NATIXIS_PILLAR_III_2017_EN

5 CREDIT RISK

Credit risk: internal ratings-based approach

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) Corporates – SME 0.00 to <0.15

Average PD (%)

Number of obligors

CCF (%)

EAD

RWA

EL Provisions

100

100

0.1%

11

65%

441

19

19%

0.15 to <0.25

15

15

0.2%

4

45%

150

7

44%

0.25 to <0.50

4

4

0.5%

6

31% 2,239

2

44%

0.50 to <0.75

9

9

0.6%

11

37% 1,495

6

66%

0.75 to <2.50

123

19

23%

128

1.3%

204

41%

988

111

87%

1

2.50 to <10.00

208

47

23%

219

4.0%

255

41% 1,150

261

119%

4

10 to <100

109

37

22%

117

13.0%

383

42%

767

222

190%

6

100.00 (default)

50

5

20%

51

100.0%

112

43% 1,074

22

Sub-total Corporates – SME

619

108

22%

643

11.9%

986

45%

920

628

98%

32

56

Corporates – Other 0.00 to <0.15

15,221

186

73% 15,356

0.1%

132

64%

99

2,939

19%

5

0.15 to <0.25

387

387

0.2%

50

45%

167

170

44%

0.25 to <0.50

1,976

1,976

0.4%

47

45%

85

1,231

62%

3

0.50 to <0.75

251

3

75%

254

0.6%

43

44%

205

194

76%

1

0.75 to <2.50

867

62

44%

894

1.0%

226

43%

741

835

93%

4

2.50 to <10.00

469

70

41%

498

3.5%

209

44%

359

684

137%

8

10 to <100

77

15

20%

80

12.4%

136

41% 1,377

159

198%

4

100.00 (default)

467

7

75%

472

100.0%

16

45%

328

212

Sub-total Corporates – Other

19,716

342

59% 19,918

2.6%

859

60%

146

6,211

31%

237

120

Equity

5,281

171

100% 5,446

471

252

16,548

304%

77

Sub-total Equity

5,281

171

100% 5,446

471

252

16,548

304%

77

5

F- IRB (excl. equity) 0.00 to <0.15

15,428

211

70% 15,576

0.1%

200

64%

106

2,982

19%

5

0.15 to <0.25

416

28

50%

430

0.2%

60

45%

180

193

45%

0.25 to <0.50

2,412

3

47% 2,413

0.4%

62

45%

78

1,532

63%

4

0.50 to <0.75

309

200

75%

459

0.6%

66

34%

581

287

62%

1

0.75 to <2.50

991

167

58% 1,087

1.1%

442

41%

886

967

89%

5

2.50 to <10.00

685

117

34%

724

3.6%

495

43%

601

957

132%

11

10 to <100

186

52

22%

197

12.8%

519

41% 1,015

381

193%

10

100.00 (default)

545

12

53%

551

100.0%

129

45%

383

247

TOTAL IRB-F (EXCL. EQUITY)

20,972

789

81% 21,437

3.0% 1,973

58%

186

7,297

34%

283

176

A-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)

CCF (%)

Average PD (%)

Number of obligors

EAD

RWA

EL Provisions

Central governments or central banks 0.00 to <0.15

46,192

1,396

60% 47,036

0.0%

212

8%

407

114

0.15 to <0.25

178

2

100%

180

0.2%

16

37% 1,493

88

49%

0.25 to <0.50

144

13

100%

156

0.4%

10

41%

671

76

49%

0.50 to <0.75 0.75 to <2.50 2.50 to <10.00

54

81

34%

82

3.2%

24

47% 1,552

118

144%

1

10 to <100

100%

20.9%

4

85% 1,475

2

508%

100.00 (default)

49

100%

49

100.0%

8

104% 1,003

48

Sub-total Central governments or central banks

46,618

1,491

59% 47,503

0.1%

275

8%

414

398

1%

50

52

Institutions 0.00 to <0.15

6,553

894

79% 7,256

0.0%

871

19%

340

561

8%

1

0.15 to <0.25

705

227

56%

832

0.2%

72

25%

291

195

23%

0.25 to <0.50

195

166

55%

287

0.3%

34

34%

401

137

48%

0.50 to <0.75

51

151

23%

85

0.6%

39

32%

67

45

53%

0.75 to <2.50

322

330

25%

406

1.0%

82

53%

136

456

112%

2

2.50 to <10.00

206

145

22%

238

3.2%

148

77%

154

570

239%

6

10 to <100 100.00 (default)

54

54

100.0%

11

92%

507

52

Sub-total Institutions

8,088

1,914

56% 9,158

0.8% 1,257

24%

322

1,964

21%

62

58

78

NATIXIS Risk report Pillar III 2017