NATIXIS -2020 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Securitization exposures in the trading portfolio (SEC2)
Bank acting as originator
Bank acting as sponsor
Bank acting as investor
Sub- total
Sub- total
Sub- total
Tradi- tional
Syn- thetic
Tradi- tional
Syn- thetic
Tradi- tional
Syn- thetic
(in millions of euros)
RMBS
94
94
Consumer ABS Consumer loans
139
139
3
3
Re-securitization RETAIL (TOTAL) – OF WHICH
236
236
Corporate loans
86 18 25
86 18 25
ABS CDO
CMBS Other Re-securitization
1
1
WHOLESALE (TOTAL)
130
130
EAD and RWA according to natixis’ role in the banking book (NX31-A)
Regulatory capital requirement
(in millions of euros)
EAD
RWA
Investor
2,337 1,103 1,234 2,687 2,687 8,766
740 514 226
59 41 18
Balance sheet
Off-balance sheet
Originator
1,262 1,262 1,382 1,382 3,384 2,684 -
101 101 111 111 271 215 -
Balance sheet
Sponsor
Balance sheet
-
Off-balance sheet
8,766
TOTAL AT 31/12/2020 TOTAL AT 31/12/2019
13,790 10,832
EAD according to Natixis’ role in the securitization trading book (NX31-B)
31/12/2019
Regulatory capital requirement
EAD
RWA
Rôle (in millions of euros)
Investor
366
140
11
Originator Sponsor TOTAL AT 31/12/2020 TOTAL AT 31/12/2019
366 515
140 203
11 16
Re-securitization exposures before and after substitution (NX34)
Guarantor rating (in millions of euros)
Exposure
Protection
EAD
Sub-total Unsecured
TOTAL AT 31/12/2020 TOTAL AT 31/12/2019
214
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
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