NATIXIS // 2021 Universal Registration Document
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Net stable financing ratio (EU LIQ2)
Unweighted value by residual maturity
No deadline
6 months to < 1 year
Weighted value
(in currency)
< 6 months
≥ 1 year
Available stable funding items 1
19,159 19,159
0 0 0
0 0 0
3,989 3,989
23,148 23,148
Capital items and instruments
2 3 4 5 6 7 8 9
Capital
Other capital instruments Retail customer deposits
0 0 0 0 0 0 0 0 0 0
0 0 0 0
0
2,466
27
2,243
Stable deposits
0
0
0
Less stable deposits Wholesale funding: Operational deposits Other wholesale funding Interdependent liabilities
2,466
27
2,243
221,443
27,974
95,317
126,137
5,823
0
0
357
215,620
27,974
95,317
125,780
10 11 12
0
0
0
0
Other commitments
2,184
199
2,609
2,708
Derivative commitments affecting the NSFR
0
0
0
0
All other capital commitments and capital instruments not included in the above categories.
13
0 0
2,184
199
2,609
2,708
14 Total available stable funding
0
0
0
154,236
Required stable funding items 15
Total High Quality Liquid Assets (HQLA)
0
0
0
0
14,638
Encumbered assets with a residual maturity of one year or more in a cover pool Deposits held with other financial institutions for operational purposes Performing securities financing transactions with financial clients secured by high quality Level 1 liquid assets subject to a 0% discount. Performing securities financing transactions with financial clients secured by other assets and loans and advances to financial institutions Performing loans to non-financial companies, performing loans to retail customers and small businesses, and performing loans to sovereigns and public sector entities, including: With a risk weighting less than or equal to 35% according to the standard Basel 2 approach for credit risk With a risk weighting less than or equal to 35% according to the standard Basel 2 approach for credit risk Other loans and securities that are not in default and are not considered high quality liquid assets, including equities traded on the stock market and commercial loan income recorded on the balance sheet Performing loans and securities: Performing residential loans, of which:
EU-15a
0
0
0
0
0
16 17
0 0
325
0
0
163
149,507
13,006
99,631
112,794
18
0
30,404
697
1,823
2,495
19
0
98,069
7,009
27,233
39,117
20
0
13,864
4,705
37,662
41,558
21 22
0 0
107
38
1,738
1,810
0
0
0
0
23
0
0
0
0
0
24 25 26 27
0 0 0 0
7,170
596
32,914
29,623
Interdependent assets
0
0
0
0
Other assets:
28,104
1,159
8,211
16,699
Commodities physically traded
0
0
0
0
Assets provided as initial margin in derivative contracts and as contributions to CCP default funds
28 29
0 0
4,943 2,767
0 0
0 0
4,202 2,767
Derivative assets affecting the NSFR
Derivative commitments affecting the NSFR before deduction of the variation margin provided
30 31 32
0 0 0 0 0
17,796
0
0
890
All other assets not falling within the above classes
2,598
1,159
8,211
8,840 3,214
Off-balance sheet items
94,515
0 0 0
0 0 0
33 Total required stable funding 34 Net stable funding ratio (%)
0 0
147,513 104.6%
230
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021
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