NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Original on- balance sheet gross exposure

Off -balance sheet exposures pre-CCF

Average PD (in %)

Average LGD (in %)

Average maturity (in days)

RWA density (in %)

CCF (in %)

PD scale (in millions of euros)

Number of obligors

Expected

EAD

RWA

loss Provisions

A-IRB PD scale Central governments and central banks 0.00 to < 0.15

38,939

1,716

74% 40,204

0.0% 0.2% 0.4%

288

8%

637 156

90 17 12

71

71 19

4 4

37% 35%

23% 65%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

9

10

100%

2,226

45

1 1

100% 100%

46

3.2%

12

47% 45%

1,732 2,431 1,124

69 18

150% 269%

1 1

10 to <100

6

7

27.3%

6 7

100.00 (default)

49

49

100.0%

104%

49

Sub-total Central governments or central banks

39,119

1,728

74% 40,396

0.1%

321

8%

639

206

1%

50

52

Institutions 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 <10.00 Corporates 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 <10.00 10 to <100 100.00 (default)

4,235

1,544

53% 62% 61% 28% 20% 20% 20%

5,054

0.0% 0.2% 0.3% 0.5% 1.6% 3.4%

345

16% 29% 29% 47% 51% 85%

473 170 261 425 193 282 540 682 447

289

6%

58

77 92

106 352 182

41 36 29 51 98

23

22% 35% 80%

296

125 146

57

442 238 171

9

58

72

124% 278% 662%

115

149

415

4

1

19.4%

2 5

104%

1

23

23

100.0%

84% 21%

22

Sub-total Institutions

4,793

2,565

44%

5,923

0.6%

607

1,070

18%

28

28

15,003

20,480

67% 28,812

0.1% 0.2% 0.3% 0.6% 1.4% 4.2%

882 254 324 475 864 960 345 294

32% 27% 27% 26% 27% 29% 29% 44% 29% 44% 44% 51% 33% 40% 41% 38% 32% 39%

1,044 1,015

4,442 2,006 3,691 4,819

15% 26% 34% 42% 63% 96%

5 4 9

3,195 6,527 6,880

6,372 7,046 7,678

71%

7,703

62% 10,903 59% 11,381 52% 16,391

974

1,060 1,096 1,103

17 60 84 24

10,587

11,245

10,335

4,555

4,349

53% 69% 28%

6,846

6,600

10 to <100

303

367 426

556

15.4%

913 994

812

146% 103%

100.00 (default)

3,724

3,842

100.0%

3,948

1,630

Subtotal Corporates Corporates – SME 0.00 to < 0.15

50,774

57,963

62% 86,435

5.3%

4,398

1,046

36,653

42%

1,833

1,970

3

20% 20% 77%

1 1

0.1% 0.2% 0.3% 0.6% 1.5% 3.6%

10 12 19 43

236

18% 64% 52% 53% 90%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

1

2,884

65

34

91

250 965

47

117 299 212

110 103

100%

227 391 263

121 350 284

89% 92% 46% 41% 89% 81% 81% 73% 63% 54% 62%

112 204

1,022

2 4 1

56 17

704 366 831 844

108% 145%

10 to <100

7

15 52

14.4%

70 51

21 48

100.0%

93% 84%

35

100.00 (default)

51

2

Sub-total Corporates – SME

750

325

1,039

6.9%

521

872

43

41

Corporates – Specialized Lending 0.00 to < 0.15

1,056

805 581

1,705 1,169 1,864 3,693 5,674

0.1% 0.2% 0.3% 0.5% 1.2% 3.3%

64 53

9% 8% 9%

2,162 1,718 1,833 1,874 1,664 2,027

114 111 264 791

7% 9%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default)

700

1,114 2,597 3,798

1,033 1,736 3,455

112 219 288

14% 21% 36% 44%

1 2

11% 14% 13%

2,046

10

694

313

888

84

394

4

633

16

68%

644

100.0%

42

65% 14%

1,480

460

71% 27%

127

Sub-total Corporates – Specialized Lending

10,592

7,938

64% 15,637

4.9%

862

1,805

4,181

144

221

Corporates – Other 0.00 to < 0.15

13,947

19,672

67% 27,107

0.1% 0.2% 0.3% 0.6% 1.4% 4.4%

808 189 193 213 464 672 275 201

34% 31% 30% 33% 33% 31% 28% 40% 33%

973 889 803 660 788 978 928 898 879

4,328 1,895 3,380 3,907 7,939 5,921

16% 29% 38% 52% 77%

5 3 8

2,494 5,349 4,166 6,490 3,649

5,791 5,978 5,833 7,688 3,980

70% 60% 56% 51% 70% 26%

6,533 8,948 7,461

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

15 48 76 23

50% 10,327

5,695

104% 146% 109%

10 to <100

296

351 407

541

15.4%

790

100.00 (default)

3,040

3,147

100.0%

3,440

1,468

Sub-total Corporates – Other

39,432

49,700

61% 69,759

5.3%

3,015

31,600

45%

1,647

1,707

204

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

Made with FlippingBook Publishing Software