NATIXIS_PILLAR_III_2017_EN
4 CREDIT RISK AND COUNTERPARTY RISK Credit and counterparty risks
Credit and counterparty risks 4.1
TABLE 10 (NX01): EAD, RWA AND OFR BY BASEL APPROACH AND BY CATEGORY OF EXPOSURE R
12.31.2017
12.31.2016*
EAD
RWA
OFR
EAD
RWA
OFR
(in millions of euros)
Credit risk Internal approach
177,471
60,782
4,863
175,830
65,643
5,251
Equities
5,446
16,548
1,324
5,620
16,826
1,346
Central governments or central banks
47,832
601
48
36,305
748
60
Other items
717
188
15
934
233
19
Retail
620
181
14
813
217
17
Corporates
107,942
39,971
3,198
115,021
43,496
3,480
Institutions
9,706
2,219
178
9,632
2,719
217
Securitization
5,208
1,074
86
7,505
1,404
112
Standardized approach
66,452
17,532
1,402
70,860
13,526
1,082
Equities
118
259
21
Central governments or central banks
6,012
1,549
124
8,503
2,027
162
Other items
8,177
8,526
682
7,306
6,538
523
Retail
2,631
1,937
155
2,571
1,892
151
Corporates
3,274
2,428
194
1,916
1,257
100
Institutions
41,573
549
44
46,759
538
43
Exposures at default
374
477
38
206
215
17
Exposures secured by mortgages on immovable property
1,025
498
40
221
97
8
Collective investment undertakings
282
282
23
Exposures to institutions and corporates with a short-term credit assessment
382
200
16
2,315
124
10
Securitization
3,004
1,368
109
663
297
24
Sub-total credit risk
243,923
78,314
6,265
246,690
79,169
6,333
Counterparty risk Internal approach
33,305
5,756
460
36,048
7,047
564
Central governments or central banks
6,424
105
8
4,069
195
16
Corporates
13,594
3,694
295
15,579
4,371
350
Institutions
13,065
1,911
153
15,528
2,364
189
Securitization
222
46
4
872
117
9
Standardized approach
21,132
659
53
19,093
479
38
Central governments or central banks
955
128
11
2,150
134
11
Retail
1
2
1
Corporates
60
15
1
140
5
Institutions
19,843
365
29
16,639
298
24
Exposures at default
2
3
Exposures to institutions and corporates with a short-term credit assessment
270
147
12
162
41
3
Securitization
1
1
CCP default fund exposure
368
256
21
285
273
22
Sub-total counterparty risk
54,805
6,671
534
55,426
7,799
624
Market risk Internal approach
4,229
338
5,437
435
Standardized approach
5,491
439
5,646
452
Equity risk
432
34
414
33
Foreign exchange risk
2,586
207
2,916
233
Commodities risk
720
58
708
57
Interest rate risk
1,753
140
1,608
129
Sub-total market risk
9,720
777
11,083
887
CVA
8,389
1,198
96
11,129
3,736
299
Settlement-delivery risk
10
1
28
2
Operational risk (standardized approach)
14,784
1,183
13,709
1,097
TOTAL
110,697
8,856
115,524
9,242
Proforma 12.31.2016 CCP default fund exposure is reclassified as counterparty risk. *
52
NATIXIS Risk report Pillar III 2017
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