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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