NATIXIS // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS AT DECEMBER 31, 2021 Consolidated financial statements and notes

7.6.3

Debt securities at amortized cost

31/12/2021

31/12/2020

Impaired financial assets (b)

Unimpaired financial assets (a)

Unimpaired financial assets (a)

Impaired financial assets (b)

Total

(in millions of euros)

Total

Debt instruments

1,237

133 (88)

1,370

1,884

193

2,076 (146)

Value adjustments for credit losses

(6)

(94)

(5)

(142)

TOTAL 1,930 Comprises unimpaired financial assets for which value adjustments are calculated based on 12-month expected credit losses (Stage 1) or lifetime (a) 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 (b) of June 26, 2013 on regulatory requirements for credit institutions. 1,232 45 1,277 1,879 51

Reconciliation table for debt securities at amortized cost

Debt securities at amortized cost

Unimpaired assets for which expected credit losses are

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

Assets impaired after their origination/

measured on a lifetime basis (S2 bucket)

Assets impaired on origination/ acquisition

acquisition (S3 bucket) Value adjustment for credit losses

Total

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 AS AT 01/01/2020

1,474

(0)

77

(1)

93

(93)

63 38

(54)

1,706 1,264

(148)

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)

709

516

5

(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 Impairment in value (write-off) Variations linked to changes in exchange rates

(385)

(60)

(444)

(4)

4

(4)

4

(148)

(23)

(8)

6

(179)

6

Changes in the model used IFRS 5 – Entities held for sale Other changes BALANCE AS AT 31/12/2020

(2)

1

5

1

3

1

1,389

(5)

494

87

(87)

106

(55)

2,076

(146)

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)

108

27

-

-

135

-

-

(36) 194 207 (13)

1

(118) (194) (207)

(6)

6

(46)

39

(206)

46 (1)

Financial asset transfers

(2)

Transfers to S1 Transfers to S2

13

(2)

(1)

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

(574)

(130)

-

-

(705)

(43)

43

(43)

43

63

14

1

(1)

5

(4)

83

(5)

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

- -

-

Other changes

30 52

(30)

30

(30) (94)

BALANCE AS AT 31/12/2021

1,144

(4)

93

(2)

81

(81)

(7)

1,370

345

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021