NATIXIS - Universal registration document and financial report 2019
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
NI – CCR exposures by portfolio and PD scale (CCR4)
PD scale (in millions of euros)
Average PD (in %)
Average LGD (in %)
Average maturity (in days)
RWA density (in %)
Number of obligors
EAD
RWA
F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total 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 10.00 to <100.00 100.00 (default) Sub-total Total F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total F-IRB 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 10.00 to <100.00 100.00 (default) Sub-total 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 10.00 to <100.00 100.00 (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 10.00 to <100.00 Sub-total
517
23
45% 45% 45%
7 5
47
9%
3
0.2% 0.3%
2 3
1
32% 78%
1,161
4
2.7%
3
45%
5
5
130%
524
0.1%
31
45%
7
53
10%
3
1,169
0.1% 0.2% 0.3% 0.5%
57
45% 45% 45% 45%
891
194
17% 25% 55% 51%
12
3 4 2
51
3 4 3
7 6
2,850
5
8
2.7%
3
45%
2
9
106%
1,204
0.1%
69
45%
884
213
18%
1,690
0.1% 0.2% 0.3% 0.5%
83
45% 45% 45% 45%
624
241
14% 26% 56% 51%
15
5 7 2
43
4 4 3
8 6
2,825
5
12
2.7%
6
45%
3
14
114%
1,731
0.1%
103
45%
622
266
15%
A-IRB Central governments and central banks 0.00 to <0.15
3,722
60
16% 37% 47%
723 100
31
1%
24 14
0.2% 0.4%
3 2
5
21% 98%
1,038
13
45
3.2%
1
47%
1,234
70
157%
3,804
66
16%
726
119
3%
10,787
353
20% 30% 30% 36% 62% 50%
448 923 570 543 451 696
703 221 153
7%
740 382 123
0.2% 0.3% 0.5% 1.1% 2.8%
90 65 37 37 64
30% 40% 59%
73 95 67
74 44
129% 153%
1
12,149
0.1%
647
21%
483
1,311
11%
10,428
609 188 244 365 623 664 441
33% 31% 26% 27% 28% 33% 34% 34% 31%
268
725 372 281 560
7%
1,318
0.2% 0.3% 0.5% 1.2% 4.2%
1,156 1,682 1,591 1,034
28% 32% 41% 55%
894
1,372 2,273
1,243
432
942
430 103
100% 170% 194%
61 45
13.3%
1,835 2,161
100.00 (default)
100.0%
42
87
Sub-total
16,822
0.7%
3,176
652
3,802
23%
193
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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