NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Consolidated financial statements and notes

8.6.3

Debt instruments at amortized cost

31/12/2019

31/12/2018

Unimpaired financial assets (a)

Impaired financial assets (b)

Unimpaired financial assets (a)

Impaired financial assets (b)

Total

(in millions of euros)

Total

Debt instruments

1,551

155

1,706 (148) 1,558

1,124

206

1,330 (137)

Value adjustments for credit losses

(1)

(147)

(6)

(132)

TOTAL 1,193 Corresponds to 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 of June 26, 2013 (b) on regulatory requirements for credit institutions. 1,550 8 1,118 75

Reconciliation table for debt securities at amortized cost

Debt securities at amortized cost

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)

BALANCE AT 01/01/2018

734

68

(2)

127

(96)

171

(17)

1,100

(116)

New originated or acquired contracts

240

148

(7)

389

(7)

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

71

6

(5)

12

1

(3)

(30)

86

(33)

(78)

(126)

8

(52)

10

(256)

18

Impairment in value (write-off)

(2)

2

(2)

2

Variations linked to changes in exchange rates

15

(1)

15

(1)

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

(1)

(1)

(2)

BALANCE AT 31/12/2018

982

95

(6)

84

(84)

168

(47)

1,330

(137)

New originated or acquired contracts

724

(0)

57

(0)

781

(0)

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) (0)

Transfers to S1

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)

316

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019