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)

CCF (%)

Average PD (%)

Number of obligors

EAD

RWA

EL Provisions

Retail – SME 0.00 to <0.15

0.1%

1

23%

486

5%

0.15 to <0.25

0.2%

1

20%

304

7%

0.25 to <0.50

69

69

0.4% 3,225

22% 1,303

8

11%

0.50 to <0.75

60

60

0.7% 2,917

22% 1,267

10

16%

0.75 to <2.50

79

79

1.5% 4,440

22% 1,261

16

21%

2.50 to <10.00

50

50

6.0% 2,982

22% 1,300

14

27%

1

10 to <100

57

100%

57

21.3% 3,144

26% 1,284

29

51%

3

100.00 (default)

10

10

100.0% 1,014

22% 1,001

14

Sub-total Retail – SME

325

100%

326

8.4% 17,724

23% 1,273

77

24%

19

15

Retail – Residential mortgage exposures

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50

4

100%

4

0.4%

43

14% 2,424

7%

0.50 to <0.75

4

1

100%

5

0.7%

70

15% 2,195

1

11%

0.75 to <2.50

15

1

100%

15

1.5%

106

14% 2,795

2

13%

2.50 to <10.00

7

100%

7

5.4%

58

15% 2,813

1

19%

10 to <100

24

1

100%

25

20.7%

107

17% 3,356

8

31%

1

100.00 (default)

8

8

100.0%

68

14% 2,403

4

Sub-total Retail – Residential mortgage exposures

61

4

100%

65

21.1%

452

15% 2,897

12

19%

5

6

Other retail exposures 0.00 to <0.15

0.0%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10 to <100

7

16

16

40.3%

2

17%

183

8

49%

1

100.00 (default)

26

26

100.0%

4

39%

183

23

90%

9

Sub-total - Other retail exposures

41

41

77.2%

13

31%

183

31

74%

10

29

Equity Sub-total Equity A-IRB 0.00 to <0.15

67,928

25,224

51% 80,859

0.0% 2,287

16%

690

4,799

6%

4

0.15 to <0.25

5,255

5,652

65% 8,919

0.2%

443

28% 1,197

2,538

28%

5

0.25 to <0.50

7,676

9,324

52% 12,535

0.3% 5,154

21% 1,148

3,509

28%

9

0.50 to <0.75

7,465

7,408

50% 11,184

0.6% 3,847

23% 1,157

4,350

39%

15

0.75 to <2.50

13,432

9,979

55% 18,944

1.3% 8,266

22% 1,441

9,840

52%

54

2.50 to <10.00

5,281

3,771

53% 7,288

3.9% 10,548

28% 1,305

6,468

89%

76

10 to <100

919

1,048

46% 1,401

13.6% 9,729

24% 1,232

1,521

109%

46

100.00 (default)

3,421

214

45% 3,516

100.0% 2,083

39%

812

2,636

75% 1,800

TOTAL A-IRB

111,376

62,619

53% 144,647

3.0% 42,357

20%

935

35,662

25% 2,008

2,183

Total

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

Total 0.00 to <0.15

83,357

25,435

51% 96,435

0.0% 2,487

23%

596

7,781

8%

9

0.15 to <0.25

5,671

5,680

65% 9,349

0.2%

503

28% 1,151

2,731

29%

5

0.25 to <0.50

10,087

9,327

52% 14,948

0.3% 5,216

25%

975

5,040

34%

13

0.50 to <0.75

7,775

7,608

51% 11,643

0.6% 3,913

23% 1,134

4,637

40%

15

0.75 to <2.50

14,423

10,145

55% 20,031

1.3% 8,708

23% 1,410

10,806

54%

59

2.50 to <10.00

5,966

3,888

53% 8,012

3.9% 11,043

30% 1,241

7,425

93%

87

10 to <100

1,105

1,100

45% 1,598

13.5% 10,248

26% 1,205

1,903

119%

56

100.00 (default)

3,965

226

45% 4,067

100.0% 2,212

40%

754

2,636

65% 2,047

TOTAL AT 12.31.2017

132,348

63,408

53% 166,084

3.0% 44,330

25%

838

42,960

26% 2,291

2,359

80

NATIXIS Risk report Pillar III 2017