NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
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)
Corporates – Specialized Lending 0.00 to <0.15
1,010
465
86% 1,407
0.1%
59
9% 2,417
90
6%
0.15 to <0.25
719
667
89% 1,314
0.2%
63
7% 1,964
104
8%
0.25 to <0.50
1,689
1,675
78% 3,002
0.3%
218
9% 2,078
444
15%
1
0.50 to <0.75
2,691
1,970
71% 4,084
0.5%
218
10% 1,953
790
19%
2
0.75 to <2.50
5,263
3,481
60% 7,353
1.3%
408
14% 1,951
2,646
36%
14
2.50 to <10.00
306
256
64%
471
3.7%
51
26% 1,938
388
82%
4
10 to <100
2
2
12.0%
3
25% 2,415
3
129%
100.00 (default)
378
1
65%
379
100.0%
20
64% 1,129
278
73%
132
Sub-total Corporates – Specialized Lending Corporates – Other 0.00 to <0.15
12,059
8,515
70% 18,012
2.9% 1,040
13% 1,992
4,744
26%
153
170
17,323
23,171
48% 28,773
0.1%
926
29% 1,083
4,088
14%
4
0.15 to <0.25
4,120
5,490
57% 7,234
0.2%
231
31%
973
2,265
31%
4
0.25 to <0.50
6,013
7,112
47% 9,386
0.3%
510
27%
763
3,125
33%
8
0.50 to <0.75
5,157
4,586
50% 7,437
0.5%
330
29%
806
3,638
49%
12
0.75 to <2.50
6,210
6,403
47% 9,190
1.2% 1,068
28%
871
5,718
62%
31
2.50 to <10.00
3,650
3,655
58% 5,752
3.9% 4,597
28% 1,240
5,301
92%
61
10 to <100
290
543
56%
592
13.3%
893
28% 1,098
839
142%
21
100.00 (default)
1,956
121
54% 2,021
100.0%
309
34%
834
1,400
69% 1,329
Sub-total Corporates – Other
44,718
51,080
50% 70,386
3.6% 8,864
29%
978
26,374
37% 1,470
1,515
Retail 0.00 to <0.15
3
42%
1
0.1%
4
33%
197
2%
0.15 to <0.25
11
35
51%
28
0.2%
934
29%
569
2
5%
0.25 to <0.50
122
62%
122
0.4% 6,056
22% 1,341
13
11%
0.50 to <0.75
12
17
26%
17
0.7%
281
27%
719
2
11%
0.75 to <2.50
152
25
45%
163
1.4% 7,402
23% 1,237
32
20%
1
2.50 to <10.00
139
8
79%
146
5.3% 4,990
26%
926
49
34%
2
10 to <100
154
5
71%
158
23.6% 4,697
22% 1,569
69
44%
8
100.00 (default)
58
21%
58
100.0% 1,186
40%
743
14
24%
22
Sub-total Retail
647
94
48%
693
15.3% 25,550
25% 1,182
181
26%
33
50
Retail – Qualifying revolving 0.00 to <0.15
3
42%
1
0.1%
2
33%
181
2%
0.15 to <0.25
35
51%
18
0.2%
2
33%
181
1
4%
0.25 to <0.50
62%
0.4%
1
33%
181
6%
0.50 to <0.75
6
17
26%
10
0.7%
2
33%
181
1
11%
0.75 to <2.50
16
24
44%
27
1.8%
7
33%
181
6
21%
2.50 to <10.00
57
8
77%
62
5.3%
9
33%
181
28
45%
1
10 to <100
13
2
28%
14
30.6%
10
33%
181
12
86%
1
100.00 (default)
19
21%
19
100.0%
4
67%
181
2
8%
13
Sub-total Retail – qualifying revolving
111
89
46%
152
17.9%
37
38%
181
49
32%
15
16
Retail – SME 0.00 to <0.15
0.1%
2
23%
706
5%
0.15 to <0.25
10
10
0.2%
931
22% 1,193
1
8%
0.25 to <0.50
116
116
0.4% 5,998
22% 1,294
13
11%
0.50 to <0.75
3
3
0.6%
226
22% 1,322
14%
0.75 to <2.50
124
124
1.3% 7,305
22% 1,308
24
20%
2.50 to <10.00
76
76
5.2% 4,931
22% 1,324
20
27%
1
10 to <100
99
100%
100
21.3% 4,551
23% 1,392
42
42%
5
100.00 (default)
12
12
100.0% 1,113
22% 1,167
2
Sub-total Retail – SME
441
100%
441
8.9% 25,057
22% 1,320
101
23%
9
11
Retail – Residential mortgage exposures
0.00 to <0.15 0.15 to <0.25
0.2%
1
12% 2,866
4%
0.25 to <0.50
5
5
0.4%
57
15% 2,385
7%
0.50 to <0.75
3
3
0.6%
53
13% 1,724
8%
0.75 to <2.50
11
100%
12
1.4%
83
16% 2,928
2
14%
2.50 to <10.00
7
1
100%
8
5.6%
50
15% 3,015
1
18%
10 to <100
29
3
100%
32
21.3%
134
16% 3,276
10
30%
1
100.00 (default)
9
9
100.0%
65
15% 2,526
1
Sub-total Retail – Residential mortgage exposures
65
4
100%
69
23.6%
443
15% 2,948
13
19%
2
2
198
Natixis Registration Document 2018
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