NATIXIS_PILLAR_III_2017_EN
14 APPENDIX
Appendix 4: Table index
Page of Pillar III report
Page of Registration document
Subject
Title of table
Table 36 (EU CCR1): Analysis of counterparty credit risk (CCR) exposure by approach Table 37 (EU CCR3): Standardized approach of CCR exposures by regulatory portfolio and risk weight
85 86
Counterparty risk
Table 38 (EU CCR4): IRB – CCR exposures by portfolio and PD scale
87 to 89
Table 39 (EU CCR6): Credit derivative exposures
89 90 91 95 96 96 97 97 97 98
Table 40 (EU CCR8): Exposures to CCPs
Table 41 (EU CCR2): Credit valuation adjustment (CVA) capital charge
Table 42 (NX33 BIS): Banking book EAD by agency
Securitization
Table 43 (SEC1): Securitization exposures in the banking book Table 44 (SEC2): Securitization exposures in the trading book
Table 45 (NX31-A): On- and off-balance sheet EAD according to Natixis’ role in the banking book Table 46 (NX31-B): EAD according to Natixis’ role in the trading book Table 47 (NX34): Resecuritization positions before and after substitution Table 48 (SEC3): Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor Table 49 (SEC4): Securitization exposures in the banking book and associated capital requirements – bank acting as investor
98
Table 50 (EU MR1): Market risk own funds requirements Table 51 (EU MR3): IMA values for trading portfolios Table 52 (EU MR4): Comparison of VaR estimates with gains/losses Table 53 (EU MR2-A): Market risk under internal models approach
104 104 105 105 114 115 117
Market risk
145
Table 54: Liquidity ratio (LCR) at 12/31/2017
154 155 159
Liquidity risk
Table 55 (LR1): Comparison of accounting exposures and leverage exposures
Table 56: Impact on CET1 ratio
Structural foreign exchange risk Overall interest rate risk
Table 57: Measure of sensitivity to +1% variation in interest rates, by maturity at December 31, 2017
118
159
Table 58: Interest rate gap by maturity at December 31, 2017
118 119
159 158 159
Table 59 (IRRBB – Table B): NII sensitivity
Table 60: Encumbered and unencumbered assets at 12/31/2017 (in millions of euros)
120-121
Other disclosures
Table 61: Breakdown of financial liabilities by contractual maturity
126 126 140 140 140 141
Table 62: (OR1): Change in operational losses
Operational risk
Table 63: (OR3): Change in operational losses declared in 2017 - Corep view
172 172 173 173
Table 64: Exposure to monoline insurers
At-risk exposures
Table 65: European RMBS
Table 66: CMBS
Table 67: Exposures to countries subject to a rescue plan
150-151
Appendix 1: Transition from the accounting balance sheet to the regulatory balance sheet at December 31, 2017
152 to 159
Appendices
Appendix 2: Issuance of capital instruments at December 31, 2017
160
Appendix 3: Leverage ratio (LR2)
162
NATIXIS Risk report Pillar III 2017
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