NATIXIS_PILLAR_III_2017_EN

CREDIT RISK Credit risk: internal ratings-based approach

EXPOSURE TO CREDIT RISK ACCORDING TO THE INTERNAL RATING SYSTEM 5.7.4

TABLE 30 (CR8): RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURE UNDER THE IRB APPROACH R

RWA amounts

OFR

(in millions of euros)

RWA at 12.31.2016

64,239

5,139

Asset size

2,022

162

Asset quality Model updates

(1,976) (1,123)

(159)

(91)

Methodology and policy Acquisitions and disposals Foreign exchange movements

(1,767) (1,687) 59,708

(142) (134) 4,777

Other

RWA at 12.31.2017

5

TABLE 31 (CR6): IRB – CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE R

F-IRB

Original on-balance sheet gross exposure

Off-balance sheet exposures pre-CCF

Average LGD (%)

Average maturity (days)

RWA density (%)

PD scale (in millions of euros) Governments or central banks 0.00 to <0.15

Average PD (%)

Number of obligors

CCF (%)

EAD

RWA

EL Provisions

18

18

0.0%

4

42% 1,187

2

9%

0.15 to <0.25 0.25 to <0.50

310

310

0.4%

2

45%

3

201

65%

1

0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100 100.00 (default) Sub-total Sovereign borrowers

328

328

0.0%

6

45%

67

203

62%

1

Institutions 0.00 to <0.15

89

26

50%

102

0.0%

53

44%

559

23

22%

0.15 to <0.25

13

28

50%

27

0.2%

6

45%

380

16

59%

0.25 to <0.50

121

3

50%

122

0.3%

7

45%

74

97

80%

0.50 to <0.75

49

196

75%

196

0.6%

12

20% 1,026

87

44%

0.75 to <2.50

1

86

75%

65

0.9%

10

12% 2,677

20

31%

2.50 to <10.00

8

8

2.8%

31

41%

575

11

150%

10 to <100 100.00 (default)

29

29

100%

1

45%

72

13

Sub-total Institutions

309

340

71%

548

5.6%

120

32%

835

255

46%

13

Corporates 0.00 to <0.15

15,322

186

73% 15,456

0.1%

143

64%

101

2,958

19%

5

0.15 to <0.25

403

403

0.2%

54

45%

166

176

44%

0.25 to <0.50

1,980

1,981

0.4%

53

45%

90

1,233

62%

3

0.50 to <0.75

260

3

75%

263

0.6%

54

44%

248

199

76%

1

0.75 to <2.50

990

81

39% 1,022

1.1%

432

43%

771

946

93%

5

2.50 to <10.00

678

117

34%

717

3.6%

464

43%

601

946

132%

11

10 to <100

186

52

22%

197

12.8%

519

41% 1,015

381

193%

10

100.00 (default)

516

12

53%

523

100.0%

128

45%

400

234

Subtotal Corporates

20,335

450

50% 20,561

2.9% 1,847

59%

170

6,840

33%

269

176

77

NATIXIS Risk report Pillar III 2017