NATIXIS_PILLAR_III_2017_EN
7 SECURITIZATION
Regulatory capital requirements
Regulatory capital requirements 7.4
TABLE 48 (SEC3): SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED CAPITAL REQUIREMENTS – R BANK ACTING AS ORIGINATOR OR AS SPONSOR
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
Capital charge after cap
> 50% to 100%
> 100% to 1,250% = 1,250%
IRB RBA (including IAA)
IRB RBA (including IAA)
IRB RBA (including IAA)
> 20% to 50%
IRB SFA SA/SSFA 1,250%
IRB SFA SA/SSFA 1,250%
IRB SFA SA/SSFA 1,250%
<= 20%
(in millions of euros)
Traditional securitization
2,188 1,850
601
3
214
2,338
11
2,507
400
2
1,162
32
93
o/w securitization 2,188 1,850
601
3
214
2,338
11
2,507
400
2
1,162
32
93
o/w retail underlying
258
708
172
347
791
106
416
8
33
o/w wholesale
1,930 1,142
429
3
214
1,992
11
1,715
294
2
745
24
60
o/w re-securitization o/w senior o/w non-senior Synthetic securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior Total exposures
2,195
2,195
219
18
o/w securitization 2,195
2,195
219
18
2,195
2,195
219
18
4,383 1,850
601
3
214
2,338 2,206
2,507
400 221
1,162
32 18
93
TABLE 49 (SEC4): SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED CAPITAL REQUIREMENTS – R BANK ACTING AS INVESTOR
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
Capital charge after cap
> 50% to 100%
> 100% to 1,250% = 1,250%
IRB RBA (including IAA)
IRB RBA (including IAA)
IRB RBA (including IAA)
> 20% to 50%
IRB SFA SA/SSFA 1,250%
IRB SFA SA/SSFA 1,250%
IRB SFA SA/SSFA 1,250%
<= 20%
(in millions of euros)
Traditional securitization
917
220
62
59
124
885
498
497
206
40
17
o/w securitization
917
220
62
59
124
884
498
490
206
39
17
o/w retail underlying
241
163
12
2
95
507
6
213
3
17
o/w wholesale
677
56
50
57
28
377
491
277
203
22
16
o/w re-securitization
1
1
8
1
o/w senior debt
1
1
8
1
o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior o/w non-senior Total exposures
917
220
62
59
124
885
498
497
206
40
17
98
NATIXIS Risk report Pillar III 2017
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