NATIXIS - 2018 Registration document and annual financial report
3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
NI – CCR EXPOSURES BY PORTFOLIO AND PD SCALE (CCR4) R
F-IRB
Average maturity (in days)
PD scale (in millions of euros) Institutions 0.00 to <0.15 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 10.00 to <100.00 100.00 (default) Sub-total Corporates 0.00 to <0.15 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 10.00 to <100.00 100.00 (default) Sub-total Total F-IRB 0.00 to <0.15 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 10.00 to <100.00 100.00 (default) Sub-total F-IRB
Average PD (in %)
Number of obligors
Average LGD (in %)
RWA density (in %)
EAD
RWA
148
0.1% 0.2%
17
45% 45%
7 6
26
18% 32%
1
2
3
2.7%
1
45%
5
4
130%
152
0.1%
20
45%
7
31
21%
1,607
0.1% 0.2% 0.3% 0.5%
48
45% 45% 45% 45%
158
214
13% 24% 37% 51%
2
2 2 1
1
26 29
14
9
1
14
2.7%
1
45%
5
106%
1,663
0.1%
54
45%
153
239
14%
1,754
0.1% 0.2% 0.3% 0.5%
65
45% 45% 45% 45%
145
241
14% 28% 37% 51%
3
4 2 1
3
1 9
26 29
14
1
14
3
2.7%
2
45%
5
4
130%
1,815
0.1%
74
45%
140
270
15%
A-IRB
Average maturity (in days)
PD scale (in millions of euros)
RWA density (in %)
Average PD (in %)
Number of obligors
Average LGD (in %)
RWA
EAD
Central governments and central banks 0.00 to <0.15
7,459
58
13% 37% 47%
353
28
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 10.00 to <100.00 100.00 (default) Sub-total Institutions 0.00 to <0.15 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 10.00 to <100.00 100.00 (default)
24
0.2% 0.4%
2 2
26
5 5
20% 74%
7
842
95
3.2%
4
47%
1,405
156
165%
7,584
66
14%
366
193
3%
9,095
377
20% 28% 30% 33% 59% 84%
413 977 479 774 459 184
611 263 104 223 114
7%
833 283 328
0.2% 0.3% 0.5% 1.1% 2.9%
97 67 53 39 48
32% 37% 68%
90 31
126% 225%
70
202
Natixis Registration Document 2018
Made with FlippingBook HTML5