NATIXIS_PILLAR_III_2017_EN
5 CREDIT RISK
Credit risk: standardized approach
TABLE 23 (CRD-D): RISK WEIGHTS USED FOR SA EXPOSURES BY ASSET CLASS AND BY RATING AGENCY R
Rating agency
Risk weight (in %)
Final Basel 3 exposure class
Grade
Bucket
0 20* 0 20* 0 50* 0 20* 20* 0 20* 100 100
FITCH Long term 1 AAA to AA-
1 Aaa to Aa3
MOODYS Long term
3 Baa1 to Baa3
4 Ba1 to Ba3
100*
Central governments or central banks
1
A-1+
Short term
2
A-1
S&P
3 A-2 to A -3
100*
1 AAA to AA-
Long term
3 BBB+ to BBB-
FITCH Long term 3 BBB+ to BBB-
3 Baa1 to Baa3
70
MOODYS Long term
100 150
5
B1 to B3
2 20 35 50
1 AAA to AA-
Corporates
2
A+ to A-
S&P Long term
70 100 100 150
3 BBB+ to BBB-
4 BB+ to BB-
5
B+ to B-
FITCH Long term 1 AAA to AA-
2
1 Aaa to Aa3 3 Baa1 to Baa3
20
MOODYS Long term
2
2 20 100
1 AAA to AA-
2 20 50
Institutions
2
A+ to A-
S&P Long term
2 20 35 100 100
3 BBB+ to BBB-
4 BB+ to BB-
Exposures secured by mortgages on immovable property
S&P Long term 1 AAA to AA-
50 20 50 20
1 2
F1+ to F1 F1+ to F1
FITCH Short term
MOODYS Short term 1
P-1
20 100
1
A-1+
Exposure to institution and corporate with short-term credit assessment
20 50
S&P Short term
2
A-1
3 A-2 to A -3 4 B, C, R, SD/D
100 150
Concerns exposures classified as RGLA or PSE. *
70
NATIXIS Risk report Pillar III 2017
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