NATIXIS_PILLAR_III_2017_EN
CREDIT RISK Credit risk: standardized approach
CREDIT RISK EXPOSURES: STANDARDIZED APPROACH 5.6.2
TABLE 24 (EU CR4): SA – CR EXPOSURE AND CRM EFFECTS R
Exposures before CCF and CRM
Exposures post-CCF and CRM
RWA and RWA density
On-balance sheet amount
Off-balance sheet and amount
On-balance sheet EAD
Off-balance sheet EAD
RWA
RWA density
(in millions of euros)
Central governments or central banks
4,730
4,730
1,451
31%
Regional governments or local authorities
302
1
301
1
50
17%
Public sector entities
411
247
411
123
47
9%
Multilateral Development Banks International Organizations
446
446
Institutions*
38,863
10,006
38,863
2,710
549
1%
Corporates
3,121
1,800
2,802
472
2,428
74%
Retail
2,766
11,188
2,598
33
1,937
74%
Secured by mortgages on immovable property
963
124
963
62
498
49%
Exposures in default
695
10
372
2
477
127%
Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment
5
381
1
381
200
52%
Collective investments undertakings (CIU) Equity exposures Other items
8,177
8,177
8,526
104%
TOTAL AT 12.31.2017
60,855
23,376
60,045
3,403
16,164
25%
* o/w exposures related to affiliates
96%
100%
96%
100%
TOTAL AT 12.31.2016
69,334
14,580
68,781
1,701
13,502
19%
TABLE 25 (CR5): SA – EXPOSURES (EAD) BY ASSET CLASSES AND RISK WEIGHTS R
Risk Weight
Asset classes (in millions of euros)
Of which unrated*
0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other Deducted
Total
Central governments or central banks Regional governments or local authorities
4,123
44
563
4,730
1,249
51
252
302
185
Public sector entities
327
199
2
7
534
29
Multilateral Development Banks International Organizations
446
446
Institutions
39,841 1,012
199
33
10
19
459
41,573 23,078
Corporates
605
61
9 242
46 120
2,082 110
3,274
2,515
Retail
2,631
2,631
2,631
Secured by mortgages on immovable property
53 971
1,025
1,007
Exposures in default
169 205
374
374
Items associated with particularly high risk Covered bonds
Claims on institutions and corporates with a short-term credit assessment
10
351
16
5
382
Collective investments undertakings (CIU) Equity exposures Other items
304
63
13
12
10
4,584
3,191
8,177
8,079
TOTAL AT 12.31.2017
45,697 1,136
13 680 328 1,391 139 2,631 7,360 320 563
3,191
63,448 39,147
TOTAL AT 12.31.2016
53,590 2,493
2
1 1,358 321 254 201 2,571 8,632
20 738
301
70,482 56,821
Of which €23,339 million in exposure to BPCE Group affiliates at December 31, 2017. *
71
NATIXIS Risk report Pillar III 2017
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