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

73

NATIXIS Risk report Pillar III 2017

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