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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