NATIXIS_REGISTRATION_DOCUMENT_2017
ADDITIONAL INFORMATION Table Index
Table Index 8.7
Page of Pillar III report
Page of Registration document
Subject
Title of table
Table 1 (EU LI1): Differences between accounting and regulatory scopes of consolidation and the mapping of financial statements categories with regulatory risk categories Table 2: (EU LI3): Differences between consolidation scopes (entity by entity) Table 3: Transition from accounting capital to regulatory capital after application of phase-in arrangements
31 119-120
Capital management and capital adequacy
33 to 35
37
122
Table 4: Regulatory capital Appendix VI
38 to 43
Table 5: Total capital ratio
44
123
Table 6 (CCyB1): Geographical distribution of credit exposures used in contracyclic buffer Table 7: Changes in regulatory capital after application of phase-in arrangements over the period
45
45-46
125
Table 8: Risk-weighted assets at December 31, 2017 Table 9 (NX02): RWA Basel 3 by Natixis main business line
47 48
125 126
Table 10 (NX01): EAD, RWA and EFP by approach and by Basel exposure class
52 135-136
Credit and counterparty risks
Table 11 (EU OV1): Overview of RWA
53
Table 12 (NX03): Exposures and EAD and by Basel exposure class Table 13 (NX05): EAD by geography and by exposure class
54 55
136 137 137
NX06: EAD by geography
Table 14 (NX11 BIS): EAD by exposure class and by agency – Standardized approach Table 15 (NX17): Secured exposures by rating and by type of guarantor
56 56
NX12: EAD by internal rating (S&P Equivalent)
138
Table 16 (EU CR3): Credit risk mitigation techniques – Overview Table 17 (EU CR7): IRB – Effect on RWA of credit derivatives used as CRM techniques
62 63
Credit risks
8
Table 18 (EU CR1): Credit quality of assets
64 65 66 67 68 70
Table 19 (EU CRB – B): Total and average net amount of exposures Table 20 (EU CRB – C): Geographical breakdown of exposures
Table 21 (EU CRB – D): Concentration of exposures by industry or counterparty type
Table 22 (EU CRB – E): Maturity of exposures
Table 23 (CRD-D): Risk weights under S.A. exposures by asset class and by rating agency Table 24 (EU CR4): Standardized approach – credit risk exposure and credit risk mitigation Table 25 (EU CR5): Standardized approach – EAD by asset class and risk weight Table 26 (EDTF 15): Indicative correspondences between internal ratings based on expert judgment and external agency ratings (corporates, banks, specialized financing institutions) Table 27 (NX16): Average weighted PD and average weighted LGD by geography
71
71
73
129
73
Table 28: Backtesting of LGDs and PDs by exposure class Table 29 (CRE): Main internal models: PD, LGD and CFF
75
131 132
76
Table 30 (EU CR8): RWA flow statements of credit risk exposures under IRB Table 31 (EU CR6): IRB – Credit risk exposures by portfolio and PD range
77
77 to 80
Table 32 (EU CR10): IRB (specialized lending and equities)
81 81 81
Table 33 (NX23): Breakdown of equity exposures by Natixis main business line
Table 34 (NX24): Equity EAD by type and nature of exposure
Table 35 (NX25): Equity RWA by approach
82
485
Natixis Registration Document 2017
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