within the Natixis group of consolidated companies which were transferred to hedge the post-employment benefits of a few categories of employees. Separate asset components are for the most part segregated in the balance sheets of Natixis insurance subsidiaries (ABP Life Insurance), hedging the benefit liabilities of (a)
317REGISTRATION DOCUMENT 2016 - Natixis b) Changes in recognized amounts on the balance sheet (Changes in actuarial liabilities)
Supplementary awards End-of-career period Fair value of assets at start of respect of plan liquidation o/w amounts paid out in non-recyclable equity Changes recognized directly in
Total revaluation adjustments at end of period 266 24 291 207 5 211
Revaluation adjustments over the period (21) (0) (21) (21) 0 (21)
321REGISTRATION DOCUMENT 2016 - Natixis f) Analysis of expenses for the period The annual payroll costs recognized in respect of defined-benefit plans consist of: beneficiaries over the period; the costs of services rendered, representing rights vested bya past service costs, arising from possible plan changes ora curtailments as well as the effects of possible plan settlements; the net interest cost reflecting the impact of unwinding thea discount on the net obligation.
Rate of increase in healthcare costs 4,10% 4,40% 5,00% 4,20% 4,40% 5,00%
Rate of increase in salaries (incl. Inflation) 2,96% 2,29% 2,48% 3,25% 3,07% 2,58% 2,70% 3,46%
Post-employment defined-benefit plans Other long-term employee benefits pension benefits and other
- 1% change in rate of increase in healthcare costs (4.44)%
+ 1% change in rate of increase in healthcare costs 7,25%
At December 31, 2016, like in 2015, Natixis recorded an immaterial expense for the discount given upon subscription to employee stock options under the Company employee savings plan, measured taking into account the five-year lock-up period applicable to the issued securities.
Natixis adapts the management of its capital structure in line with changes in economic conditions and in the risk profile of its operations. Its objectives, policies and procedures remained unchanged in 2016.
compared with €1,213 million at December 31, 2015, an increase of €398 million corresponding to issues and redemptions made during 2016.
This authorization is based on the eighteenth resolution of the General Shareholders’ Meeting of May 24, 2016. It authorizes Natixis to acquire, at a maximum price of €10 per share, a number of shares not exceeding 10% of the shares making up the capital of Natixis.
IAS 37, “Provisions, contingent liabilities and contingent assets”. outside the scope of IAS 39 are recognized in accordance with of IAS 39: The following financing commitments fall within the scope through profit or loss. If an entity has a practice of reselling or commitments classified as financial liabilities at fair valuea loans are accounted for in accordance with IAS 39 as from the securitizing loans immediately after they are issued, these date the loan commitment is undertaken; commitments which are settled net (i.e. sold);a commitments which result in a loan granted at below-marketa interest rates.
Financing commitments received from banks 9,289 5,690 from customers 4,209 391
Net fee and commission income 21 (310) (20) 17 (309) (3)
In 2016 and 2015, directors' fees paid to members of the Board of Directors included a fixed portion (€8,000 per person) and a variable portion (€2,000 per Board Meeting, (a) per person). Members of the Audit Committee and the Risk Committee received a fixed payment of €3,000 (€17,000 for its Chairman) and a variable payment of €1,000 2015 for its Chairman) and a variable payment of €1,000 per Board Meeting and per person (€2,000 for its Chairman). The members of the Strategic Committee received per Board Meeting and per person (€2,000 for its Chairman). Members of the Appointment and Compensation Committee received a fixed payment of €2,000 (€15,000 in a variable payment of €2,000 and the Chairman of the Strategic Committee received a fixed payment of €12,000.