NATIXIS STRUCTURED PRODUCTS LIMITED Financial Statements

Transcription

NATIXIS STRUCTURED PRODUCTS LIMITED
Financial Statements
For the year ended 31 December 2008
CONTENTS
OFFICERS AND PROFESSIONAL ADVISERS
1
DIRECTORS’ REPORT
2
STATEMENT OF DIRECTORS’ RESPONSIBILITIES
4
INDEPENDENT AUDITORS’ REPORT TO THE MEMBER OF NATIXIS
STRUCTURED PRODUCT LIMITED
5
RESPECTIVE RESPONSIBILITIES OF MEMBER AND AUDITORS
BASIS OF AUDIT OPINION
OPINIoN
5
5
6
INCOME STATEMENT
7
BALANCE SHEET
8
CASH FLOW STATEMENT
9
NOTES TO THE ACCOUNTS
10
OFFICERS AND PROFESSIONAL ADVISERS
DIRECTORS
Michael Lombardi
Peter Gatehouse
Etienne Bur
Pierre Guillemin
Michel Labrousse
Julien Dupire-Angel
Francois Camet
SECRETARY
Ogier SPV Services Limited
REGISTERED OFFICE
Whiteley Chambers
Don Street
St Helier
Jersey JE4 9WG
Channel Islands
BANKERS
CITIGROUP
CGC Centre
Canary Wharf
London E14 5LB
AUDITORS
Mazars LLP
Tower Bridge House
St Katharine’s Way
London E1W 1DD
appointed 01/07/04
appointed 01/07/04
appointed 01/07/04 removed 28/04/09
appointed 22/07/08
appointed 24/07/08 resigned 24/04/09
appointed 18/07/08
appointed 22/07/08 removed 19/11/08
DIRECTORS’ REPORT
The Directors present their report and the audited financial statements for the year ended 31 December
2008.
ACTIVITIES
The principal activity of Natixis Structured Products Limited (“the Company”) is the issue of Euro Medium
Term Notes (“EMTN”). The Company is a fully owned subsidiary of NATIXIS S.A. The aim of this
Company is to be the main issuing vehicle for its parent company, issuing EMTN linked to some financial
variable (performance of an index, a share, a basket of shares) and warrants.
RISK MANAGEMENT
The Directors manage the financial risks and minimise the operational risk. Market risk is eliminated by
having essentially a match between the assets (Term Loans to the parent company NATIXIS.SA.) and the
liabilities (EMTN issued by the Company), as the characteristics of Term Loans replicate the characteristics
of the EMTN except for small fixed margin to cover the cost of managing and operating the structure.
Credit risk has been mitigated by transacting only with NATIXIS S.A.
Operational risk is managed by use of standard documentation and thorough review of the transactions by
the board at the time of each proposed issue.
INCORPORATION
The Company was incorporated on 1 July 2004 in Jersey, Channel Islands.
CHANGE OF NAME
The Company changed its name from Ixis Structured Products Limited to Natixis Structured Products
Limited on 11th May 2007.
RESULTS
The income statement for the year is set out on page 7.
DIVIDENDS
The Directors do not recommend a dividend for the period ended 31 December 2008 (2007 : €nil).
DIRECTORS
The present membership for the board (the “Board”) is set out on page 1.
The Directors who held office during the year were Michael Lombardi, Peter Gatehouse and Etienne Bur.
Pierre Guillemin, Michel Labrousse, Francois Camet and Julien Dupire-Angel were appointed respectively
on 22 July 2008, 24 July 2008, 22 July 2008 and 18 July 2008.
François Carnet was removed by the shareholders on 19 November 2008.
DIRECTORS INTERESTS
Michael Lombardi is a partner of Ogier, which may provide legal advice to the Company from time to time.
He is also a partner in the Ogier Group Limited Partnership, which holds all shares in Ogier Fiduciary
Services (Jersey) Limited. Ogier Fiduciary Services (Jersey) Limited is the holding company of Ogier
Corporate Trustee (Jersey) Limited and Ogier SPV Services Limited, which received fees from the
Company.
Peter Gatehouse is a director of Ogier SPV Services Limited which receives fees from the Company for the
provision of company secretarial and other administrative services.
Etienne Bur, Pierre Guillemin, Michel Labrousse, and Julien Dupire-Angel are all employed by Natixis.
Natixis is the sole shareholder of the Company and is also the counterparty of the loans and warrants
transactions.
SECRETARY
The secretary of the Company throughout the year, and subsequently, was Ogier SPV Services Limited.
STATEMENT OF DISCLOSURE OF INFORMATION TO AUDITORS
The Directors have taken all the necessary steps to make us aware, as directors, of any relevant audit
information and to establish that the auditors are aware of that information.
As far as the Directors are aware, there is no relevant audit information of which the Company’s auditors
are unaware.
AUDITORS
Mazars LLP have expressed their willingness to continue in office as auditors and a resolution to reappoint
them will be proposed at the forthcoming Annual General Meeting.
Approved by the Board of Directors
and signed on behalf of the Board
Authorised Signatory
Ogler SPV Services Limited
Secretary
Date
cP
STATEMENT OF DIRECTORS’ RESPONSIBILITIES
The Directors are responsible for preparing the financial statements in accordance with applicable Jersey
law and International Financial Reporting Standards.
Company law requires the Directors to prepare financial statements for each financial year, which give a
true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that
period. In preparing these financial statements, the Directors are required to:
•
•
•
•
select suitable accounting policies and then apply them consistently;
make judgments and estimates that are reasonable and prudent;
state whether applicable accounting standards have been followed; and
prepare the fmancial statements on the going concern basis unless it is inappropriate to presume that
the Company will continue in business.
The Directors are responsible for keeping proper accounting records that disclose with reasonable accuracy
at any time the financial position of the Company and enable them to ensure that the financial statements
comply with the Companies (Jersey) Law 1991. They are also responsible for safeguarding the assets of the
Company and hence for taking reasonable steps for the prevention and detection of fraud, errors and other
irregularities.
Independent auditor& report to the member of Natixis
Structured Products Limited
We have audited the financial statements of Natixis Structured Products Limited for the year
ended 31 December 2008 which comprise the Profit and Loss Account, the Balance Sheet, the
Cash Flow Statement and related notes. These financial statements have been prepared under the
accounting policies set out therein.
This report is made solely to the company member in accordance with Article 110 of the
Companies (Jersey) Law 1991. Our audit work has been undertaken so that we might state to the
company’s member those matters we are required to state to them in an auditors’ report and for no
other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to
anyone other than the company and the company’s member, for our audit work, for this report, or
for the opinions we have formed.
Respective responsibilities ofmember and auditors
The directors’ responsibilities for preparing the financial statements in accordance with applicable
law and International Financial Reporting Standards (IFRSs) as adopted by the European Union
are set out in the Statement of Directors’ Responsibilities.
Our responsibility is to audit the financial statements in accordance with relevant legal and
regulatory requirements and International Standards on Auditing (UK and Ireland).
We report to you our opinion as to whether the financial statements give a true and fair view,
whether the financial statements are properly prepared in accordance with the Companies (Jersey)
Law 1991, the Banking Business (Jersey) Law 1991, the Financial Services (Trust Company and
Investment Business (Accounts, Audits and Reports)) (Jersey) Order 2007 and the Financial
Services (Funds Services Business (Accounts, Audits and Reports)) (Jersey) Order 2007. We also
report to you whether in our opinion the information given in the Directors’ Report is consistent
with the financial statements.
In addition we report to you if, in our opinion, the company has not kept proper accounting
records, if we have not received all the information and explanations we require for our audit.
We read the Directors’ Report for the above year and consider the implications for our report if
we become aware of any apparent misstatement or material inconsistencies with the financial
statements.
Basis ofaudit opinion
We conducted our audit in accordance with International Standards of Auditing (UK and Ireland)
issued by the Auditing Practices Board. An audit includes examination, on a test basis, of
evidence relevant to the amounts and disclosures in the financial statements. It also includes an
assessment of the significant estimates and judgements made by the member in the preparation of
the financial statements, and of whether the accounting policies are appropriate to the limited
liability partnership’s circumstances, consistently applied and adequately disclosed.
We planned and performed our audit so as to obtain all the information and explanations which
we considered necessary in order to provide us with sufficient evidence to give reasonable
assurance that the financial statements are free from material misstatement, whether caused by
fraud or other irregularity or error. In forming our opinion we also evaluated the overall adequacy
of the presentation of information in the financial statements.
Opinion
In our opinion:
• the financial statements give a true and fair view, in accordance with IFRSs as adopted by the
European Union, of the state of the company’s affairs as at 31 December 2008 and of its loss
for the year then ended;
• the financial statements have been properly prepared in accordance with the Companies
(Jersey) Law 1991, the Banking Business (Jersey) Law 1991, The Financial Services (Trust
Company and Investments Business (Accounts, Audit and Report)) (Jersey) Order 2007 and
the Financial Services (Fund Services Business (Accounts, Audits and Reports)) (Jersey)
Order 2007; and
• the information given in the Member’s Report is consistent with the financial statements.
Mazars LLP
Chartered Accountants and Registered Auditors
Tower Bridge House, St Katharine’s Way,
London, E1W 1DD
31Oc,
INCOME STATEMENT
Year ended 31 December 2008
REVENUE
Investment income
Interest and other banking income
Currency gain
Fair Value Profit
Financial income
Gains in fair value
EXPENSES
Euro Medium Term Notes interest expenses
General operating expenses
Cunency loss
Fair value loss
Other expenses
Financial expenses
OPERATING PROFIT/(LOSS)
FOR THE FINANCIAL YEAR
2008
EUR
2007
EUR
378 221 706
246 833 485
110 733
65 033
617 128
298 419
745 394 327
1 124 343 894
100 588 658
347 785 595
377 355 666
864893
175420
745 394 326
639480
1124429785
246 189 242
1169773
88289
100 588 658
1753
415316
348453031
(85891)
(667436)
-
All items dealt with in arriving at the profit for the year ended 31 December 2008 relate to continuing
operations. There were no other recognised gains or losses for the year ended 31 December 2008 other than
those stated in the income statement.
BALANCE SHEET
As at 31 December 2008
ASSETS
Note December 2008 December 2007
EUR
EUR
NON-CURRENT ASSETS
Term loans and options at fair value
Certificates
CURRENT ASSETS
Cash and cash equivalents
Term loans and options at fair value
Accrued interest on term loans
Other receivables
Certificates
1 535 485 200
111 670 000
1 647 155 200
6
3977503
1 178 013 770
16919576
4 303 626
3 132 461 568
-
1203214475
1 142 803 374
37036558
7 372 000
1000000
1 188211932
2850369675
4320673500
200
609519
609719
200
695410
695610
1 528 635 870
6849330
111 670000
1 647 155 200
3 118 765 287
13696281
-
TOTAL ASSETS
3 132 461 568
EQUITY AND LIABILITIES
Equity attribuable to equity holders of the parent
Issued capital
Reserves
NON-CURRENT LIABILITIES
Euro Medium Term Notes at fair value
Warrants at fair value
Certificates
CURRENT LIABILITIES
Overdrawn bank accounts
Euro Medium Term Notes and warrants at fair value
Accrued interest on Euro Medium Term Notes
Other payables
Certificates
TOTAL EQUITY AND LIABILITIES
8
9
6
6
274333
1 178 013 770
8080203
16236450
3 132 461 568
1202604756
2679187
1 142 803 374
38764658
2269103
1 000 000
1 187516322
2 850 369 675
4 320 673 500
These fmancial statements were approved by the Board of Directors on 9 July 2009 signed on its behalf by:
Director
CASH FLOW STATEMENT
2008
EUR
2007
EUR
(85 891)
(667 435)
3 068 374
13 967 347
20116982
(30684455)
6 382 357
(4 167 192)
(3 364 848)
(17 734 143)
Cash flows used in investing activities
Purchase of term loans
Reimbursement of term loan
Net cash used in investing activities
(1 546 082 258)
2 763 565 431
1217483173
(4 747 250 218)
3 228 153 857
(1 519 096 361)
Cash flows from financing activities
Issue of EMTN
Reimbursement of EMTN
1 546082258
(2 763 565 431)
4747250218
(3 228 153 857)
Net cash from financing activities
(1 217 483 173)
1 519 096 361
6382357
(5946903)
(2679187)
3267716
3703170
(2679187)
Cash flows from operating activities
Net (loss) profit
Adjustments for:
Decrease (increase) in receivables
(Decrease) increase in payables
Decrease (increase) in interest receivable
(Decrease) increase in interest payable
Net cash (used in)/from operating activities
Net (decrease)/increase in cash and cash equivalents
Cash and cash equivalents at the beginning of the period
Cash and cash equivalents at the end of the period
19986715
(5 946 903)
NOTES TO THE ACCOUNTS
1. GENERAL INFORMATION
Natixis Structured Products Limited, formerly Ixis Structured Products Limited, is a company incorporated
in Jersey, Channel Islands, on 1 July 2004 under Companies (Jersey) Law 1991.
The nature of the Company’s operations is the issue of Euro Medium Term Notes (“EMTN”).
These financial statements are presented in Euro because that is the currency of the primary economic
environment in which the company operates.
2. ACCOUNTING POLICIES
The fmancial statements have been prepared in accordance with International Financial and Reporting
Standards with the historical convention except as modified by the revaluation of certain financial
instruments as more fully disclosed in notes below.
Term Loans income
Interest receivable on investments in Term Loans is accounted for on an accruals basis.
Debt securities issued
Euro Medium Term Notes (EMTN) and certfIcates
The Company issues EMTN and certificates. Finance costs relating to these securities are recognised on an
accruals basis.
Financial income and expense
Financial income and expenses are related to items carned at fair value through the income statement.
Financial assets and liabilities
Financial assets at fair value through profit and loss: under IFRS7, the loans are initially and subsequently
recognised at their fair value, in order to mirror the change in the fair value of the Medium Term Notes
(“MTN”) issued. Any fair value movements are recognised in the income statement. The fair value of the
term loans has been derived from valuation techniques using standard market models.
Liabilities at fair value through profit and loss: under IFRS7, the MTN issued are initially and subsequently
recognised at their fair value. The fair value of the term loans has also been derived from valuation
techniques using standard market models.
Derivative financial instruments: Warrants and options
Derivative financial instruments comprised a warrant issued by the Company and an option mirroring the
warrant characteristics contracted with Natixis S.A. These derivatives were initially recognised in the
balance sheet at fair value and subsequently remeasured at fair value as required by IFRS7. The fair value
of the derivatives has also been derived from valuation techniques using standard market models. All
derivatives are carried as assets when fair value is positive and as liabilities when fair value is negative.
Subsequent changes in the fair value of any derivative instrument are recognised immediately in the income
statement.
Foreign exchange
Transactions denominated in foreign currencies are translated into Euros at the rates ruling at the date of the
transactions. Monetary assets and liabilities denominated in foreign currencies at the balance sheet date are
translated at the rates ruling at that date. Exchange differences are included in the income statement.
Financial risk management
The Company does not use hedge accounting. The Company is not exposed to significant financial risk on
the basis of matching of assets and liabilities.
2. ACCOUNTING POLICIES (CONTINUED)
Standards, interpretations and amendments to published standards that are not yet effective
Certain new standards, amendments and interpretations to existing standards have been issue by the IASB
that are not yet effective. The Company has not adopted any of these standards, amendments or
interpretations early.
International Financial Reporting Standards:
Effective for annual
periods beginning on
or after
Standards
Share based payment
1: 9p.4 9SLej &!9Y9I!&99fl4t.i92 and cancellations
Business Combinations
Compye
iv ev
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ethod
rFinancial Instruments: disclosures
Amendments enhancing disclosures about fair value and
EUa.4itxijs.k
IFR
JFR
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:Presentation of Financial Statements
Comprehensive revision md. requiring a statement of
comprehensive income
Amendments relating to disclosure of puttable instruments and
j
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.
J
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1 January 2009
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January2009
ex2ensm
:Consolidated and Separate Financial Statements
Consequential amendments arising from amendments to IFRS 3!
Amendment relating to cost of an investment on first time
[adoption
1 July 2009
-
!Investments in associates
Consequential amendments arising from amendments to IFRS
lAS 28
July 200
:lnterests in Joint Ventures
[:
Lt9.W!. i
:Financial Instruments: Presentation
Amendments relating to disclosure of puttable instruments and
!obligations arising on liquidation
!Financial Instruments: recognition and measurement
Amendments for eligible hedged items
Amendments for embedded derivatives when reclassifying
lAS 32
J.y
ago
January 2009
1 July 2009
-
A’ .3.9
.IXRI
IFRI
IFRI
IFRI
IFRIC
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59. ‘‘i
!Transfers of assets from customers
on or after 30 June
.
J
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July 200
January 2009
ctober
July 200
1 July 2009
ago
It is anticipated that the LAS I revisions and the IFRS 7 amendments will have a small effect on the
accounts disclosures and presentation. However, the directors anticipate that the adoption of the other
Standards and Interpretations in fhture periods will have no material impact on the financial statements of
the Company.
Critical accounting judgements and key sources of estimation uncertainty
The preparation of the financial statements requires management to make judgements, estimates and
assumptions that affect the application of policies and reported amounts of assets and liabilities, income and
expenses. The estimates and associated assumptions are based on historical experience and various other
factors that are believed to be reasonable under the circumstances, the results of which form the basis of
making judgements about carrying values of assets and liabilities that are not readily apparent from other
sources. Actual results may differ from these estimates.
The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting
estimates are recognised in the period in which the estimate is revised if the revision affects only that
period, or in the period, of the revision and future periods if the revision affects both current and future
periods.
Estimates and assumptions are made in particular with regard to calculating the fair value of term loans and
EMTN. These fair values have been derived from valuation techniques using standard market model.
3. OPERATING PROFIT
Operating profit is stated after charging
Audit Fees
2008
EUR
80 976
2007
EUR
70465
4. DIVIDENDS
The Directors do not recommend the payment of a dividend for the year ended 31 December 2008 (2007:
€nil).
5. INVESTMENTS
2 008
Term loans
EUR
2 008
Option
EUR
2 008
Total
EUR
4 260 396 255
1 544 612 689
(2 762 267 375)
323 055 107
(659 147 036)
2 706 649 640
14 868 687
1 469 569
(1 298 056)
215 100
(8 405 970)
6 849 330
4 275 264 942
1 546 082 258
(2763565431)
323 270 207
(667 553 006)
2 713 498 970
Current investments
1 170 501 230
7 512 540
1 178 013 770
Non-current investments
1 536 148 410
2706649640
(663 210)
6849330
1 535 485 200
2713498970
2007
Term loans
EUR
2007
Option
ETJR
2007
Total
EUR
2 653 187 844
4 729 002 407
(3 225 761 769)
103967773
4 260 396 255
2 392 078
18 247 812
(2 392 088)
(3379115)
14 868 687
2 655 579 922
4 747 250 219
(3 228 153 857)
100588658
4 275 264 942
Current investments
1 141 630 968
1 172 406
1 142 803 374
Non-current investments
3118765287
4 260 396 255
13696281
14 868 687
3132461568
4 275 264 942
Opening balance
Investments purchased in the year
Investments disposed in the year
Opening balance currency variation
Change in fair value
Closing balance
Opening balance
Investments purchased in the year
Investments disposed in the year
Closing balance
_____________________________________________
__________
6. EURO MEDIUM TERM NOTES AND WARRANTS
Opening balance
EMTN and Warrants issued in the year
EMTN redeemed in the year
Opening balance currency variation
Closing balance
Current EMTN
Non-current EMTN and Warrants
Opening balance
EMTN and Warrants issued in the year
EMTN redeemed in the year
Closing
balance
EMTN
2008
Warrant
EUR
2008
Total
EUR
4 260 396 255
1 544 612 689
(2 762 267 375)
323 055 107
(659 147 036)
2706649640
1 170 501 230
1 536 148 410
2706649640
14 868 687
1 469 569
(1 298 056)
215 100
(8 405 970)
6849330
7 512 540
(663 210)
6849330
4 275 264 942
1 546 082 258
(2 763 565 431)
323 270 207
(667 553 006)
2713498970
1 178 013 770
1 535 485 200
2713498970
2007
EMTN
EUR
2007
Warrant
EUR
2007
Total
EUR
2 653 187 844
4729002407
(3 225 761 769)
103967773
4260396255
1 141 630968
3118765287
4 260 396 255
2 392 078
18247812
(2 392 088)
(3379115)
14868687
1 172406
13696281
14 868 687
2 655 579 922
4747250219
(3 228 153 857)
100588658
4275264942
1142803374
3132461568
4 275 264 942
—______________________________________________
—_____________
—_____________________________________________
Current EMTN
Non-current
—
2008
EMTN
EUR
and
Warrants
—___________________________________________
The issuer’s spread gaps of the Company’s issuances had shown a net impact of 5 millions euros at 31
December 2007. These gaps were offset by the change in loan fair value for the same amount.
Consequently, these revaluations were not booked in the 31 December 2007 financial statements.
For the year ended 31 December 2008, the issuer’s spread gaps of the Company’s issuances have shown an
amount of 83 millions euros.
7. TAXATION
The Company has been granted Exempt Company status in Jersey for the year of assessment 2008 and
therefore pays an annual fee which is included as an expense in the income statement as it is not dependent
upon the Company’s results. Effective 1 January 2009, Jersey’s tax regime has changed. The new regime
imposed a general corporate income tax rate of 0%, a 10% rate will apply to certain regulated financial
services companies and a 20% rate to utilities and income from Jersey land (i.e. rents and development
profits). Jersey registered companies are treated as resident for tax purposes and are subject to zero or a ten
percent standard income tax rate.
Since the Company is not a regulated financial service entity, the effect of the new tax regime is limited to
the change of status from exempt to liable to Jersey income tax at 0%.
8. SHARE CAPITAL
Authorised:
100 ordinary shares of EUR 100 each
Issued and fully paid:
2 ordinary shares of EUR 100 each
December 2008
EUR
December 2007
EUR
10 000
10000
200
200
9. CHANGES IN EQUITY
BalanceatlJanuary2008
Loss for the period
Balance at 31 December 2008
Share capital Retained earnings
EUR
EUR
200
695410
(85 891)
200
609 519
-
Total
EUR
695610
(85 891)
609 719
10. RISK MANAGEMENT
The Company’s fmancial liabilities issued by the Company (EMTN and Warrants) replicate the
characteristics of the Company’s financial assets (term loans and options with Natixis SA, the parent
company, a A+-rated bank), except for a small fixed margin in favour of the Company.
Risk management
The management regards the monitoring and controlling of risk as a fundamental part of the management
process and accordingly involves its more senior staff in developing risk policy and in monitoring its
application. The evaluation of the risks inherent in the activities and the development of policies and
procedures to control them are carried out by the Board of Directors.
All transaction documentation is thoroughly reviewed before being submitted to the Board of Directors or a
committee appointed by the board for a second level of review.
Credit risk
Credit risk is the risk that a customer or counterparty will be unable or unwilling to meet a commitment that
it has entered into with the Company. The Company manages its credit risk through transacting only with
the parent company, which is rated A+. The maximum credit exposure of the Company is
EUR 2,713,498,971 which is the total value of the term loans granted to the parent company.
In addition, the counterparties of the Company benefit from a guarantee granted by Caisse des Depots et
Consignations, an AAA-rated entity, on 4 October 2004 in respect of transactions entered into up to 23
January 2007 and with a maturity falling on or before 23 January 2017.
Liquidity risk
Liquidity risk is the risk that the Company will encounter difficulty in realising assets or otherwise raising
funds to meet commitments. The Company hedges the issue of debt securities through the loans to the
parent company which match in all respects the debt that the Company has issued, except for a small fixed
margin in favour of the Company.
Market and interest rate risk
Exposure to market risk is the risk that arises when there is imbalance between assets and liabilities held by
the Company. The Company’s policy is to maintain, wherever possible, a matched position for fmancial
assets and financial liabilities.
Sensitivity analysis
The EMTN and Term Loans are equity derivative structured products, which can be decomposed from an
economic point of view into a low-coupon debt instrument and an equity derivative. These instruments are
not very sensitive to changes in interest rates, but are very sensitive to changes in the value of the
underlying assets and changes in the implicit volatility of the underlying assets.
However, as the Company holds matched positions on the structured products when taken together, it is not
considered to have significant market or interest rate risk.
Capital Risk management
The Company manages its capital to ensure it will be able to continue as a going concern. The capital
structure of the Company consists of the shareholders’ equity comprising issued capital and reserves.
Foreign currency risk
Foreign currency risk is the risk that the value of a financial instrument will fluctuate because of changes in
foreign exchange rates. The Company’s foreign exchange exposure arises from issuing debt in currencies
other than Euro. The Company’s policy is to hedge against these foreign exchange risks by investing solely
in term loans which replicate the same currency characteristics as the EMTN.
The table below shows the Company’s exposure to major currencies on 31 December 2008 (in the Euro
equivalent).
December 2008
Assets at fair value
Liabilities at fair value
Net currency exposure as at
31 December 2008
December 2007
Assetsatfairvalue
Liabilities at fair value
Net currency exposure as at
31 December 2007
Other currencies*
%
1 735 652 646
(1 733 717 014)
64%
-64%
1 935 633
994 765 901
(987 862 160)
%
36%
36%
6 903 741
Other currencies*
%
2420926431
(2 421 753 003)
56%
-56%
(826 572)
EUR
EUR
1891375069
(1 892 276 597)
(901 528)
Total
2 730 418 547
(2 721 579 174)
8 839 374
%
44%
-44%
Total
4312301500
(4 314 029 600)
(1 728 100)
* These currencies have been grouped
together as financial assets have been purchased to exactly mirror the composition of financial
liabilities denominated in currencies other than the Euro such that there is overall no exposure to exchange rate fluctuation.
Maturity
Maturity analysis for the
year ended 31 December
2008
within one year
EUR
1 to 2 years
EUR
more than 5
years
EUR
2 to 5 years
EUR
Total EUR
Assets
Cash and cash equivalent
Term loans at Fair Value
through profit and loss
account
Accrued Interest on term
loan
Certificates
Others
Derivatives at fair value
(Options)
Total assets
3 977 503
1170501 407
16919576
3 977 503
456 719 107
-
7512540
1203214652
27531 374
2706 649 64(
16919576
-
1 000 000
110 670 000
-
-
-
1047080
457 766 187
(2116995)
1050780756
406705
138 608 079
-
-
-
4 303 626
1 051 897 752
111 670 000
4 303 626
6849330
2850369675
Liabilities
Cash (overdraft)
EMTN at Fair Value through
profit and loss account
Accrued Interests on EM’J’N
Certificates
Others
(Warrants)
Total liabilities
Net
(274 333)
(1170501407)
(8 080 203)
(456 719 107)
-
-
(16236450)
(1 051 897 752)
-
(1 000 000)
(274 333)
(27 531 374)
-
(110 670 000)
(2706649640)
(8 080 203)
(111 670 000)
(16236450)
-
-
(7 512 540)
(1 047 080)
2 116 995
(406 705)
(6 849 330)
(1 202 604 933)
(457 766 187)
(1 050 780 756)
(138 608 079)
(2 849 759 956)
609719
-
609719
11. FINANCIAL INSTRUMENTS
Fair value
The following assets are held at fair value through profit and loss:
2008
.
.
.
Carrying value
Note
EUR
2007
Estimated fair
value
EUR
Difference
Difference
between fair
between fair
Estimated fair
value and Carrying value
value and
value
.
.
.
.
carrying
carrying
value
value
EUR
EUR
EUR
EUR
Assets
Term loans and options
BS
2713498970
2713498970
Cash
and
cash
equivalents
Accrued interest on
BS
3 977 503
3 977 503
termloans
BS
Other receivables
Certificates
BS
BS
16919576
4 303 626
16919576
4 303 626
111 670000
111 670000
BS
(274 333)
(274 333)
Liabilities:
Overdrawn
banl
accounts
Euro Medium Tern
Notes and warrants
Accrued interest on
EMTNs
BS
(8080203)
(8080203)
Otherpayables
Certificates
BS
BS
(16236450)
(1 1 1 670 000)
(16236450)
(111 670 000)
BS (2 713 498 970) (2 713 498 970)
-
4275264942 4275264942
-
-
-
-
-
-
-
-
-
37036558
37036558
7 372 000
1 000000
7 372 000
1 000000
2 679 187
2 679 187
4 275 264 942 4 275 264 942
38764658
38764658
2269103
2269103
1 000 000
1 000 000
Fair value movements on the Term Loans and Options and EMTN and Warrants are shown in notes 5 and
6. The Company’s risk management system ensures that the Company’s financial assets and liabilities are
matched and therefore the Company has little net exposure in this area.
The methods and assumptions used by the Company in estimating the fair values to financial instruments
are:
-
-
The fmancial assets (loans to Natixis SA and options purchased from Natixis SA) mirror the
liabilities (EMTN and Warrants issued). Both assets and liabilities are equity derivatives and are
priced using standard market valuation models. The inputs of these models are either directly
observable by reference to published price quotations in an active market or are estimated based
on published price quotations in an active market for instruments presenting similar
characteristics.
The total amount of the change in fair value estimated using a valuation technique that was
recognised during the period is € 667 553 007.
12. RELATED PARTY TRANSACTIONS
The ultimate parent company and the parent company of the largest group to include the Company in its
consolidated fmancial statements is Natixis SA, incorporated in France.
The following transactions have taken place with the Parent Company: (a) structured loans -replicating the
performance of the EMTN issued have been granted to the Parent Company, (b) an option replicating
the performance of a warrant issued has been purchased from the parent company.
-
-
-
-
-
-
-
-
-
-
-
-
At period end €2 730 418 547 was due from the parent company.
Related party transactions
with Natixis
Term loans at Fair Value
through profit and loss
account
Accrued Interest on term
loan
(Options)
Total
Total EUR
2 706 649 641
16919576
6 849 330
2730418548

NATIXIS STRUCTURED PRODUCTS LIMITED Financial Statements

Transcription

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