NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
IRB – CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (CR6) R
F-IRB
Off-balance sheet exposures pre-CCF
Original on-balance sheet gross exposure
Average LGD (in %)
Average maturity (in days)
RWA density (in %)
PD scale
CCF (in %)
Average PD (in %)
Number of obligors
EAD
RWA
EL Provisions
(in millions of euros)
Central governments and central banks 0.00 to <0.15
77
77
0.0%
4
44%
210
0.15 to <0.25 0.25 to <0.50
295
295
0.4%
2
45% 1,741
191
65%
1
0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default) Sub-total Central governments or central banks
371
371
0.0%
6
45% 1,425
191
51%
1
Institutions 0.00 to <0.15
54
10
50%
59
0.0%
29
44%
624
13
21%
0.15 to <0.25
28
7
50%
32
0.2%
9
45%
382
18
57%
0.25 to <0.50
1
50%
0.3%
4
45%
373
78%
0.50 to <0.75
195
75%
146
0.5%
7
11%
988
36
25%
0.75 to <2.50
86
75%
64
0.8%
7
11% 2,333
19
30%
2.50 to <10.00
1
1
2.7%
9
41% 1,216
1
147%
10 to <100
12%
1
30% 1,167
145%
100.00 (default) Sub-total Institutions
84
299
73%
303
0.5%
66
21% 1,139
88
29%
2
Corporates 0.00 to <0.15
4,569
6
20% 4,571
0.1%
84
61%
136
1,276
28%
2
0.15 to <0.25
165
165
0.2%
37
45%
277
70
43%
0.25 to <0.50
51
3
20%
52
0.3%
62
42% 1,330
28
55%
0.50 to <0.75
50
50
0.6%
72
40% 1,403
36
72%
0.75 to <2.50
543
74
24%
561
1.2%
454
43% 1,268
513
91%
3
2.50 to <10.00
675
85
21%
693
3.4%
420
43%
590
874
126%
10
10 to <100
51
9
20%
53
12.6%
148
43%
893
95
179%
3
100.00 (default)
99
1
21%
99
100.0%
66
45% 1,556
44
Subtotal Corporates
6,202
179
22% 6,242
2.2% 1,343
57%
341
2,891
46%
62
79
Corporates – SME 0.00 to <0.15
32
32
0.0%
5
52% 1,421
6
18%
0.15 to <0.25
10
10
0.2%
2
45%
145
4
43%
0.25 to <0.50
4
4
0.4%
10
31% 2,242
2
38%
0.50 to <0.75
6
6
0.6%
13
36% 1,284
4
63%
0.75 to <2.50
142
58
22%
155
1.4%
202
42% 1,074
130
84%
1
2.50 to <10.00
187
41
22%
196
4.1%
238
42% 1,084
213
108%
3
10 to <100
31
5
20%
32
12.6%
95
42% 1,021
51
157%
2
100.00 (default)
29
1
21%
29
100.0%
49
44% 1,354
13
Sub-total Corporates – SME
442
104
22%
465
9.4%
614
43% 1,109
409
88%
19
11
Corporates – Other 0.00 to <0.15
4,538
6
20% 4,539
0.1%
76
62%
127
1,270
28%
2
0.15 to <0.25
154
154
0.2%
35
45%
285
66
42%
0.25 to <0.50
47
3
20%
47
0.3%
52
43% 1,245
27
57%
0.50 to <0.75
44
44
0.6%
59
41% 1,419
32
73%
0.75 to <2.50
401
17
31%
406
1.1%
250
43% 1,343
383
94%
2
2.50 to <10.00
488
44
20%
497
3.1%
182
44%
395
661
133%
7
10 to <100
20
4
20%
21
12.5%
53
44%
694
44
212%
1
100.00 (default)
69
69
100.0%
17
45% 1,641
31
Sub-total Corporates – Other
5,760
74
23% 5,777
1.7%
724
58%
279
2,482
43%
44
68
Equity
5,099
170
100% 5,269
552
178
16,257
309%
77
Sub-total Equity
5,099
170
100% 5,269
552
178
16,257
309%
77
196
Natixis Registration Document 2018
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