NATIXIS -2020 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Encumbered and unencumbered assets 3.3.4
Carrying amount of encumbered assets
Fair value of encumbered assets
Carrying amount of unencumbered assets
Fair value of unencumbered assets
o/w theoretically- eligible EHQLA and HQLA
o/w theoretically- eligible EHQLA and HQLA
o/w EHQLA and HQLA
o/w EHQLA and HQLA
Template A – Encumbered and unencumbered assets (in millions of euros)
52,404 15,583 17,651
23,982 11,891 11,358
340,339
18,801
Assets of the reporting institution
Other equity instruments issued
10,797 18,064
6,203
Debt securities
17,651
11,358
12,628
18,064
12,628
90 10
51
90 10
51
817 306
633
817 306
633
of which: covered bonds
of which: asset-backed securities
0
0
0
0
of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations
11,414
11,259
11,414
11,259
10,004
11,427
10,004
11,427
5,225
0
5,225
0
6,129 1,481
0
6,129 1,481
0
995
90
995
90
568
568
Other assets
18,114
0
312,020
0
Unencumbered
Fair value of encumbered collateral and own encumbered debt securities issued
Fair value of collateral received or own debt securities issued available for encumbrance
o/w theoretically-eligible EHQLA and HQLA
Template B – Collateral received (in millions of euros) Collateral received by the reporting institution
o/w EHQLA and HQLA
164,077
140,749
49,000
15,625
Call loans
0
0
0
0
38,769
24,982
25,034 18,879
1,923
Other equity instruments issued
Debt securities
125,327
115,642
13,052
of which: covered bonds
1,534 5,302
1,008 1,806
590
385 411
of which: asset-backed securities
1,453
of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations
111,665
111,161
11,419
10,643
3,360 2,670
0
2,711 2,502 2,605 1,940
0
250
871
0 0 0
0 0 0
0 0 0
Loans and receivables other than call loans
Other collateral received
of which:
0
Own debt securities issued besides own secured bonds or own asset-backed securities Own secured bonds and asset-backed securities issued and not yet given as collateral
0
0
751
0
0
0
TOTAL ASSETS, COLLATERAL RECEIVED AND OWN ISSUED DEBT SECURITIES
214,622
140,749
Associated liabilities, contingent liabilities or securities lent
Assets, collateral received and own debt securities issued besides secured bonds or securities backed by encumbered assets
Template C – Sources of encumbrance (in millions of euros)
132,568
127,955
Carrying amount of selected financial liabilities
encumberedreceivables in vehicles other than covered bond asset V pools, such as central bank refinancing or other market vehicles, for a total of €519 million; assets encumbered by the payment of margin calls on derivative V positions, for a total of €16,461 million. Natixis considers that the following assets may not be encumbered in the normal course of its business: loans on demand, i.e. 12% of unencumbered assets V (€38,263 million); derivatives, i.e. 17% of unencumbered assets (€53,952 million). V
Template D – Additional information At December 31, 2020, total balance sheet assets and encumbered guarantees received totaled €214,622 million. These can be broken down by type and source of liabilities: securities transactions, including in particular securities lending V and repurchase agreements, for a total of €198,368 million; encumbered receivables securing covered bond vehicles (Natixis V Pfandbriefbank), for a total of €1,132 million;
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020
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