NATIXIS_PILLAR_III_2017_EN

COUNTERPARTY RISK Capital requirements and risk-weighted assets

Capital requirements and 6.3 risk-weighted assets

TABLE 41 (EU CCR2): CAPITAL REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENTS R

EAD post-CRM techniques

RWA

(in millions of euros)

Total portfolios subject to the advanced method (i) VaR component (including the 3×multiplier) (ii) Stressed VaR component (including the 3×multiplier) All portfolios subject to the standardized method Based on Original Exposure Method TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 12.31.2017 TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 12.31.2016

8,389

1,198

8,389

1,198 3,736

11,129

6

91

NATIXIS Risk report Pillar III 2017

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