NATIXIS - 2018 Registration document and annual financial report

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

Asset classes

Rating agency

Grade

Bucket

Risk weight (%)

20 50

2

A+ to A-

FITCH

Long term

4

BB+ to BB-

100

5

B+ to B-

100

1

Aaa to Aa3

20

20 50

MOODY’S

Long term

2

A1 to A3

3

Baa1 to Baa3

50

Institutions

1

AAA to AA-

20

3

20 50

2

A+ to A-

S&P

Long term

20 50 100

3

BBB+ to BBB-

1

3++

20

BDF

Long term

2

3+, 3

20

4

4, 5+

50

100 150 100 150 100 150 100 150 100 150 100 150

1

3++

2

3+, 3

3

4+

Defaulted exposures

BDF Long term/Short term

4

4, 5+

5

5, 6

6

7, 8, 9, P

1

AAA to AA-

50

S&P

Long term

2

A+ to A-

50

1

3++

50

2

3+, 3

50

Exposures secured by mortgages on immovable property

3

4+

50

BDF

Long term

4

4, 5+

50

5

5, 6

50

6

7, 8, 9, P

50

1

F1+ to F1

50

FITCH

Short term

3

F3

100

1

P-1

20

MOODY’S

Short term

2

P-2

50

1

A-1+

20

2

A-1

50

S&P

Short term

20 100

3

A-2 to A – 3

Exposure to institution and corporate with short-term credit assessment

1

3++

20

2

3+, 3

50

3

4+

100

BDF

Short term

100 150

4

4, 5+

5

5, 6

150

6

7, 8, 9, P

150

Concerns third parties clasiified RGLA or PSE. *

193

Natixis Registration Document 2018

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