NATIXIS // 2021 Universal Registration Document
CONSOLIDATED FINANCIAL STATEMENTS AT DECEMBER 31, 2021 Consolidated financial statements and notes
Note 9
Risk Management
Capital adequacy 9.1 The information on capital adequacy required under IAS 1 is presented in Section 3.3 of Chapter 3 “Risk factors, risk management and Pillar III”.
Credit risk and counterparty risk 9.2 The information on risk management required under IFRS 7, with the exception of the disclosures given below, is presented in Section 3.2.4 of Chapter 3 “Risk factors, risk management and Pillar III”. 9.2.1 This table aims to present (excluding contributions from insurance companies) the breakdown by credit risk category of the various accounting outstandings eligible for IFRS 9 provisioning (broken down into S1, S2 and S3), and the corresponding impairments and provisions. The credit risk categories are represented by the IFRS 9 probability of default ranges associated with the central scenario (see Note 5.3) . Risk profile
As at December 31, 2021
Gross carrying amount
Impairment or provisions for expected credit losses
PD scale
PD scale
0.00 to < 0.05
0.00 to < 0.05
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 100.0 100.0
0.05 to < 0.10
0.10 to < 0.15
0.15 to < 0.25
0.25 to < 100.0 100.0
(in millions of euros)
Net
Debt instruments at fair value through other comprehensive income
11,101 11,101
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 11,101 0 11,101
S1 S2 S3 S1 S2 S3
5
0 0
Securities at amortized cost
1,237 1,144
0 0 0 0
0 0 0 0
0 0 0 0
0 133
6 4 2 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
88 1,277 0 1,141
0 0
0 0
93
0
91 45
0
0 133
88
Loans and receivables due from credit institutions
and similar items at amortized cost
86,657 86,507
79 54 25
0 0 0 0
1 0 0 0
0 0 0 0
24
3 2 1 0
2 1 1 0
0 0 0 0
0 0 0 0
0 0 0 0
24 86,732 0 86,559 0 173
S1 S2 S3
0 0
150
0
0
24
24
0
Loans and receivables due from customers at amortized cost
64,479 2,456 703 578 147 3,069
95 44 52
46 17 29
15
29
13 1,088 70,146
S1 S2 S3
53,743 1,207 303 112
39
0 0
6 9 0
5
5 8
0 55,329 0 12,836
10,736 1,249 400 466 108
25
0
0
0
0
0 3,069
0
0
0
0 1,088 1,981
Financing commitments given
60,220 1,133 524 271 373 271
84 25 59
32
18
13
1 0 1 0 2 0 2 0
2 0 0 2
S1 S2 S3
55,325 676 304
89 360
0 0
3
8
1
4,894 457 219 181
13
29
10
12
0
0
0
0
0 271
0
0
0
0
Guarantee commitments given
26,879 481 170
57
90 481
9 5 4 0
2 0 1 0
2 0 2 0
1 0 1 0
39
S1 S2 S3
23,114 225
37
0
1
0 0
0 0
3,765 255 133
57
89
0
0
0
0
0 481
39
TOTAL AT DECEMBER 31, 2021 250,572 4,148 1,397 906 611 3,978 198
82
34
43
16 1,242
373
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021
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