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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