NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Quantitative information 3.2.3.10 EAD, RWA AND CAPITAL REQUIREMENTS BY BASEL APPROACH AND EXPOSURE CLASS (NX01) R

31/12/2018

31/12/2017

EAD

RWA Capital requirements

EAD

RWA Capital requirements

(in millions of euros)

Credit risk Internal approach

154,895

55,647

4,452

177,471

60,782

4,863

Equities

5,269

16,257

1,301

5,446

16,548

1,324

Governments and central banks

36,350

531

42

47,832

601

48

Other assets

754

204

16

717

188

15

Retail

692

181

15

620

181

14

Corporates

97,358

35,711

2,857

107,942

39,971

3,198

Institutions

8,388

1,376

110

9,706

2,219

178

Securitization

6,084

1,387

111

5,208

1,074

86

Standardized approach

65,642

20,999

1,680

66,452

17,532

1,402

Governments and central banks

4,469

1,525

122

6,012

1,549

124

Other assets

8,144

6,872

550

8,177

8,526

682

Retail

2,377

1,716

137

2,631

1,937

155

Corporates

8,569

6,693

535

3,274

2,428

194

Institutions

36,011

824

66

41,573

549

44

Defaulted exposures

580

782

63

374

477

38

Exposures secured by mortgages on immovable property

1,195

559

45

1,025

498

40

Exposures to institutions and corporates with a short-term credit assessment

643

413

33

382

200

16

Securitization

3,654

1,615

129

3,004

1,368

109

Sub-total credit risk

220,537

76,646

6,132

243,923

78,314

6,265

Counterparty risk Internal approach

33,571

5,012

401

33,305

5,756

460

Governments and central banks

7,584

193

16

6,424

105

8

Corporates

14,762

3,362

269

13,594

3,694

295

Institutions

10,813

1,417

113

13,065

1,911

153

Securitization

412

40

3

222

46

4

Standardized approach

19,829

742

59

21,132

659

53

Governments and central banks

1,073

214

17

955

128

11

Retail

1

1

Corporates

94

88

7

60

15

1

Institutions

18,517

349

28

19,843

365

29

Defaulted exposures

2

2

2

3

Exposures to institutions and corporates with a short-term credit assessment

124

85

7

270

147

12

Securitization

18

4

1

1

CCP default fund exposure

273

185

15

368

256

21

Sub-total counterparty risk

53,673

5,939

475

54,805

6,671

534

Market risk Internal approach

4,444

355

4,229

338

Standardized approach

5,185

415

5,491

439

Equity risk

612

49

432

34

Foreign exchange risk

2,436

195

2,586

207

Commodities risk

612

49

720

58

Interest rate risk

1,525

122

1,753

140

Sub-total market risk

9,629

770

9,720

777

CVA

7,168

1,661

133

8,389

1,198

96

Settlement-delivery risk

5

10

1

Operational risk (standardized approach)

15,345

1,228

14,784

1,183

TOTAL

109,225

8,738

110,697

8,856

132

Natixis Registration Document 2018