NATIXIS -2020 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Credit risk exposures: standardized approach SA – Credit risk exposure and crm effects (EU CR4)
Exposures before CCF and CRM
Exposures post-CCF and CRM
RWA and RWA density
On-balance sheet amount
Off-balance sheet amount
On-balance sheet EAD
Off-balance sheet EAD
RWA density
(in millions of euros)
RWA
7,366
89
7,366
44
1,065
14% 17% 11%
Central governments and central banks Regional governments or local authorities
211 546
206 546
35 75
Public sector entities
224
112
Multilateral Development Banks International Organizations
977
977
Institutions*
44,966
9,262 1,019
44,965
4,702
344
1%
Business
1,716
1,539
351
1,186
63% 65% 40%
Retail
907 276 151
107
492 276
22
333 112
Secured by mortgages on immovable property
5
3 8
Defaulted exposures
17
36
53
120%
Items associated with particularly high risk Covered Bonds Exposures to institutions and corporates with a short-term credit assessment Collective investments undertakings Equity Other assets
90
5
86
1
51
58%
6,330
6,330
5,470 8,725
86% 13%
TOTAL AT 31/12/2020
63,538
10,729
62,820
5,242 100% 5,651 100%
* o/w affiliates
96%
100%
96%
TOTAL AT 31/12/2019
63,336
11,345
62,540
11,183
16%
* o/w affiliates
96%
100%
96%
SA – exposures (EAD) by asset classes and risk weights (CR5)
Un- rated*
Total
Risk Weight
Exposure classes (in millions of euros) Central governments and central banks Regional governments or local authorities
0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other Deducted
6,980
8
423
7,410 6,343
30
176 255
206 658
176
28
Public sector entities
357
43
3
Multilateral Development Banks International Organizations
977
977
977
349
253 886
49,667 49,318
Institutions
47,986 1,079
Business
352
11
396
81
154
8
1,890 1,776
Retail
514
514
514
Secured by mortgages on immovable property
181
98
279
279
Defaulted exposures
27
17
44
35
Items associated with particularly high risk Covered Bonds Exposures to institutions and corporates with a short-term credit assessment
39
21
16
11
87
Collective investments undertakings Equity Other assets TOTAL AT 31/12/2020 TOTAL AT 31/12/2019
23
4
4,709
1,593
6,330 6,321
56,706 1,083 53,688 1,293
830 577 244 706 453 1,568
154 267
514 5,902 774 7,256
36
423 410
1,593 1,675
68,062 65,767 68,192 65,103
104
Of which €48,293 million in exposure to Groupe BPCE affiliates and excluding exposures to the French Government at 31/12/2020. *
200
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
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