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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