NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

RECONCILIATION TABLE FOR DEBT SECURITIES AT AMORTIZED COST R

Debt securities at amortized cost at 31/12/2018

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

Unimpaired assets for which expected credit losses are measured over 12 months (S1 bucket)

Assets impaired after their origination/acquisition (S3 bucket)

Assets impaired on origination/acquisition

Total

Value adjustment for credit losses

Value adjustment for credit losses

Value adjustment for credit losses

Value adjustment for credit losses

Value adjustment for credit losses

Gross carrying amount

Gross carrying amount

Gross carrying amount

Gross carrying amount

Gross carrying amount

(in millions of euros)

BALANCE AT 01/01/2018

734

68

(2)

127

(96)

171

(17)

1,100

(116)

New originated or acquired contracts Changes in contractual cash flows not giving rise to derecognition Variations linked to changes in credit risk parameters (excluding transfers) Financial asset transfers Transfers to S1 Transfers to S2 Transfers to S3 Contracts fully repaid or sold during the period Variations linked to changes in exchange rates Changes in the model used IFRS5 – Entities held for sale Other changes Impairment in value (write-off)

240

148

(7)

389

(7)

71

6

(5)

12

1

(3)

(30)

86

(33)

5

(78)

(126)

8

(52)

10

(256)

18

(2)

2

(2)

2

15

(1)

15

(1)

(1)

(1)

(2)

BALANCE AT 31/12/2018

982

95

(6)

84

(84)

168

(47)

1,330

(137)

Other information relating to financial assets 8.7 Financial assets provided as security against liabilities 8.7.1

The table below shows, inter alia, the carrying amount of: the underlying assets of the covered bond issues; a financial instruments (securities and receivables) deposited a with central banks and assignable as collateral to guarantee refinancing operations at any time. These instruments continue to be disclosed in the consolidated balance sheet in accordance with their original classification.

financial asset, or retains the contractual rights to collect cash flow from the financial asset but assumes a contractual obligation to pay those cash flows to one or more beneficiaries. Natixis has continuing involvement in a fully derecognized transferred financial asset if, according to the terms of the transfer, it retains contractual rights or obligations inherent in that asset or obtains or assumes new contractual rights or obligations to that asset. 8.7.2.1 Financial assets transferred but not fully derecognized Transferred financial assets that are not derecognized are essentially composed of the following instruments: repurchase agreements; a securities lending backed by cash remittals; a dry securities lending; a securitization for which the counterparties to the associated a debts have recourse only to the transferred assets. These instruments are considered transferred assets because they are the underlying assets of transactions that organize a transfer between Natixis and the assignee of ownership of the assets and the attached cash flows. They are kept on the asset side of the consolidated balance sheet because virtually all the benefits and risks are maintained, since the securities must be returned to Natixis (unless Natixis defaults).

31/12/2018 01/01/2018 (a)

(in millions of euros) Debt instruments

2,787 2,496

2,082 5,321

Loans and receivables

Other TOTAL

5,282 7,403 Of which €1.8 million at January 1, 2018 for the SFS business lines (a) recognized in non-current assets held for sale.

Financial assets transferred 8.7.2 The tables below show financial asset transfers according to the amendment to IFRS 7, which distinguishes two categories of transferred assets: transferred financial assets that are not, partially or wholly, derecognized, and transferred financial assets that are fully derecognized, for which Natixis maintains continuing involvement. A financial asset is partially or wholly transferred if Natixis transfers the contractual rights to collect cash flow from the

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Natixis Registration Document 2018