NATIXIS_PILLAR_III_2017_EN

13 OTHER RISKS At-risk exposures

At-risk exposures 13.1

(These data form an integral part of the financial statements certified by the Statutory Auditors.) Natixis was exposed to the following risks at December 31, 2017.

TABLE 63: EXPOSURE TO MONOLINE INSURERS ■

In 2017, value adjustments went down by €10 million (excluding the effect of the BPCE guarantee) to €63 million at December 31, 2017, versus €73 million at December 31, 2016.

Data at 12.31.2017

Data at 12.31.2016

Pre-value adjustment exposure

Pre-value adjustment exposure

Notional amount

Value adjustments

Notional amount

Value adjustments

(in millions of euros)

Protection for CLOs Protection for RMBS

-

-

- -

68 44

4 7

- -

36

5

Other risks

1,466

257

(63)

1,840

342

(73)

TOTAL

1,502

262

(63)

1,952

353

(73)

12.31.2017

12.31.2016

(in millions of euros)

Pre-value adjustment exposure

262 (63)

353 (73)

Value adjustments

RESIDUAL EXPOSURE

199

280

Discount (%)

24%

21%

TABLE 64: EUROPEAN RMBS R

Net exposure to UK RMBS

Net exposure at 12.31.2016

Change in value in 2017

UK RMBS (in millions of euros)

Other changes

Net exposure at 12.31.2017

AAA AA A BBB BB B CCC CC

Trading book

40

-

(11)

29

8 10 3 7 -

1 -

-

TOTAL

40

-

(11)

29

8 10 3 7 -

1 -

-

Net exposure to Spanish RMBS

Net exposure at 12.31.2016

Change in value in 2017

Spanish RMBS (in millions of euros)

Other changes

Net exposure at 12.31.2017

AAA AA A BBB BB B CCC CC

Trading book

-

-

11

11

-

6 1 3 1 -

-

-

TOTAL

0

0

11

11

-

6 1 3 1 -

-

-

TABLE 65: CMBS R

CMBS (in millions of euros)

Net exposure as at 12.31.2016

Change in value in 2017

Net exposure as at 12.31.2017

Other changes

Trading book

0

- -

1

1

Loans and receivables portfolio

28

118

146

TOTAL

28

0

119

147

140

NATIXIS Risk report Pillar III 2017

Made with FlippingBook flipbook maker