NATIXIS - 2018 Registration document and annual financial report
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
DETAILED EXPOSURES UNDER ROLL-OUT PLAN (EU CRE-E) R
% of RWA
% of exposure class involved in Roll-Out plan
SA
FI
IA
Total 100% 100% 100% 100% 100%
Exposure class
Central governments or central banks
74.2% 91.1% 15.8% 37.4% 100%
9.3%
16.5%
0.0% 0.0% 0.0% 0.0% 0.0%
Retail
0%
8.9%
Corporates Institutions
6.8% 4.0%
77.4% 58.6%
Exposures in default
0%
0%
3
Exposures secured by mortgages on immovable property Claims on institutions and corporates with a short-term credit assessment
97.7%
0%
2.3%
100%
0.0%
100% 53.8%
0%
0%
100% 100% 100%
20.1%
Securitization
39.6% 100%
6.6%
0.0% 0.0%
Equities
0%
0%
TOTAL 31/12/2018
20.3%
29.6%
50.0%
100%
0.1%
D – Credit risk: internal ratings-based approach PD AND LGD BY GEOGRAPHIC AREA (NX16) R
Geographic areas (% breakdown)
EAD (in millions of euros)
PD MP
LGD MP
Africa
4,383 5,940 8,926
5.5% 1.0% 0.5% 1.3% 2.0% 2.9% 1.6% 2.0% 2.5%
26.1% 26.6% 23.9% 26.8% 26.7% 19.0% 17.9% 21.5% 23.2%
Europe outside EU
Other
Asia
14,179 41,215 44,810 69,014 188,466 210,776
European Union
Americas
France
TOTAL 31/12/2018 TOTAL 31/12/2017
RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURE UNDER THE IRB APPROACH (CR8) R
RWA
Capital requirements
(in millions of euros)
RWA 31/12/2017
59,708
4,777
Asset size
278
21
Asset quality Model updates
(1,765)
(140)
(572)
(45)
Methodology and policy
(2,798)
(224)
Acquisitions and disposals Foreign exchange movements
537
43
Guarantees
(209) (919)
(17) (74)
Other
RWA 31/12/2018
54,260
4,341
195
Natixis Registration Document 2018
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