NATIXIS - 2018 Registration document and annual financial report
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Currency and unit:
( in millions of euros)
Total non-weighted value (average)
Total weighted value (average)
End of quarter (Month/Day/Year)
31/03/2018
30/06/2018
30/09/2018
31/12/2018
31/03/2018
30/06/2018
30/09/2018
31/12/2018
Number of points used to calculate average
12
12
12
12
12
12
12
12
Liquid assets Total liquid assets
75,592
66,322
71,032
68,255
Cash outflows Retail deposits and deposits from small business customers:
1,863
1,682
1,924
2,049
186
168
192
205
Stable deposits
0
0
0
0
0
0
0
0
3
Less stable deposits
1,863
1,831
1,924
2,049
186
183
192
205
Unsecured wholesale funding, of which: Operational deposits (all counterparties) Non-operational deposits (all counterparties)
71,716
65,730
69,907
66,177
57,069
52,070
55,073
51,624
4,930
4,588
5,106
5,161
1,233
1,147
1,276
1,290
55,824
50,740
55,099
51,382
44,875
40,520
44,094
40,700
Uncollateralized debt
10,962
10,402
9,702
9,634
10,962
10,402
9,702
9,634
Unsecured wholesale funding, of which:
0
12,535
25,721
25,608
Additional requirements, of which:
52,680
49,226
54,710
56,251
14,614
13,364
14,689
15,075
Outflows related to derivative exposures and other collateral requirements
5,719
5,199
5,733
6,034
5,608
4,946
5,339
5,560
Outflows on collateralized debt
0
0
0
0
0
0
0
0
Credit and liquidity facilities
46,960
44,028
48,977
50,217
9,006
8,418
9,350
9,514
Other contractual funding obligations Other contingent funding obligations
18,662
18,234
17,933
18,680
16,632
16,179
15,885
16,581
31,883
29,770
33,712
36,135
779
774
852
851
TOTAL CASH OUTFLOWS
89,281
95,090
112,413
109,944
Cash inflows Collateralized lending transactions (o/w reverse repos) Inflows from fully performing exposures (Difference between total weighted cash inflows and total weighted cash outflows resulting from transactions conducted in other countries applying restrictions on transfers or which are denominated in non-convertible currencies) (Excess of cash inflows from a related lending institution) Other cash inflows
97,805
94,459
104,951
105,890
9,160
9,313
10,705
11,907
19,751
20,736
23,900
23,035
17,430
18,494
21,364
20,420
20,689
20,368
19,840
19,633
15,832
15,392
14,896
14,707
0
0
0
0
0
0
0
0
TOTAL CASH INFLOWS
138,245
135,563
148,691
148,558
42,421
43,200
46,966
47,033
Cash inflows (exempt from cap)
0
0
0
0
0
0
0
0
Cash inflows (subject to 90% cap)
0
0
0
0
0
0
0
0
Cash inflows (subject to 75% cap)
121,883
117,618
130,486
128,866
42,421
41,765
46,966
47,033
Total adjusted value
LIQUIDITY BUFFER
75,592
65,928
70,538
67,761
TOTAL NET CASH OUTFLOWS
69,349
60,797
65,447
62,911
LIQUIDITY REQUIREMENT COVERAGE RATIO (IN %)
108.9%
108.2%
107.6%
107.6%
a liquidity reserve established in advance to meet a liquidity a crisis similar to the one simulated by the LCR; the amount of this reserve ranges from €20 billion to €30 billion and is mainly reinvested with the ECB and the US Federal Reserve. Since 2015, a portion of assets in this reserve has been under “dedicated” management in special portfolios, with an allocation strategy focused on the list of financial instruments considered as Level 1 and Level 2 HQLA as defined by LCR regulations in force. The liquidity of the portfolios (mainly subject to delegated management by Natixis Ostrum and managed directly under a Natixis mandate since 2017) and the assets reinvested with central banks ensure the reserve can be mobilized immediately if needed.
B – Reserves and operational management of ratios Operational liquidity reserves From an operational standpoint, Natixis has two liquidity reserves that contribute to BPCE Group’s reserves: a reserve of liquid assets eligible for central bank collateralized a refinancing operations to secure intra-day settlements; this relatively stable reserve is made up of central bank loans and securities, and is located in Paris (about €4 billion in the 3G Pool) and New York (approximately $2 billion at the FRB discount window);
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Natixis Registration Document 2018
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