NATIXIS -2020 Universal Registration Document

FINANCIAL DATA Consolidated financial statements and notes

7.6.3

Debt securities at amortized cost

31/12/2020

31/12/2019

Impaired financial assets (b)

Unimpaired financial assets (a)

Unimpaired financial assets (a)

Impaired financial assets (b)

Total

(in millions of euros)

Total

Debt instruments Value adjustments for credit losses

1,884

193

2,076

1,551

155

1,706

(5)

(142)

(146) 1,930

(1)

(147)

(148) 1,558

TOTAL

1,879

51

1,550

8

Comprises unimpaired financial assets for which value adjustments are calculated based on 12-month expected credit losses (Stage 1) (a) or lifetime expected credit losses (Stage 2). Impaired financial assets (Stage 3) are assets for which a default event has been identified as defined in Article 178 of the EU Regulation of June 26, 2013 (b) on regulatory requirements for credit institutions.

Reconciliation table for debt securities at amortized cost

Debt securities at amortized cost at 31/12/2020

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

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

1,330

(137)

BALANCE AT 01/01/2019

982

95

(6)

84

(84)

168

(47)

New originated or acquired contracts

724

(0)

57

(0)

781

(0)

5

Changes in contractual cash flows not giving rise to derecognition Variations linked to changes in credit risk parameters (excluding transfers)

26

(0)

19

(1)

39

(24)

83

(25)

Financial asset transfers

0

(0) (0)

Transfers to S1

0

Transfers to S2 Transfers to S3 Contracts fully repaid or sold during the period Impairment in value (write-off) Variations linked to changes in exchange rates

(306)

(101)

0

(26)

2

(111)

13

(543)

15

14

(0)

1

0

(0)

(0)

(0)

14

(0)

Changes in the model used IFRS 5 – Entities held for sale Other changes

34

7

6

(5)

14

5

(20)

40

0

BALANCE AT 31/12/2019

1,474

(0)

77

(1)

93

(93)

63

(54)

1,706

(148)

New originated or acquired contracts

709

516

38

1,264

Changes in contractual cash flows not giving rise to derecognition Variations linked to changes in credit risk parameters (excluding transfers)

(223)

(5)

(53)

2

(4)

5

(1)

(269)

(10)

Financial asset transfers

(39)

39

Transfers to S1 Transfers to S2

(39)

39

Transfers to S3 Contracts fully repaid or sold during the period

(385)

(60)

(444)

Impairment in value (write-off)

(4) (8)

4 6

(4)

4 6

Variations linked to changes in exchange rates

(148)

(23)

(179)

Changes in the model used IFRS 5 – Entities held for sale Other changes

(2)

1

5

1

3

1

BALANCE AT 31/12/2020

1,389

(5)

494

87

(87)

106

(55)

2,076

(146)

333

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020