NATIXIS STRUCTURED PRODUCTS LIMITED. Financial Statements

Transcription

1 Financial Statements For the year ended 31 December 2008

2 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 5 BASIS OF AUDIT OPINION 5 OPINIoN 6 INCOME STATEMENT 7 BALANCE SHEET 8 CASH FLOW STATEMENT 9 NOTES TO THE ACCOUNTS 10

3 OFFICERS AND PROFESSIONAL ADVISERS DIRECTORS Michael Lombardi appointed 01/07/04 Peter Gatehouse appointed 01/07/04 Etienne Bur appointed 01/07/04 removed 28/04/09 Pierre Guillemin appointed 22/07/08 Michel Labrousse appointed 24/07/08 resigned 24/04/09 Julien Dupire-Angel appointed 18/07/08 Francois Camet appointed 22/07/08 removed 19/11/08 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

4 DIRECTORS REPORT The Directors present their report and the audited financial statements for the year ended 31 December 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 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 François Carnet was removed by the shareholders on 19 November 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.

5 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

6 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 the state affairs the Company and the profit or loss the Company for that period. In preparing these financial statements, the Directors are required to: of of of 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 the Company and enable them to ensure that the financial statements comply with the Companies (Jersey) Law They are also responsible for safeguarding the assets the Company and hence for taking reasonable steps for the prevention and detection fraud, errors and other irregularities. of of of of of

7 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 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 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.

8 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,

9 INCOME STATEMENT Year ended 31 December 2008 REVENUE Investment income Interest and other banking income Currency gain Fair Value Profit Financial income 2008 EUR EUR 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 (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.

10 BALANCE SHEET As at 31 December 2008 Note December 2008 December 2007 ASSETS 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 TOTAL ASSETS 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 These fmancial statements were approved by the Board of Directors on 9 July 2009 signed on its behalf by: Director

11 CASH FLOW STATEMENT Year ended 31 December 2008 flows 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 Cash from operating 2008 EUR (85 891) ( ) EUR ( ) ( ) ( ) ( ) ( ) flows used in investing activities Purchase term loans Reimbursement term loan Net cash used in investing activities Cash of of ( ) ( ) ( ) Cash flows Issue Reimbursement from financing of EMTN of EMTN activities 1 ( ) ( ) Net cash from financing 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 ( )

12 NOTES TO THE ACCOUNTS Year ended 31 December 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 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.

13 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: Standards Effective for annual periods beginning on or after Share based payment 1:9p.4 9SLej &!9Y9I!&99fl4t.i92 and cancellations Business Combinations j J..aJ!9?rx 009 IFR Compye iv ev on appl fln9w ethod rfinancial Instruments: disclosures I J}y ago Amendments enhancing disclosures about fair value and JFR EUa.4itxijs.k. [2Rr!4!c.i 9n J :Presentation of Financial Statements Comprehensive revision md. requiring a statement of comprehensive income Amendments relating to disclosure of puttable instruments and 1 January Pj29fl2J5P!14!1Rn Borrowing costs 9Y?p.!?.P!9hi!1!.1mr1 1e4t..e. ex2ensm Jqog9 Jaji January2009 :Consolidated and Separate Financial Statements Consequential amendments arising from amendments to IFRS 3! 1 July Amendment relating to cost of an investment on first time [adoption!investments in associates las 28 Consequential amendments arising from amendments to IFRS July 200 :lnterests in Joint Ventures [: :Financial Instruments: Presentation Lt9.W!.i J.y ago Amendments relating to disclosure of puttable instruments and las 32!obligations arising on liquidation January 2009!Financial Instruments: recognition and measurement 1 July Amendments for eligible hedged items Amendments for embedded derivatives when reclassifying on or after 30 June A.3.9.?9. 9.IXRI 13 :Customer Loyalty Progranunes July 200 IFRI 15 J January i! 51M [Awepto!ooofrealesta IFRI 16 [Hedges ofa net investment in a foreign Operation j ctober ago IFRI i July 200 IFRIC 18!Transfers of assets from customers I 1 July 2009 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.

14 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 EUR EUR Audit Fees DIVIDENDS The Directors do not recommend the payment of a dividend for the year ended 31 December 2008 (2007: nil).

15 5. INVESTMENTS Term loans EUR Option EUR Total EUR Opening balance Investments purchased in the year Investments disposed in the year Opening balance currency variation Change in fair value Closing balance Current investments Non-current investments Opening balance Investments purchased in the year Investments disposed in the year Change in fair value Closing balance Current investments Non-current investments ( ) ( ) ( ) ( ) ( ) ( ) ( ) Term loans Option Total EUR ETJR EUR ( ) ( ) ( ) ( )

16 NATIXIS STRUCTURED PRODUCTS LIMITED 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 Change in fair value Closing balance Current EMTN Non-current EMTN and Warrants EMTN Warrant Total EUR EUR EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) Opening balance EMTN and Warrants issued in the year EMTN redeemed in the year Change in fair value Closing balance Current EMTN Non-current EMTN and Warrants EMTN Warrant Total EUR EUR EUR ( ) ( ) ( ) ( ) The issuer s spread gaps of the Company s issuances had shown a net impact of 5 millions euros at 31 December 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 December 2008 December 2007 EUR EUR Authorised: 100 ordinary shares of EUR 100 each Issued and fully paid: 2 ordinary shares of EUR 100 each

17 9. CHANGES IN EQUITY Share capital Retained earnings Total EUR EUR EUR BalanceatlJanuary Loss for the period - (85 891) (85 891) Balance at 31 December 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 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.

18 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 Other currencies* % EUR % Total Assets at fair value % % Liabilities at fair value ( ) -64% ( ) 36% ( ) Net currency exposure as at 31 December December 2007 Other currencies* % EUR % Total Assetsatfairvalue % % Liabilities at fair value ( ) -56% ( ) -44% ( ) Net currency exposure as at 31 December 2007 ( ) ( ) ( ) * 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.

19 Maturity Maturity analysis for the more than 5 year ended 31 December within one year 1 to 2 years 2 to 5 years years 2008 EUR EUR EUR 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 Liabilities Cash (overdraft) ( ) - - ( ) EMTN at Fair Value through profit and loss account ( ) ( ) ( ) ( ) ( ) Accrued Interests on EM J N ( ) ( ) Certificates ( ) ( ) ( ) Others ( ) Derivatives at fair value - ( ) (Warrants) ( ) ( ) ( ) ( ) Total liabilities ( ) ( ) ( ) ( ) ( ) Net

20 11. FINANCIAL INSTRUMENTS Fair value The following assets are held at fair value through profit and loss: Assets Difference Difference.. between fair.. between fair. Estimated fair. Estimated fair Carrying value value and Carrying value value and value. value carrying carrying value value Note EUR EUR EUR EUR EUR EUR Term loans and options BS Cash and cash equivalents BS Accrued interest on termloans BS Other receivables BS Certificates BS Liabilities: Overdrawn banl accounts BS ( ) ( ) Euro Medium Tern Notes and warrants BS ( ) ( ) Accrued interest on EMTNs BS ( ) ( ) Otherpayables BS ( ) ( ) Certificates BS ( ) ( ) 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 - 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. total amount of the change in fair value estimated using a valuation technique that was recognised during the period is 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.

21 At period end was due from the parent company. Related party transactions with Natixis Total EUR Term loans at Fair Value through profit and loss account Accrued Interest on term loan Derivatives at fair value (Options) Total