NATIXIS_PILLAR_III_2017_EN

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)

CCF (%)

Average PD (%)

Number of obligors

EAD

RWA

EL Provisions

Corporates 0.00 to <0.15

15,183

22,929

50% 26,565

0.1% 1,201

28% 1,288

4,124

16%

4

0.15 to <0.25

4,372

5,387

65% 7,889

0.2%

352

28% 1,289

2,255

29%

4

0.25 to <0.50

7,264

9,145

52% 12,019

0.3% 1,840

21% 1,170

3,287

27%

8

0.50 to <0.75

7,343

7,234

51% 11,022

0.6%

819

23% 1,165

4,294

39%

14

0.75 to <2.50

12,997

9,618

56% 18,412

1.3% 3,624

22% 1,471

9,358

51%

51

2.50 to <10.00

4,897

3,534

55% 6,836

3.9% 7,328

26% 1,352

5,732

84%

67

10 to <100

802

1,044

46% 1,283

12.5% 6,461

24% 1,216

1,457

114%

38

100.00 (default)

3,244

214

45% 3,339

100.0%

974

38%

820

2,611

78% 1,653

Subtotal Corporates

56,102

59,106

53% 87,365

4.7% 22,599

25% 1,281

33,119

38% 1,840

1,988

Corporates – SME 0.00 to <0.15

140

37

21%

148

0.1%

284

25% 2,212

27

19%

0.15 to <0.25

80

1

100%

81

0.2%

56

23%

908

16

20%

0.25 to <0.50

281

61

98%

340

0.4% 1,205

25% 1,032

106

31%

0.50 to <0.75

209

28

88%

233

0.6%

257

27% 1,586

93

40%

0.75 to <2.50

806

248

99% 1,052

1.3% 2,211

30% 1,671

722

69%

4

2.50 to <10.00

978

79

90% 1,049

4.0% 3,061

24% 1,973

742

71%

10

5

10 to <100

184

48

76%

221

12.8%

930

20% 2,373

203

92%

6

100.00 (default)

188

16

70%

199

100.0%

601

24% 2,058

234

117%

124

Sub-total Corporates – SME

2,866

518

88% 3,323

8.6% 8,605

26% 1,770

2,143

64%

144

147

Corporates – Specialized Lending 0.00 to <0.15

1,008

339

84% 1,294

0.1%

57

12% 2,837

118

9%

0.15 to <0.25

886

659

87% 1,459

0.2%

79

10% 2,414

188

13%

0.25 to <0.50

1,892

1,621

79% 3,175

0.3%

176

10% 2,002

493

16%

1

0.50 to <0.75

2,223

1,506

69% 3,257

0.6%

214

11% 2,056

727

22%

2

0.75 to <2.50

5,809

2,949

66% 7,748

1.4%

374

11% 2,133

2,323

30%

12

2.50 to <10.00

573

218

60%

703

4.0%

73

25% 2,150

569

81%

6

10 to <100

4

4

12.2%

4

23% 2,428

4

109%

100.00 (default)

654

15

43%

661

100.0%

29

54%

555

206

Sub-total Corporates – Specialized Lending Corporates – Other 0.00 to <0.15

13,049

7,308

72% 18,301

4.5% 1,006

13% 2,112

4,423

24%

227

293

14,035

22,553

49% 25,124

0.1%

860

29% 1,202

3,979

16%

4

0.15 to <0.25

3,406

4,727

62% 6,349

0.2%

217

32% 1,035

2,051

32%

4

0.25 to <0.50

5,092

7,463

46% 8,504

0.3%

459

24%

865

2,688

32%

7

0.50 to <0.75

4,912

5,701

46% 7,532

0.6%

348

28%

767

3,474

46%

12

0.75 to <2.50

6,382

6,420

50% 9,611

1.3% 1,039

29%

916

6,313

66%

36

2.50 to <10.00

3,346

3,237

54% 5,084

3.9% 4,194

27% 1,114

4,421

87%

51

10 to <100

614

997

45% 1,058

12.5% 5,527

25%

971

1,250

118%

33

100.00 (default)

2,402

182

42% 2,479

100.0%

344

34%

791

2,377

96% 1,323

Sub-total Corporates – Other

40,187

51,280

50% 65,741

4.6% 12,988

29% 1,025

26,553

40% 1,469

1,548

Retail 0.00 to <0.15

5

42%

2

0.1%

3

33%

191

2%

0.15 to <0.25

36

51%

18

0.2%

3

33%

183

1

4%

0.25 to <0.50

73

94%

73

0.4% 3,270

21% 1,367

8

11%

0.50 to <0.75

71

22

29%

77

0.7% 2,989

23% 1,155

11

15%

0.75 to <2.50

113

31

46%

127

1.6% 4,560

24% 1,174

25

20%

2.50 to <10.00

123

11

74%

132

5.7% 3,048

28%

753

48

37%

2

10 to <100

116

3

60%

118

25.0% 3,264

24% 1,398

62

52%

7

100.00 (default)

73

73

100.0% 1,090

45%

533

25

34%

47

Sub-total Retail

569

108

47%

620

18.3% 18,227

27% 1,039

181

29%

57

84

Retail – qualifying revolving 0.00 to <0.15

5

42%

2

0.1%

2

33%

183

2%

0.15 to <0.25

36

51%

18

0.2%

2

33%

183

1

4%

0.25 to <0.50

62%

0.4%

2

33%

183

6%

0.50 to <0.75

7

21

26%

12

0.7%

2

33%

183

1

11%

0.75 to <2.50

19

30

44%

32

1.8%

7

33%

183

7

21%

2.50 to <10.00

66

10

74%

74

5.4%

8

33%

183

33

45%

1

10 to <100

19

2

30%

20

29.2%

11

33%

183

17

85%

2

100.00 (default)

30

30

100.0%

4

67%

183

2

7%

20

Sub-total Retail – qualifying revolving

141

104

45%

188

21.4%

38

39%

183

61

32%

23

34

79

NATIXIS Risk report Pillar III 2017