NATIXIS_PILLAR_III_2017_EN
CREDIT RISK Credit risk: internal ratings-based approach
TABLE 32 (CR10): IRB – SPECIALIZED LENDING AND EQUITIES (EXCLUDING IMPACT OF THRESHOLDS) R
Specialized Lending - Slotting criteria
Regulatory categories (in millions of euros)
Remaining maturity Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years
On-balance sheet amount
Off-balance sheet amount
Expected losses
Risk weight
EAD
RWA
Good
1
50
1
Good
8
70
8
6
Good
7
90
7
6
TOTAL AT 12.31.2017 TOTAL AT 12.31.2016
16
16
12
8
8
8
Equities under the simple risk-weighted approach
5
Regulatory categories (in millions of euros)
On-balance sheet amount
Off-balance sheet amount
Risk weight
EAD
RWA
OFR
Exchange-traded equity exposures
728
160
190 290 370
888
1,687 3,729 9,097
135 298 728
Private Equity exposures Other equity exposures TOTAL AT 12.31.2017 TOTAL AT 12.31.2016
1,286 2,453 4,467 4,420
1,286 2,459 4,632 4,637
11
171 226
14,513 14,368
1,161 1,149
TABLE 33 (NX23): BREAKDOWN BY MAIN NATIXIS BUSINESS R
12.31.2017
12.31.2016
Business (in millions of euros)
Fair value (MTM)
EAD 204 917
Fair value (MTM)
EAD 193 892
Corporate & Investment Banking Asset & Wealth Management
209 899
199 863
Insurance
1,946
1,946
1,954
1,954
Specialized Financial Services
729
729
669
669
Corporate Center
1,509
1,650
1,840
2,030
TOTAL
5,292
5,446
5,525
5,738
TABLE 34 (NX24): EAD BY TYPE AND NATURE OF EXPOSURE (EXCLUDING IMPACT OF THRESHOLDS) R
Type and Nature of exposure (in millions of euros)
Mutual fund investments
Total at 12.31.2017
Total at 12.31.2016
Equities
Investments
Private Equity held in sufficiently diversified portfolios
886 309 174
1
888
1,096 2,522 1,019
Other equity exposures
17
2,133
2,459 1,286
Listed equities
502
610
Equity – standardized approach
24
TOTAL
1,369
519
2,744
4,632
4,661
81
NATIXIS Risk report Pillar III 2017
Made with FlippingBook flipbook maker