NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
RISK WEIGHTS USED FOR SA EXPOSURES BY ASSET CLASS AND BY RATING GRADE (CRD-D) R
Asset classes
Rating agency
Grade
Bucket
Risk weight (%)
0 20*
Long term
AAA to AA-
1
FITCH
Short term
F1+ to F1
20*
2
A+ to A-
0
Long term
3
BBB+ to BBB-
50
0 20*
Long term
Aaa to Aa3
1
Short term
P-1
20*
MOODY’S
2
A1 to A3
20
3
Baa1 to Baa3
50
Long term
4
Ba1 to Ba3
100
6
Caa, Ca, C
150
0 20* 0 20*
Short term
A-1+
1
AAA to AA-
Central governments or central banks
4 20 50
S&P
2
A+ to A-
Long term
10 50 100*
3
BBB+ to BBB-
0 20* 20 50*
1
3++
2
3+, 3
0 50 100* 100 150* 100 150*
BDF Long term/Short term
3
4+
4
4, 5+
5
5, 6
1
3++
75
2
3, 3
75
3
4+
75
Retail
BDF
Long term
4
4, 5+
75
5
5, 6
75
6
7, 8, 9, P
75
FITCH
Long term
5
B+ to B-
150
1
Aaa to Aa3
20
2
A1 to A3
50
3
Baa1 to Baa3
100
MOODY’S
Long term
4
Ba1 to Ba3
100
5
B1 to B3
150
6
Caa, Ca, C
150
1
AAA to AA-
20
2
A+ to A-
50
Corporates
S&P
Long term
3
BBB+ to BBB-
100
5
B+ to B-
150
6
CCC, CC, R, SD/D
150
1
3++
20
2
3+, 3
50
3
4+
100
BDF Long term/Short term
4
4, 5+
100
5
5, 6
150
6
7, 8, 9, P
150
192
Natixis Registration Document 2018
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