NATIXIS - Universal registration document and financial report 2019
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
Original on- balance sheet gross exposure
Off- balance sheet exposures pre-CCF
Average CCF (in %)
Average PD
Average LGD (in %)
Average maturity (in days)
RWA density (in %)
PD scale (in millions of euros)
(in %) Number of obligors
Expected
EAD
RWA
loss Provisions
A-IRB PD scale Central governments and central banks 0.00 to <0.15
28,190
1,442
61% 29,073
0.0% 0.2% 0.4%
223
9%
810 323
124
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00
61 42
61 49
5
37% 30%
16 24
26% 48%
7
100%
10
1,760
39
47 15
100%
86
3.2%
14
47% 57%
2,390 1,360 1,149
146
169% 320%
1 1
10 to <100
1
29%
5
20.9%
5 7
17
100.00 (default)
49
49
100.0%
104%
49
Sub-total Central governments or central banks
28,382
1,512
62% 29,324
0.2%
264
9%
816
325
1%
51
51
Institutions 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default) Corporates 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00
5,223
2,126
51% 29% 54% 20% 22% 20%
6,302
0.0% 0.2% 0.3% 0.5% 1.6% 3.0%
356
19% 27% 30% 43% 47% 71%
414 160 188 776 434 800
366
6%
1
401 343
55
416 435 100 116 149
56 34 29 63
82
20% 32% 85%
170 382 338 213
139
24 43
85
141 330
121% 222%
1 3
106
121
41
20% 42%
41
100.0%
8
90% 23%
971
41
Sub-total Institutions
6,180
3,283
7,560
0.7%
667
403
1,144
15%
46
45
17,675
22,305
53% 29,586
0.1% 0.2% 0.3% 0.5% 1.3% 4.2%
937 279 434 475 945 928 306 256
29% 28% 23% 23% 23% 28% 27% 35% 26% 42% 22% 40% 27% 37% 40% 44% 38% 37%
1,027 1,036 1,181 1,121 1,211 1,246
4,048 2,165 3,607 4,811 8,892 6,256
14% 28% 30% 39% 52% 95%
4 4 9
4,437 7,794 7,867
6,063 7,399 8,149 9,839 4,755
56%
7,862
55% 11,878 54% 12,293 49% 17,121
15 47 76 13
12,280
4,013
54% 59% 41%
6,597
10 to <100
248
183 146
356
14.1%
961 755
487
137%
100.00 (default)
2,703
2,763
100.0%
2,155
78% 37%
1,603
Subtotal Corporates Corporates – SME 0.00 to <0.15
57,016
58,838
53% 88,456
3.9%
4,560
1,105
32,423
1,772
1,836
40
60% 20% 91% 97% 78% 96% 31% 87% 86% 83% 82% 73% 68% 62% 47%
24
0.0% 0.2% 0.4% 0.6% 1.6% 4.8%
14
595
3 1
13% 29% 47% 50% 80%
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00
2
2
9
1,741
45 93
32
75
28 37
682
35
114 101 134
204 391 444
1,065 1,106 1,243
101 313 597
312 315
125 205
2 9
134% 191% 140%
10 to <100
2
13 11
6
12.4%
72 54
340
11 78
100.00 (default)
46
56
100.0%
1,020
25
Sub-total Corporates – SME
815
446
1,201
7.2%
544
1,106
1,140
95%
37
31
Corporates – Specialized Lending 0.00 to <0.15
829 936
602 650
1,327 1,468 3,184 4,055 6,155
0.1% 0.2% 0.3% 0.5% 1.3% 3.4%
64 40
10% 15%
2,390 1,765 1,967 1,891 1,959 2,105
95
7%
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default)
288 435 884
20% 14% 22% 33% 81%
2,201 2,430 4,585
1,345 2,389 2,519
200 193 301
8%
1 2
11% 12% 24%
2,019
10
302
237
414
46
335
3
404
16
27%
408
100.0%
25
44% 12%
1,008
426
104%
95
Sub-total Corporates – Specialized Lending
11,688
7,760
69% 17,011
3.2%
869
1,942
4,482
26%
111
133
Corporates – Other 0.00 to <0.15
16,847
21,662
53% 28,235
0.1% 0.2% 0.3% 0.5% 1.2% 4.2%
859 230 206 245 519 677 234 177
30% 31% 28% 29% 28% 27% 27% 34% 29%
964 868 895 734 779 971 703 902
3,949 1,877 3,138 3,826 6,560 5,325
14% 29% 36% 48% 62% 93%
4 3 8
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00
3,499 5,548 5,344 7,382 3,396
5,412 6,021 5,645 7,219 4,384
53% 51% 48% 53% 62% 39%
6,392 8,619 8,034
12 36 65 13
44% 10,575
5,740
1,184
10 to <100
246
169 119
351
14.1%
477
136%
100.00 (default)
2,252
2,299
100.0%
1,650
72% 38%
1,483
Sub-total Corporates – Other
44,514
50,632
51% 70,245
4.0%
3,147
26,801
1,624
1,671
188
NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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