NATIXIS -2020 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Average PD (in %)
Number of obligors
Average LGD (in %)
Average maturity (in days)
RWA density (in %)
PD scale (in millions of euros) Corporates – SME 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 10.00 to <100.00 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 10.00 to <100.00 100.00 (default) Corporates – Other 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 10.00 to <100.00 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 10.00 to <100.00 100.00 (default) Sub-total A-IRB TOTAL 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 10.00 to <100.00 Sub-total 100.00 (default) Sub-total Total A-IRB 0.00 to < 0.15 100.00 (default) Sub-total
EAD
RWA
4 2 3
44% 44% 44% 44% 43% 24% 44% 38% 36% 16% 11% 13% 14% 16% 14% 36% 34% 36% 43% 40% 40% 33% 36% 37% 24% 30% 27% 28% 33% 39% 34% 47% 25% 24% 30% 27% 28% 33% 39% 34% 47% 26% 66% 15%
1,383
1 3 5 7
0.2% 0.4% 0.6% 1.4% 3.9%
409 643 920 439
27% 50% 67% 80% 70%
1 4 6
27 68 85 89 11
14
1,192
10 13
7 4
12.0%
1,,606
207% 203% 103%
100.0%
381
7
40
12.6%
289
964
41
Corporates – Specialized Lending 0.00 to < 0.15
225 255 414 754 852
0.1% 0.2% 0.3% 0.5% 1.3% 3.1%
22 34 53
3,460 3,108 2,933 3,001 2,781 2,835
36 32 85
16% 13% 21% 28% 42% 49%
152 198
211 361
56
23
27
32
100.0%
5
3,180
47
150%
2,588
1.9%
487
2,967
799
31%
9,091
660 131 146 180 408 537 426
249
661 276 220 403
7%
941 567 626
0.2% 0.3% 0.6% 1.4% 4.0%
1,088
29% 39% 64% 82%
852 631 578 522
1,842
1,511
647
761
118% 161% 160%
59 60
14.8%
1,055 1,387
94 95
100.0%
27
13,833
0.9%
2,515
413
4,023
29%
29,955
1,073
455 957
1,506
5%
2,448 1,664 1,520 2,803
0.2% 0.3% 0.6% 1.3% 3.9%
248 280 405 706 692 515
595 569 690 906 108 150 603 580 690 914 108 150
24% 34% 45% 71%
1,419 1,791 1,241
1,994
782
749
116% 166% 157%
65 95
14.5%
1,110 1,936
100.0%
45
39,332
0.5%
3,964
645
6,517
17%
30,782
1,142
471 946
1,683
6%
2,481 1,681 1,520 2,869
0.2% 0.3% 0.6% 1.3% 3.9%
256 285 406 707 694 515
24% 35% 45% 71%
1,439 1,790 1,213
2,040
788
743
116% 166% 157%
65 95
14.5%
1,110 1,936
100.00 (default)
100.0%
45
TOTAL AT 31/12/2020
40,280
0.5%
4,050
653
6,767
17%
210
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
Made with FlippingBook Publishing Software