NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management
AT-RISK EXPOSURES 3.2.11
(These data form an integral part of the financial statements certified by the Statutory Auditors). Natixis was exposed to the following risks at December 31, 2018.
EXPOSURE TO MONOLINE INSURERS R
In 2018, value adjustments went down by €40 million (excluding the effect of the BPCE guarantee) to €23 million at December 31, 2018, versus €63 million at December 31, 2017.
Data at 31/12/2018
Data at 31/12/2017
Prevalue adjustment exposure Value adjustments
Prevalue adjustment exposure Value adjustments
Notional amount
Notional amount
(in millions of euros)
Protection for RMBS
36
5
-
Other risks
1,202
176
(23)
1,466
257
(63)
TOTAL
1,202
176
(23)
1,502
262
(63)
31/12/2018
31/12/2017
(in millions of euros)
Prevalue adjustment exposure
176 (23)
262 (63)
Value adjustments
RESIDUAL EXPOSURE
153
199
Discount (in %)
13%
24%
EUROPEAN RMBS R
Net exposure to UK RMBS
UK RMBS (in millions of euros)
Net exposure at 31/12/2017
Change in value in 2018
Other changes
Net exposure at 31/12/2018
AAA AA A BBB BB B CCC CC
Trading book
29
-
(4)
25
9 11 2
3
-
-
-
-
TOTAL
29
-
(4)
25
9 11 2
3
-
-
-
-
Net exposure to Spanish RMBS
Spanish RMBS (in millions of euros)
Net exposure at 31/12/2017
Change in value in 2018
Other changes
Net exposure at 31/12/2018
AAA AA A BBB BB B CCC CC
Trading book
11
-
13
24
0 18 6
-
-
-
-
-
TOTAL
11
0
13
24
-
18 6
-
-
-
-
-
CMBS R
CMBS (in millions of euros)
Net exposure as at 31/12/2017
FTA reclassifications (a)
Net exposure as at 01.01.2018
Change in value
Net exposure at 31/12/2018
in 2018 Other changes
Trading book
1
1
- -
25 75
26
Loans and receivables portfolio
146
(23)
123
198
Portfolio of financial assets at fair value through profit or loss
0
23
23
27
49
TOTAL 274 The reclassifications relating to the first-time application of IFRS 9 are detailed in Note 1 of Chapter [5.1] “Financial data” of the Update to the (a) 2018 registration document. 147 0 147 0 127
164
Natixis Registration Document 2018
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