NATIXIS - Universal registration document and financial report 2019
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures
D – Regulatory capital requirements Securitization exposures in the banking book and associated capital requirements – Bank acting as originator or as sponsor (SEC3)
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
OFR
> 50% to 100%
> 100% to 1,250% = 1,250%
IRB RBA (including
IRB RBA (including
IRB RBA (including
> 20% to 50%
(in millions of euros)
<= 20%
IAA) IRB SFA SA 1,250%
IAA) IRB SFA SA 1,250%
IAA) IRB SFA SA 1,250%
Traditional securitization
1,854
360
153
17
69
1,437
40 969
8
498
23 320
105
40
2 26
8
o/w retail underlying
182
182
16
1
o/w wholesale
1,672
360
153
17
69
1,255
40 969
8
482
23 320
105
39
2 26
8
o/w re-securitization o/w senior debt o/w non-senior Synthetic securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES
3
1,504 1,062
114
2,680
497
40
1,504 1,062
114
2,680
497
40
3,358 1,422
267
17
69
1,437 2,719 969
8
498
520 320
105
40
42 26
8
Securitization exposures in the banking book and associated capital requirements – bank acting as investor (SEC4)
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
OFR
> 50% to 100%
> 100% to 1,250%
IRB RBA (including
IRB RBA (including
IRB RBA (including
> 20% to 50%
= 1,250%
(in millions of euros)
<= 20%
IAA) IRB SFA SA 1,250%
IAA) IRB SFA SA 1,250%
IAA) IRB SFA SA 1,250%
Traditional securitization
428 428 383
222
26
2 2 2
106
441 441 389
245
97
82 82 67 15
116
108
7 7 5 1
9 9 1 8
9
o/w securitization
222
26
106
245
97
116
107
9
o/w retail underlying
33
5
30
3
10
1
o/w wholesale
45
189
26
100
52
214
93
106
106
8
o/w re-securitization o/w senior debt o/w non-senior Synthetic securitization o/w securitization o/w retail underlying o/w wholesale o/w re-securitization o/w senior debt o/w non-senior TOTAL EXPOSURES
428
222
26
2
106
441
245
97
82
116
108
7
9
9
199
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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