NATIXIS_PILLAR_III_2017_EN

CREDIT RISK Credit risk: standardized approach

CREDIT RISK EXPOSURES: STANDARDIZED APPROACH 5.6.2

TABLE 24 (EU CR4): SA – CR EXPOSURE AND CRM EFFECTS R

Exposures before CCF and CRM

Exposures post-CCF and CRM

RWA and RWA density

On-balance sheet amount

Off-balance sheet and amount

On-balance sheet EAD

Off-balance sheet EAD

RWA

RWA density

(in millions of euros)

Central governments or central banks

4,730

4,730

1,451

31%

Regional governments or local authorities

302

1

301

1

50

17%

Public sector entities

411

247

411

123

47

9%

Multilateral Development Banks International Organizations

446

446

Institutions*

38,863

10,006

38,863

2,710

549

1%

Corporates

3,121

1,800

2,802

472

2,428

74%

Retail

2,766

11,188

2,598

33

1,937

74%

Secured by mortgages on immovable property

963

124

963

62

498

49%

Exposures in default

695

10

372

2

477

127%

Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment

5

381

1

381

200

52%

Collective investments undertakings (CIU) Equity exposures Other items

8,177

8,177

8,526

104%

TOTAL AT 12.31.2017

60,855

23,376

60,045

3,403

16,164

25%

* o/w exposures related to affiliates

96%

100%

96%

100%

TOTAL AT 12.31.2016

69,334

14,580

68,781

1,701

13,502

19%

TABLE 25 (CR5): SA – EXPOSURES (EAD) BY ASSET CLASSES AND RISK WEIGHTS R

Risk Weight

Asset classes (in millions of euros)

Of which unrated*

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1,250% Other Deducted

Total

Central governments or central banks Regional governments or local authorities

4,123

44

563

4,730

1,249

51

252

302

185

Public sector entities

327

199

2

7

534

29

Multilateral Development Banks International Organizations

446

446

Institutions

39,841 1,012

199

33

10

19

459

41,573 23,078

Corporates

605

61

9 242

46 120

2,082 110

3,274

2,515

Retail

2,631

2,631

2,631

Secured by mortgages on immovable property

53 971

1,025

1,007

Exposures in default

169 205

374

374

Items associated with particularly high risk Covered bonds

Claims on institutions and corporates with a short-term credit assessment

10

351

16

5

382

Collective investments undertakings (CIU) Equity exposures Other items

304

63

13

12

10

4,584

3,191

8,177

8,079

TOTAL AT 12.31.2017

45,697 1,136

13 680 328 1,391 139 2,631 7,360 320 563

3,191

63,448 39,147

TOTAL AT 12.31.2016

53,590 2,493

2

1 1,358 321 254 201 2,571 8,632

20 738

301

70,482 56,821

Of which €23,339 million in exposure to BPCE Group affiliates at December 31, 2017. *

71

NATIXIS Risk report Pillar III 2017

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