NATIXIS - 2018 Registration document and annual financial report
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)
Other retail exposures 0.00 to <0.15
0.0%
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100
7
3
12
12
40.3%
2
17%
181
6
49%
1
100.00 (default)
18
18
100.0%
4
35%
181
12
68%
6
Sub-total – Other retail exposures
31
31
76.0%
13
28%
181
18
60%
7
21
Equities Sub-total Equity A-IRB 0.00 to <0.15
59,470
26,117
50% 72,850
0.0% 1,791
17%
865
4,753
7%
5
0.15 to <0.25
5,476
6,329
60% 9,287
0.2% 1,348
28% 1,076
2,579
28%
4
0.25 to <0.50
8,120
9,000
54% 12,997
0.3% 7,926
23% 1,078
3,800
29%
10
0.50 to <0.75
8,133
6,690
55% 11,846
0.5% 1,090
23% 1,198
4,645
39%
15
0.75 to <2.50
12,377
10,456
51% 17,716
1.3% 11,069
22% 1,368
9,042
51%
49
2.50 to <10.00
5,134
4,326
57% 7,604
3.9% 12,768
29% 1,341
6,900
91%
82
10 to <100
545
574
57%
870
15.5% 6,348
26% 1,332
1,024
118%
33
100.00 (default)
2,619
127
54% 2,688
100.0% 2,050
40%
946
1,874
70% 1,604
TOTAL A-IRB
101,874
63,619
53% 135,857
2.6% 44,390
21% 1,026
34,617
25% 1,802
1,909
Total
Off-balance sheet exposures pre-CCF
Original on-balance sheet gross exposure
Average maturity (in days)
RWA density (in%)
PD scale
CCF (in %)
Average PD (in %)
Number of obligors
Average LGD (in %)
EAD
RWA
EL
Provisions
(in millions of euros)
Total 0.00 to <0.15
64,170
26,133
50% 77,556
0.0% 1,908
20%
821
6,042
8%
7
0.15 to <0.25
5,669
6,336
60%
9,483
0.2% 1,394
28%
1,060
2,667
28%
5
0.25 to <0.50
8,465
9,004
54% 13,343
0.3% 7,994
24%
1,093
4,020
30% 10
0.50 to <0.75
8,182
6,885
56% 12,041
0.5% 1,169
23%
1,196
4,717
39% 15
0.75 to <2.50
12,921
10,616
51% 18,342
1.3% 11,530
23%
1,369
9,574
52% 52
2.50 to <10.00
5,810
4,411
56%
8,298
3.9% 13,197
30%
1,279
7,775
94% 92
10 to <100
597
583
56%
923
15.3% 6,497
27%
1,306
1,119
121% 36
100.00 (default)
2,718
128
54%
2,787
100.0% 2,116
40%
968
1,874
67% 1,648
TOTAL 31/12/2018
108,531
64,096
53% 142,773
2.5% 45,805
22%
997
37,787
26% 1,865
1,990
Total excluding other assets and specialized lending slotting criteria. *
IRB – SPECIALIZED LENDING AND EQUITIES UNDER THE SIMPLE RISK WEIGHT METHOD R (EXCLUDING IMPACT OF THRESHOLDS) (CR10)
Specialized Financing
Regulatory categories (in millions of euros)
On-balance sheet amount
Off-balance sheet amount
Remaining maturity
Risk weight
EAD
RWA EL
Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years
Category 1
1
50
1
Category 2
8
70
8
6
Category 4
6
90
6
6
TOTAL 31/12/2018 TOTAL 31/12/2017
15 16
15 16
12 12
199
Natixis Registration Document 2018
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