NATIXIS_PILLAR_III_2017_EN

CREDIT RISK AND COUNTERPARTY RISK Credit and counterparty risks

TABLE 11 (EU OV1): OVERVIEW OF RWA R

RWA

OFR

12.31.2017

12.31.2016

12.31.2017

(in millions of euros)

Credit risk (excluding CCR)

73,837 16,164

74,776 12,995

5,907 1,293

Of which the standardized approach

Of which the foundation IRB (F-IRB) approach Of which the advanced IRB (A-IRB) approach

7,316

7,914

585

35,845

39,499

2,868

Of which equity IRB under the simple risk-weighted approach or the IMA

14,513

14,368 11,418

1,161

CCR

7,823 4,697

626 376

Of which mark to market

5,687

Of which original exposure Of which the standardized approach Of which internal model method (IMM) Of which risk exposure amount for contributions to the default fund of a CCP

4

256

273

21 96

Of which CVA Settlement risk

1,198

3,736

10

28

1

Securitization exposures in the banking book (after the cap)

2,488

1,818 1,365

199

Of which IRB approach

898 221

72 18

Of which IRB supervisory formula approach (SFA) Of which internal assessment approach (IAA) Of which the standardized approach

156

1,368 9,720 5,491 4,229

297

109 778 439 338

Market risk

11,083

Of which the standardized approach

5,646 5,437

Of which IMA

Large exposures Operational risk

14,784

13,709

1,183

Of which basic indicator approach Of which standardized approach

14,784

13,709

1,183

Of which advanced measurement approach Amounts below the thresholds for deduction (subject to 250% risk weight)

2,035

2,692

163

Floor adjustment TOTAL

110,697

115,524

8,856

53

NATIXIS Risk report Pillar III 2017

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