NATIXIS_PILLAR_III_2017_EN
CREDIT RISK Credit risk: internal ratings-based approach
TABLE 26 (EDTF 15): INDICATIVE CORRESPONDENCES BETWEEN INTERNAL RATINGS BASED ON EXPERT APPRAISAL R AND EXTERNAL AGENCY RATINGS (CORPORATES, BANKS, SPECIALIZED FINANCING INSTITUTIONS)
Internal rating
S&P/Fitch equivalent
Moody’s equivalent
1-year PD 0.03% 0.03% 0.03% 0.03% 0.03% 0.04% 0.09% 0.18% 0.33% 0.55% 0.88% 1.34% 1.97% 2.82% 3.93% 5.36% 7.17% 9.42% 12.20% 15.57% 19.63%
AAA AA+
AAA AA+
Aaa Aa1 Aa2 Aa3
AA
AA
AA-
AA-
A+
A+
A1 A2 A3
A
A
A-
A-
BBB+ BBB BBB-
BBB+ BBB BBB-
Baa1 Baa2 Baa3
BB+
BB+
Ba1 Ba2 Ba3
BB
BB
BB-
BB-
5
B+
B+
B1 B2 B3
B
B
B-
B-
CCC+ CCC CCC-
CCC+ CCC CCC-
Caa1 Caa2 Caa3
CC
CC
Ca
C
C
C
The rating scale varies according to the type of counterparty and ratings are also one of the criteria used to determine the level of includes 21 notches for major corporations, banks and authority required to approve credit applications. specialized financing institutions. It should be noted that internal
TABLE 27 (NX16): PD AND LGD BY GEOGRAPHIC AREA R
12.31.2017
EAD (in millions of euros)
Weighted average PD (as a %)
Weighted average LGD (as a %)
Geographic areas
Africa
4,453 5,142 7,955
6.4% 2.5% 1.7% 2.5% 1.9% 1.5% 3.6% 2.5% 3.1%
25.2% 17.1% 26.1% 28.7% 23.2% 23.7% 27.7% 23.2% 23.8%
Europe outside EU
Other
Asia
12,875 44,225 45,526 90,600 210,776 211,878
European Union
Americas
France
TOTAL AT 12.31.2017 TOTAL AT 12.31.2016
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NATIXIS Risk report Pillar III 2017
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