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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