NATIXIS // 2021 Universal Registration Document
CREDIT RISK
DEFINITION:
Credit risk is the risk of financial loss due to a debtor’s inability to honor its contractual obligations.
Change in capital requirements for credit and counterparty risk (in billions of euros)
Cost of risk (in bps) (1)
78,7
128 128
78,7
128
78.7
76,6
76,6
76.6
52
52
52
28
28
28
21
28
28
21
21
9
9
9
2021
2021 2021
2020
1Q21
2Q21
2Q21
2020 2020
4Q21
2021
2020
1Q21
2Q21
2Q21
4Q21
2021
2
2020
1Q21
2Q21
2Q21
2020
4Q21
(1) C ost of risk for business lines excluding credit institutions. Cost of risk expressed in bps of total outstandings, beginning of period.
MARKET RISK
DEFINITION:
Market risk is the risk of loss in value caused by any adverse fluctuations in market parameters.
Change in capital requirement for market risk and CVA (in billions of euros)
Global VaRNatixis -
Trading portfolio (VaR 99%, 1 day)
(in €M)
15
12
128
15.4
15.7
9
53
6
17
17
11
4Q21 11
2021
2021
2020
1Q21
2Q21
2Q21
1021
3
31/12/20 31/01/21 28/02/21 31/03/21 30/04/21 31/05/21 30/06/21 31/07/21 31/08/21 30/09/21 31/10/21 30/11/21 31/12/21
VaR NATIXIS Negociation
OPERATIONAL RISK
DEFINITION:
Operational risk is the risk of loss resulting from an inadequacy or failure of internal processes.
Change in capital requirements for operational risk (in billions of euros)
Breakdown of reported incidents by net amount, date and Basel category
85%
85%
76%
76%
63%
63%
13.9
13.9
13
13
21%
21%
17%
17%
15%
15%
10%
10%
4%
4%
2% 1%
1% 1%
1% 1% 0% Clients, produits t pratiques ommerciales
2% 1%
1% 1%
0% 2% 0% Dommages
% 0% 0% Fraude interne
1% 1% 0% Commercial customers, products and practices
0% 2% 0% Damage to property plant and equipment
0% 0% 0% Internal fraud
21
2020
Fraude externe
Execution, livraison et gestion des processus
I terruption d’activité et dysfonctionnements des systèmes
Pratiques en matière d’emploi t sécurité sur le lieu de travail
2021
2020
External fraud
Execution, delivery and procedures
Business interruption and Information System deficiencies
Employment and workplace safety practices
aux ac ifs corporels
2019
2020
2021
2019
2020
2021
STRUCTURAL BALANCE SHEET RISKS
DEFINITION:
Structural balance sheet risks cover the risk of managing the bank's liquidity in order tomeet its liquidity commitments, the risk of losses linked to changes in interest rates and credit spreads in bank portfolios, structural foreign exchange risk and the management of regulatory constraints and ratios.
Liquidity coverage ratio (LCR)
Leverage ratio
4.6 % 4.4 % 4.3 %
4.6 % 4. % 4.3 %
4.3 % 4.4%
4.3 % 4.4%
105 % 103 % 108 % 106 % 107%
105 % 103 % 108 % 106 % 107%
31/12/21
31/12/21
31/12/21
31/12/21
31/03/21
31/03/21
31/03/21
31/03/21
31/12/20
31/12/20
31/12/20
31/12/20
30/06/21
30/06/21
30/09/21
30/09/21
30/06/21
30/06/21
30/09/21
30/09/21
13
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021
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