NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

Guarantee commitments reconciliation table

Guarantee commitments given – 31/12/2020

Unimpaired commitments for which expected credit losses

Unimpaired commitments for which expected credit losses are measured on a lifetime basis (S2 bucket)

Commitments impaired after their origination/

Commitments impaired on origination/ acquisition

are measured over 12 months (S1 bucket)

acquisition (S3 bucket)

TOTAL

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

(in millions of euros)

BALANCE AT 01/01/2019 New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers)

24,669

(3)

4,947

(10)

74

(20)

5

(1)

29,695

(34)

9,153

(1)

203

(1)

9,356

(3)

(2,316)

2

(256)

0

(32)

(4)

(2,604)

(2)

Transfers of guarantee commitments

(581)

(1) (2)

529

1 2

52

0

0 0 0 0

0 0 0 0

Transfers to S1 Transfers to S2 Transfers to S3

370

(370)

-

-

(929)

1 0

929 (30)

(1)

0

0 0

0

52

(22)

Transfer to non-current assets held for sale (c) Fully sold, called or matured commitments Variations linked to changes in exchange rates Changes in the model used Other changes (b) BALANCE AT 31/12/2019 (a) New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers)

(5,840)

0 (1,439)

2

(18)

1

(7,296)

4

325

0

32

0

0

0

357

0

(4,154) 21,257

0

(723) 3,294

1

53

(18) (41)

(2)

1 (4,826) 0 24,682

(16) (51)

(3)

(7)

129

3

3,469

(1)

300

(2)

0

0

3,769

(3)

(1,113)

(3)

(748)

(7)

(3)

5

(1)

0 (1,864)

(5)

Transfers of guarantee commitments

(395)

0 1

311

0 1

84

(0)

0 0 0 0

0 2

Transfers to S1 Transfers to S2 Transfers to S3

394

(394)

0

0 0

(779)

(1)

780 (75)

(1)

(1) 85

(1)

(10)

0

0

(0)

0

Transfer to non-current assets held for sale

0

0

0

0

0

0

0

0

Fully sold, called or matured commitments Variations linked to changes in exchange rates Changes in the model used

(3,983)

1

(468)

2

(1)

0

(0)

0 (4,452)

2

(1,477)

0 0 0

(145)

0 0 0

(28)

2 0 0

0

0 (1,651)

2 0 1

Other changes (c)

3,202

9

252 433

0 2

0

3,462

BALANCE AT 31/12/2020 (a) (54) Gross carrying amount excluding insurance company contributions, i.e. €14 million at December 31, 2020 (versus €1,544 million at December 31, 2019). (a) Mainly comprising guarantees given to UCITS now recognized as derivatives. (b) Including an amendment made on December 31, 2020 concerning guarantee commitments in the form of letters of credit granted by the New York branch. (c) In 2019, these guarantees were presented for an amount net of guarantees received from other participants. The impact is of €2,930 million on commitments classified as stage 1 and of €252 million on commitments classified as stage 3. 20,960 (6) 2,553 (14) (34) 0 23,946

382

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020