NATIXIS - Universal registration document and financial report 2019
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Risk weight (in %)
Asset classes
Agency
Grade
Bucket
20 50
2
A+, A, A-
FITCH
Long term
4 5 1
BB+ to BB-
100 100
B+ to B-
Aaa to Aa3
20 20 50 50 20 20 50
MOODY’S
Long term
2
A1 to A3
3 1
Baa1 to Baa3
Institutions
AAA to AA-
2
A+, A, A-
S&P
Long term
20 50 100
3
BBB+ to BBB-
1 2 4
3++
20 20 50
BDF
Long term
3, 3
4, 5+
100 150 100 150 100 150 100 150 100 150 100 150
1
3++
2
3+, 3
3
4+
Defaulted exposures
BDF
Long term/Short term
4
4, 5+
5
5, 6
6
7, 8, 9, P
1 2 1 2 3 4 5 6 1 3 1 2 1 2 3 1 2 3
AAA to AA-
50 50 50 50 50 50 50 50 50 20 50 20 50
S&P
Long term
A+, A, A-
3++
3+, 3
Exposures secured by mortgages on immovable property
4+
BDF
Long term
4, 5+
5, 6
7, 8, 9, P
F1+ to F1
FITCH
Short term
F3
100
P-1 P-2
MOODY’S
Short term
A-1+
A-1
S&P
Short term
20 100
Exposure to institution and corporate with short-term credit assessment
A-2 to A - 3
3++
20 50
3+, 3
4+
100 100 150 150 150
BDF
Short term
4
4, 5+
5 6
5, 6
7, 8, 9, P
*
Concerns third parties classified RGLA or PSE.
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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