NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Consolidated financial statements and notes

Guarantee commitments reconciliation table

Guarantee commitments

Unimpaired commitments for which expected credit losses are measured over

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

Commitments impaired after their

Commitments impaired on origination/ acquisition

origination/ acquisition (S3 bucket)

12 months (S1 bucket)

Total

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

Gross exposure

Provisions for losses

(in millions of euros)

BALANCE AT 01/01/2018

16,314

(2)

10,303

(20)

103

(17)

15

(1)

26,735

(40)

New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers) Transfers of guarantee commitments

7,895

(2)

632

(3)

0

0

8,528

(4)

1,519

3

(763)

8

(38)

(4)

(0)

(0)

718

7

1,233 1,527 (294)

(2) (2)

(1,236) (1,523)

2 2

8 0 2 7

0 0 0 0

5 4 2 0

0 0 0 0

Transfers to S1 (a) Transfers to S2 Transfers to S3

0 0

294

(0)

(0)

(7)

0

Transfer to non-current assets held for sale (c) Fully sold, called or matured commitments

(11)

0

0

0

0

0

(11)

0

(3,136)

0 (4,187)

3

(0)

1

(10)

0 (7,333)

4

Variations linked to changes in exchange rates

855

(0)

197

(0)

1

(0)

0

0

1,053

(0)

Changes in the model used

0 0

0 0

- -

0 0

Other changes BALANCE AT 31/12/2018 (b)

0

0

0

0

-

0

24,669

(3)

4,947

(10)

74

(20)

5

(1)

29,695

(34)

New OBS commitments originated or purchased Variations linked to changes in credit risk parameters (excluding transfers) Transfers of guarantee commitments

9,153

(1)

203

(1)

9,356

(3)

(2,316)

2

(256)

0

(32)

(4)

(2,604)

(2)

(581)

(1) (2)

529

1 2

52

0

0 0 0 0

0 0 0 0

Transfers to S1 Transfers to S2 Transfers to S3

370

(370)

-

-

(929)

1 0

929 (30)

(1)

0

0 0

(22)

0

52

Transfer to non-current assets held for sale Fully sold, called or matured commitments

(5,840)

0 (1,439)

2

(18)

1

(7,296)

4

Variations linked to changes in exchange rates

325

0

32

0

0

0

357

0

Changes in the model used Other changes (d)

(4,154)

0

(723)

1

53

(18)

(2)

1 (4,826)

(16)

BALANCE AT 31/12/2019 (b)

21,257 (51) Including the transfer from Stage 2 to Stage 1, due to the improvement over the period of the ratings of the economic sectors to which the transferred amounts are related. (a) Gross carrying amount excluding insurance company contributions, i.e. €1,544 million (versus €939 million at December 31, 2018). (b) Corresponds to the SFS business lines recognized in non-current assets held for sale as at December 31, 2018 (see Notes 3.6 and 4.1). (c) Mainly comprising guarantees given to UCITS now recognize as derivatives. (d) (3) 3,294 (7) 129 (41) 3 0 24,682

362

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019