NATIXIS_PILLAR_III_2017_EN
COUNTERPARTY RISK Counterparty risk exposure
Counterparty risk exposure 6.2
TABLE 36 (CCR1): ANALYSIS OF THE CCR EXPOSURE BY APPROACH R
Potential future exposure
Replacement cost
EAD post-CRM
Notional
EEPE Multiplier
RWA
(in millions of euros) Mark to market
4,771
11,471
16,243
4,406
Original Exposure Standardized approach Internal Model Method (for derivatives and SFTs)
Securities Financing Transactions Derivatives & Long Settlement Transaction From Contractual Cross Product Netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (SFTs)
6
19,793
1,598
VaR for SFTs TOTAL AT 12.31.2017
6,004
85
NATIXIS Risk report Pillar III 2017
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