NATIXIS // 2021 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Leverage ratio exposures under the CRR (in millions of euros)
31/12/2021
30/06/2021
85,562
64,714
18
TOTAL EXPOSURE TO SECURITIES FINANCING TRANSACTIONS
Other off-balance sheet exposures 19
Off-balance sheet exposures at gross notional value (Adjustments for conversion into equivalent credit amounts)
98,125
91,264
20
(51,777)
(46,801)
(General provisions deducted when determining Tier 1 capital and specific provisions associated with off-balance sheet exposures)
21 22
OFF-BALANCE SHEET EXPOSURES
46,347
44,463
Excluded exposures
(Exposures excluded from total exposure measurement under Article 429 a (1) (c) of the CRR) (Exposures exempted under Article 429 a (1) (j) of the CRR (on-balance sheet and off-balance sheet))
(110,155)
(89,865)
EU-22a
EU-22b
EU-22c (Exclusions of exposure of public development banks (or units of banks) – Public investments) EU-22d (Exclusions of exposure of public development banks (or units of banks) – Incentive loans) (Exclusions of exposures arising from the transfer of incentive loans by banks (or units of banks) that are not public development banks) EU-22f (Exclusions of secured portions of exposures resulting from export credits) EU-22g (Exclusions of excess collateral deposited with tripartite agents) (Exclusion of CSD services provided by institutions/CSDs, pursuant to Article 429 a (1) (o) of the CRR) (Exclusion of CSD services provided by designated institutions, pursuant to Article 429 a (1) (p) of the CRR). EU-22nd EU-22h EU-22i
EU-22d (Reduction of the exposure value of pre-financing or intermediary loans) EU-22K (TOTAL EXEMPT EXPOSURES)
(110,155)
(89,865)
Capital and total exposure measurement 23 TIER 1 CAPITAL
14,635 330,598
14,016 329,136
24
MEASUREMENT OF TOTAL EXPOSURE
Leverage ratio 25
Leverage ratio (%)
4.4%
4.3%
Leverage ratio (excluding the impact of the exemption of public investments and incentive loans) (%) Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%)
EU-25
4.4%
25a
4.0% 3.1%
4.0% 3.1%
26
Minimum leverage ratio regulatory requirement (%)
EU-26a Additional capital requirements to address excessive leverage risk (%) EU-26b o/w: to be created with CET1 Capital 27 Leverage ratio buffer requirement (%) EU-27a Choice of phase-in arrangements and relevant exposures Overall leverage ratio requirement (%) EU-27b Choice of phase-in arrangements for the definition of capital measurement Publication of average values
3.1%
3.1%
Average daily values of gross SFT assets, after adjustment for transactions recognized as written and net of corresponding cash payables and receivables End-of-quarter value of gross SFT assets, after adjustment for transactions recognized as written and net of corresponding cash payables and receivables Total exposure measurement (including the impact of any applicable temporary exemption from central bank reserves) including the average values of gross SFT assets in line 28 (after adjustment for transactions recognized as written and net of corresponding cash payables and receivables)
28
93,016
87,205
29
77,624
57,709
30
345,990
358,633
182
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021
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