NATIXIS_PILLAR_III_2017_EN

COUNTERPARTY RISK Counterparty risk exposure

Counterparty risk exposure 6.2

TABLE 36 (CCR1): ANALYSIS OF THE CCR EXPOSURE BY APPROACH R

Potential future exposure

Replacement cost

EAD post-CRM

Notional

EEPE Multiplier

RWA

(in millions of euros) Mark to market

4,771

11,471

16,243

4,406

Original Exposure Standardized approach Internal Model Method (for derivatives and SFTs)

Securities Financing Transactions Derivatives & Long Settlement Transaction From Contractual Cross Product Netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (SFTs)

6

19,793

1,598

VaR for SFTs TOTAL AT 12.31.2017

6,004

85

NATIXIS Risk report Pillar III 2017