NATIXIS_PILLAR_III_2017_EN

CREDIT RISK Credit risk: internal ratings-based approach

TABLE 32 (CR10): IRB – SPECIALIZED LENDING AND EQUITIES (EXCLUDING IMPACT OF THRESHOLDS) R

Specialized Lending - Slotting criteria

Regulatory categories (in millions of euros)

Remaining maturity Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years

On-balance sheet amount

Off-balance sheet amount

Expected losses

Risk weight

EAD

RWA

Good

1

50

1

Good

8

70

8

6

Good

7

90

7

6

TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

16

16

12

8

8

8

Equities under the simple risk-weighted approach

5

Regulatory categories (in millions of euros)

On-balance sheet amount

Off-balance sheet amount

Risk weight

EAD

RWA

OFR

Exchange-traded equity exposures

728

160

190 290 370

888

1,687 3,729 9,097

135 298 728

Private Equity exposures Other equity exposures TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

1,286 2,453 4,467 4,420

1,286 2,459 4,632 4,637

11

171 226

14,513 14,368

1,161 1,149

TABLE 33 (NX23): BREAKDOWN BY MAIN NATIXIS BUSINESS R

12.31.2017

12.31.2016

Business (in millions of euros)

Fair value (MTM)

EAD 204 917

Fair value (MTM)

EAD 193 892

Corporate & Investment Banking Asset & Wealth Management

209 899

199 863

Insurance

1,946

1,946

1,954

1,954

Specialized Financial Services

729

729

669

669

Corporate Center

1,509

1,650

1,840

2,030

TOTAL

5,292

5,446

5,525

5,738

TABLE 34 (NX24): EAD BY TYPE AND NATURE OF EXPOSURE (EXCLUDING IMPACT OF THRESHOLDS) R

Type and Nature of exposure (in millions of euros)

Mutual fund investments

Total at 12.31.2017

Total at 12.31.2016

Equities

Investments

Private Equity held in sufficiently diversified portfolios

886 309 174

1

888

1,096 2,522 1,019

Other equity exposures

17

2,133

2,459 1,286

Listed equities

502

610

Equity – standardized approach

24

TOTAL

1,369

519

2,744

4,632

4,661

81

NATIXIS Risk report Pillar III 2017