NATIXIS - 2018 Registration document and annual financial report
5 FINANCIAL DATA
Consolidated financial statements and notes
Risk profile 11.2.1 This table, produced for the first time at December 31, 2018, aims to present the breakdown by credit risk category of the various accounting outstandings eligible for IFRS 9 provisioning (broken down into Stages S1, S2 and S3), and the corresponding impairments and provisions. The credit risk categories are represented by the IFRS 9 probability of default ranges associated with the central scenario (see Note 6.3) .
Gross carrying amount
Impairment or provisions for expected credit losses
PD scale
PD scale
Net
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.0
10.00 to < 100.0
100.0 (default)
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.0
10.00 to < 100.0
100.0 (default)
(in millions of euros)
Debt instruments at fair value through other comprehensive income
10,672
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0 10,672
S1
10,669
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0 10,669
S2
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
S3
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Securities at amortized cost 1,111
9
0
1
0
0
3
206
6
0
0
0
0
0
0
132 1,193
S1
969
9
0
1
0
0
3
0
0
0
0
0
0
0
0
0
982
S2
142
0
0
0
0
0
0
0
6
0
0
0
0
0
0
0
136
S3
0
0
0
0
0
0
0
206
0
0
0
0
0
0
0
132
75
Loans and receivables due from credit institutions and similar items at amortized cost
26,400
0
0
0
0
0
0
49
2
0
0
0
0
0
0
48 26,398
S1
25,806
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0 25,806
S2
594
0
0
0
0
0
0
0
2
0
0
0
0
0
0
0
592
S3
0
0
0
0
0
0
0
49
0
0
0
0
0
0
0
48
0
Loans and receivables due from customers at amortized cost
65,554
460
629
424
622
294
146 2,387
118
6
1
0
0
0
0 1,114 69,278
S1
47,778
381
609
424
622
294
146
0
31
0
0
0
0
0
0
0 50,223
S2
17,776
79
20
0
0
0
0
0
87
6
1
0
0
0
0
0 17,782
S3
0
0
0
0
0
0
0 2,387
0
0
0
0
0
0
0 1,114 1,273
Financing commitments given
49,002
974
0
0
0
0
0
55
63
3
(0)
0
0
0
0
5
S1
42,326
964
0
0
0
0
0
0
12
1
(0)
0
0
0
0
0
S2
6,677
11
0
0
0
0
0
0
51
2
(0)
0
0
0
0
0
S3
0
0
0
0
0
0
0
55
0
0
0
0
0
0
0
5
Guarantee commitments given
29,609
10
2
0
0
0
0
74
13
0
0
0
0
0
0
20
S1
24,669
0
0
0
0
0
0
0
3
0
0
0
0
0
0
0
S2
4,940
10
2
0
0
0
0
0
10
0
0
0
0
0
0
0
S3
0
0
0
0
0
0
0
74
0
0
0
0
0
0
0
20
TOTAL AT 12.31.2018
182,349 1 453
631
425
622
294
149 2,771
202
9
1
0
0
0
0 1,320
Guarantees received for instruments impaired under IFRS 9 11.2.2 The following table presents the exposure of all of BPCE Group’s financial assets to credit and counterparty risk. This exposure to credit risk (determined without taking into account the effect of unrecognized netting and collateral) and counterparty risk is equal to the net carrying amount of the financial assets.
31/12/2018
Guarantees
Maximum exposure net of impairment (c)
Classification of impaired financial instruments (a) (in millions of euros) Debt securities—FVOCI R Loans and receivables due from banks—FVOCI R Customer loans and receivables—FVOCI R Debt securities at amortized cost Loans and receivables due from banks at amortized cost Customer loans and receivables at amortized cost
Maximum risk exposure (b)
Personal guarantees
Collateral
Impairment
206
(132)
75
57
48
(47)
0
2,388
(1,114)
1,274
282
577
Financing commitments given Guarantee commitments given
119
(5)
114
8 5
0
74
(20)
54
13
TOTAL
2,834
(1,319)
1,516
352
589
Assets impaired after their origination/acquisition (Stage 3) or on their origination/acquisition (POCI). (a) Gross carrying amount. (b) Carrying amount on the balance sheet. (c)
362
Natixis Registration Document 2018
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