NATIXIS_PILLAR_III_2017_EN

5 CREDIT RISK

Credit risk: internal ratings-based approach

NATIXIS’ MAIN INTERNAL MODELS 5.7.3

TABLE 29 (EU CRE): MAIN INTERNAL MODELS: PD, LGD, CCF AND VOLATILITY DISCOUNTS R

Number of models

Modeled input

Portfolio

Description/Methodology

PD

Expert analysis-based rating models using macroeconomic criteria and the assessment of legal and political risks. Expert analysis-based rating models using quantitative criteria (accounting balance sheet) and qualitative criteria (questionnaire). Model per type of counterparty and per geographic area Expert analysis-based rating models by business sector for Corporates and statistical models for SMEs (scores) Expert analysis-based rating models by type of financed asset Rating model based on credit history since 2002. The model includes segmentation and a score Qualitative model based on internal and external defaults. The assessment of LGD during periods of decline is included insofar as all defaults are included for the LGD model. Qualitative model based on internal and external defaults by type of counterparty. LGD assessed in this model include defaults occurring in periods of decline Statistical models (decision trees or assessment of recoverable assets) by type of financed asset. The safety buffers included in the LGD models serve to cover periods of decline (primarily via bootstrap techniques) Models used to assess assets on resale. Assumptions of asset disposals are based on adverse scenarios to determine a conservative LGD assessment Statistical models (decision trees) by type of financed asset. The safety buffers included in the LGD models serve to cover periods of decline (primarily via bootstrap techniques) Rating model based on credit history since 2002. The model includes segmentation and a score Model calibrated on internal defaults and segmentation by type of product and type of counterparty Rating model based on credit history since 2002. The model includes segmentation and a score Stochastic models built on historical market prices with assumptions based on internal data and expertise. Statistical models by business sector

Sovereigns

1

Financial institutions

3

Corporates (incl. SMEs)

12

Specialized Financing

6

Retail SMEs

10

Consumer Finance

1

LGD

Sovereigns

1

Financial institutions

1

Corporates (incl. SMEs)

4

Specialized Financing

4

Leasing

3

Consumer Finance

1

CCF

Corporate Financing (incl. SMEs), Financial Institutions and Sovereigns

1

Consumer Finance

1

Volatility correction

Financial and other collateral 5

76

NATIXIS Risk report Pillar III 2017