NATIXIS -2020 Universal Registration Document
FINANCIAL DATA Consolidated financial statements and notes
Risk management Note 10
Capital adequacy 10.1 The information on capital adequacy required under IAS 1 is presented in Section 3.3.1 of Chapter [3] “Risk factors, risk management and Pillar III”. 10.2 The informationon risk management required under IFRS 7, with the exception of the disclosuresgiven below, is presented in Section 3.2.3of Chapter [3] “Risk factors, risk management and Pillar III”. Risk profile 10.2.1 This table aims to present (excluding contributions from insurance impairments and provisions. The credit risk categories are companies) the breakdown by credit risk category of the various represented by the IFRS 9 probability of default ranges associated accounting outstandings eligible for IFRS 9 provisioning (broken with the central scenario (see Note 5.3) . down into Stages S1, S2 and S3), and the corresponding Credit risk and counterparty risk
At December 31, 2020
Gross carrying amount
Impairment or provisions for expected credit losses
PD scale
PD scale
0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 100.0
0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 100.0
(in millions of euros)
100.0
100.0
Net
Debt instruments at fair value through other comprehensive income
12,534
16
0
0
0
0
0
0
0
0
0
0
12,550
S1 S2 S3 S1 S2 S3
12,534
16
0
0
0
0
0
0
0
0
0
0
12,550
0 0
5
Securities at amortized cost
1,883
0 0 0 0
0 0 0 0
0 0 0 0 3 3 1 0
0 0 0 0 2 2 0 0
193
4 5 0 0 2 1 1 0
0 0 0 0 2 0 2 0
0 0 0 0 1 0 1 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
142
1,930
1,389
0 0
0 0
1,385
494
494
0
193
142
51
Loans and receivables due from credit institutions and similar items at amortized cost
44,146
122
166
29
29
44,434
S1 S2 S3
43,834
2
156
0 0
0 0
43,996
311
120
10
438
0
0
0
29
29
0
Loans and receivables due from customers at amortized cost
60,268 48,120 12,148
2,663 1,429 1,235
1,051
1,109
633 154 479
3,596
113
39 11 29
17
20
19
1,172
67,939 50,408 15,107
S1 S2 S3 S1 S2 S3 S1 S2 S3
441 609
326 783
0 0
40 73
6
3
2
0 0
11
17
17
0
0
0
0
0
3,596
0
0
0
0
0
1,172
2,424
Financing commitments given
57,291
989 592 397 906 451 455 0
583 235 348 352 212 139 0
99 31 68
8 5 3 0
59
69 26 43
14
23
4 0 4 0 1 0 1 0
1 0 1 0 0 0 0 0
3 0 0 3
51,938
0 0
5 9 0 4 1 2 0
1
5,353
22
0
0
59
0
0
Guarantee commitments given
22,065
146
45 16 28
433
10
5 0 5 0
34
20,244
35
0 0
5 5 0
0 0
1,821
110
0
0
0
0
0
433
34
198,187
4,696
2,151
1,357
688
4,310
198
59
47
25
20
1,379
TOTAL AT DECEMBER 31, 2020
369
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
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