NATIXIS_PILLAR_III_2017_EN
6 COUNTERPARTY RISK Counterparty risk exposure
A-IRB
PD scale (in millions of euros)
Average PD (%)
Average LGD (%)
Average maturity (days)
RWA density (%)
EAD post CRM
Number of obligors
RWA
Central governments or central banks 0.00 to <0.15
6,334
53
11%
506
13
0%
0.15 to <0.25
3
0.2%
2
37%
631
1
33%
0.25 to <0.50
20
0.4%
2
47%
6
7
38%
0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total
67
3.2%
1
47%
321
83
124%
6,424
58
11%
503
105
2%
Institutions 0.00 to <0.15
11,000
0.1%
376
18%
314
816
7%
0.15 to <0.25
1,266
0.2%
109
27%
948
440
35%
0.25 to <0.50
326
0.3%
69
32%
626
160
49%
0.50 to <0.75
228
0.6%
42
30%
815
149
66%
0.75 to <2.50
194
1.0%
60
62%
445
250
129%
2.50 to <10.00
51
2.9%
52
67%
155
95
189%
10.00 to <100.00 100.00 (default)
1
100.0%
2
98%
1,577
Sub-total
13,065
0.1%
710
21%
393
1,911
15%
Corporates 0.00 to <0.15
7,586
790
34%
394
762
10%
0.15 to <0.25
1,248
0.2%
207
32%
862
368
30%
0.25 to <0.50
1,114
0.3%
282
29%
1,155
410
37%
0.50 to <0.75
1,320
0.6%
292
29%
941
572
43%
0.75 to <2.50
1,057
1.2%
496
32%
953
680
64%
2.50 to <10.00
660
3.5%
542
32%
917
632
96%
10.00 to <100.00
46
13.9%
668
36%
1,083
80
173%
100.00 (default)
61
100.0%
39
47%
2,194
41
68%
Sub-total
13,091
0.9%
3,316
32%
641
3,544
27%
Corporates – SME 0.00 to <0.15
1
0.1%
7
44%
1,374
24%
0.15 to <0.25
0.2%
2
44%
291
28%
0.25 to <0.50
5
0.4%
21
32%
1,072
2
46%
0.50 to <0.75
2
0.6%
17
44%
2,335
2
91%
0.75 to <2.50
10
1.2%
72
44%
703
9
86%
2.50 to <10.00
15
3.6%
90
44%
638
18
121%
10.00 to <100.00
13
12.4%
211
44%
755
25
184%
100.00 (default)
2
100.0%
11
44%
1,612
2
85%
Sub-total
49
9.0%
431
43%
849
58
118%
Corporates – Specialized Lending 0.00 to <0.15
58
0.1%
14
31%
2,705
13
23%
0.15 to <0.25
106
0.2%
28
17%
3,244
24
23%
0.25 to <0.50
263
0.3%
77
13%
3,245
62
23%
0.50 to <0.75
221
0.6%
98
21%
3,228
103
47%
0.75 to <2.50
228
1.1%
117
20%
2,855
131
58%
2.50 to <10.00
107
3.6%
38
19%
3,510
80
75%
10.00 to <100.00 100.00 (default)
36
100.0%
6
55%
3,257
Sub-total
1,019
4.4%
378
20%
3,151
413
41%
Corporates - Other 0.00 to <0.15
7,527
769
34%
376
748
10%
0.15 to <0.25
1,141
0.2%
177
34%
641
343
30%
0.25 to <0.50
845
0.3%
184
34%
505
346
41%
0.50 to <0.75
1,097
0.6%
177
31%
478
467
43%
0.75 to <2.50
819
1.2%
307
34%
427
540
66%
2.50 to <10.00
539
3.5%
414
34%
412
534
99%
10.00 to <100.00
33
14.5%
457
33%
1,216
55
168%
100.00 (default)
22
100.0%
22
35%
523
39
176%
Sub-total
12,023
0.6%
2,507
34%
427
3,073
26%
Total A-IRB 0.00 to <0.15
24,920
1,219
21%
387
1,591
6%
0.15 to <0.25
2,517
0.2%
318
29%
905
809
32%
88
NATIXIS Risk report Pillar III 2017
Made with FlippingBook flipbook maker