NATIXIS - 2018 Registration document and annual financial report
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
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)
F- IRB (excl. equity) 0.00 to <0.15
4,700
16
39% 4,706
0.1%
117
61%
144
1,289
27%
2
0.15 to <0.25
193
7
50%
196
0.2%
46
45%
294
88
45%
0.25 to <0.50
346
4
26%
347
0.4%
68
45% 1,678
220
63%
1
0.50 to <0.75
50
195
75%
195
0.5%
79
19% 1,093
72
37%
0.75 to <2.50
543
160
51%
626
1.2%
461
39% 1,378
532
85%
3
2.50 to <10.00
676
85
21%
694
3.4%
429
43%
591
875
126%
10
3
10 to <100
51
9
20%
53
12.6%
149
43%
894
95
179%
3
100.00 (default)
99
1
21%
99
100.0%
66
45% 1,556
44
TOTAL F-IRB (EXCL. EQUITY)
6,657
477
54% 6,916
2.1% 1,415
54%
434
3,170
46%
63
81
A-IRB
Off-balance sheet exposures
Original on-balance sheet gross exposure
Average maturity (in days)
RWA density (in%)
PD scale
Average PD (in %)
Number of obligors
Average LGD (in %)
pre-CCF CCF (in %)
EAD
RWA
EL Provisions
(in millions of euros)
Central governments and central banks 0.00 to <0.15
34,690
1,459
63% 35,603
0.0%
213
8%
718
110
0.15 to <0.25
159
159
0.2%
11
36%
617
54
34%
0.25 to <0.50
28
11
100%
39
0.4%
10
25% 2,187
17
44%
0.50 to <0.75 0.75 to <2.50 2.50 to <10.00
115
36
39%
128
3.1%
18
40% 1,179
155
121%
2
10 to <100
1
1
20.9%
3
57% 2,773
3
352%
100.00 (default)
48
48
100.0%
7
104% 1,177
48
Sub-total Central governments or central banks
35,040
1,506
62% 35,978
0.1%
262
9%
722
340
1%
50
50
Institutions 0.00 to <0.15
6,328
995
61% 6,940
0.0%
364
18%
379
444
6%
1
0.15 to <0.25
434
136
61%
518
0.2%
71
30%
361
146
28%
0.25 to <0.50
137
129
87%
249
0.3%
31
43%
296
132
53%
0.50 to <0.75
118
92
20%
136
0.5%
40
64%
82
131
96%
0.75 to <2.50
17
387
26%
116
1.4%
60
50%
492
153
132%
1
2.50 to <10.00
50
226
21%
98
3.1%
240
89%
500
282
288%
3
10 to <100 100.00 (default)
28
28
100.0%
8
86%
519
28
Sub-total Institutions
7,113
1,964
49% 8,085
0.5%
814
22%
374
1,288
16%
33
44
Corporates 0.00 to <0.15
18,452
23,659
49% 30,305
0.1% 1,210
28% 1,149
4,198
14%
4
0.15 to <0.25
4,872
6,158
60% 8,582
0.2%
332
27% 1,129
2,377
28%
4
0.25 to <0.50
7,833
8,860
54% 12,587
0.3% 1,829
23% 1,087
3,637
29%
9
0.50 to <0.75
8,002
6,581
56% 11,693
0.5%
769
22% 1,211
4,512
39%
14
0.75 to <2.50
12,209
10,045
52% 17,437
1.3% 3,607
22% 1,375
8,858
51%
48
2.50 to <10.00
4,830
4,056
59% 7,232
3.9% 7,520
28% 1,364
6,414
89%
75
10 to <100
391
569
56%
712
13.7% 1,648
27% 1,277
952
134%
25
100.00 (default)
2,485
127
54% 2,554
100.0%
849
38%
951
1,860
73% 1,506
Subtotal Corporates
59,074
60,055
53% 91,101
3.6% 17,764
26% 1,202
32,808
36% 1,685
1,766
Corporates – SME 0.00 to <0.15
120
24
24%
125
0.1%
225
25% 2,072
21
17%
0.15 to <0.25
33
1
100%
34
0.2%
38
15% 2,133
7
21%
0.25 to <0.50
131
73
92%
198
0.4% 1,101
27% 1,446
68
34%
0.50 to <0.75
154
26
68%
171
0.6%
221
31% 1,145
84
49%
0.75 to <2.50
736
161
98%
894
1.3% 2,131
26% 1,822
493
55%
3
2.50 to <10.00
874
145
94% 1,009
4.0% 2,872
25% 1,801
725
72%
10
10 to <100
98
26
71%
117
15.5%
752
21% 2,165
110
94%
3
100.00 (default)
151
5
64%
154
100.0%
520
24% 2,057
182
119%
45
Sub-total Corporates – SME
2,297
460
88% 2,702
8.4% 7,860
25% 1,787
1,690
63%
62
82
197
Natixis Registration Document 2018
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