NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

At December 31, 2019

Gross carrying amount

Impairment or provisions for expected credit losses

PD scale

PD scale

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)

Net

Debt instruments at fair value through equity

11,563

0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 2 2 0 0 0 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 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 6 0 0 0 0 0 0 0 0 0 0

0 0 0 0

0 0 0 0 1 0 1 0 3 1 2 0

0 0 0 0 0 0 0 0 0 0 0 0 5 0 5 0 6 0 6 0 1 0 1 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0

0 11,563 0 11,529

S1 S2 S3 S1 S2 S3

11,529

33

0 0

33

0

0

Securities at amortized cost

1,551

155

147 1,558

1,474

0 0

0 1,474

77

0

76

0

155

147

8

Loans and receivables due from credit institutions and similar items at amortized cost

47,542

17

48

48 47,558

S1 S2 S3

46,844

0

0 0

0 46,846

698

17

0

712

0

0

48

48

0

Loans and receivables due from customers at amortized cost

66,966 119

253

481 1,048 481 1,048

519

6 3,072

114

1 1,255 71,089

S1 S2 S3 S1 S2 S3 S1 S2 S3

50,776 16,190

0

253

519

0 0

39 75

0 53,043 0 16,229

119

0

0

3,072

0

1,255 1,817

Financing commitments given

52,007 118

76

57 15 42

13

46,526

0

0 0

0 0

5,481

118

0

0

76

0

13

Guarantee commitments given 24,505

47

130

9 3 7 0

41

0

0 0

0 0

21,257

3,247

48

0

0

130

41

TOTAL AT DECEMBER 31, 2019 204,133 301

256

481 1,048

519

6 3,481

184

12

1 1,504

Guarantees received for instruments impaired under IFRS 9 10.2.2 The following table presents the exposure of all of Natixis’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.

31/12/2020

31/12/2019

Guarantees

Maximum exposure net of impairment (c)

Guarantees

Maximum exposure net of impairment (c)

Maximum risk exposure (b)

Maximum risk exposure (b)

Impaired financial instrument class (a) (in millions of euros)

Personal guarantees

Real collateral

Personal guarantees

Real collateral

Impairment

Impairment

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 Financing commitments given Guarantee commitments given

193

(142)

51

155

(147)

8

29

(29)

-

48

(48)

0

3,596

(1,172)

2,424

600

552

3,072

(1,255)

1,817

298

945

59

(3)

56

19

13 18

76

(13) (41)

63 88

5

21 26

433

(34)

399

311

129

26

TOTAL

4,310

(1,379)

2,931

930

582

3,480

(1,504)

1,976

328

992

Assets impaired after their origination/acquisition (Stage 3) or on their origination/acquisition (POCI). (a) Gross carrying amount. (b) Carrying amount in the balance sheet. (c)

Market risk, overall interest rate risk, liquidity risk and structural

10.3

foreign exchange risk The information on the managementof market risks, overall interest rate risks, liquidity risks and structural foreign exchange risks required by IFRS 7 is presented in the section 3.2 of Chapter [3] “Risfkactors, risk management and pillars III”.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020