NATIXIS - Universal registration document and financial report 2019
FINANCIAL DATA Consolidated financial statements and notes
Risk management Note 11
Capital adequacy 11.1 The information on capital adequacy required under IAS 1 is presented in Section 3.3.1 of Chapter 3, “Risk factors, risk management and Pillar III”.
11.2
Credit risk and counterparty
risk The information on risk management required under IFRS 7, with the exception of the disclosures given below, is presented in Section 3.2.3 of Chapter 3, “Risk factors, risk management and Pillar III”.
Risk profile 11.2.1 This table aims to present the breakdown by credit risk category of the various accounting outstandings eligible for IFRS 9 provisioning (broken down into Stages 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 6.3) .
At December 31, 2019
Gross carrying amount
Impairment or provisions for expected credit losses
PD scale
PD scale
Net
10.00 to < 100.0
10.00 to < 100.0
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.0
100.0 (default)
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.0
100.0 (default)
(in millions of euros)
Debt instruments at fair value through other comprehensive income 11,563
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0
0 0 0 0 1 0 1 0
0 0 0 0 0 0 0 0 0 0 0 0 5 0 5 0 6 0 6 0 1 0 1 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 11,563 0 11,529
S1 S2 S3
11,529
33
0 0
33
0
0
5
Securities at amortized cost
1,551
155
147 1,558
S1 S2 S3
1,474
0 0
0 1,474
77
0
76
0
155
147
8
Loans and receivables due from credit institutions and similar items at amortized cost
47,542
17
2 2 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
48
3 1 2 0
0 0 0 0
48 47,558 0 46,846 0 712
S1 S2 S3
46,844
0
0 0
698
17
0
0
48
48
0
Loans and receivables due from customers at amortized cost
66,966 50,776 16,190
119
253
481 1,048
519
6 3,072
114
1 1,255 71,089
S1 S2 S3
0
253
481
1,048
519
6 0 0 0 0 0 0 0 0 0 0
0 0
39 75
1 0 0 0 0 0 0 0 0 0 0
0 53,043 0 16,229
119
0 0
0 0
0 0
0 0
0
0
3,072
0
1,255 1,817
Financing commitments given
52,007
118
0 0 0 0 1 0 1 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
76
57 15 42
13
S1 S2 S3
46,526
0
0 0
0 0
5,481
118
0
0
76
0
13
Guarantee commitments given
24,505
47
130
9 3 7 0
41
S1 S2 S3
21,257
0
0 0
0 0
3,247
48
0
0
130
41
TOTAL AT DECEMBER 31, 2019
204,133
301
256
481 1,048
519
6 3,481
184
12
0
0
0
0
1 1,504
349
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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