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