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
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