NATIXIS_PILLAR_III_2017_EN
COUNTERPARTY RISK Counterparty risk exposure
TABLE 38 (CCR4): IRB – CCR EXPOSURES BY PORTFOLIO AND PD SCALE ■
F-IRB
PD scale (in millions of euros) Institutions 0.00 to <0.15 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 10.00 to <100.00 100.00 (default) Sub-total Corporates 0.00 to <0.15 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 10.00 to <100.00 100.00 (default) Sub-total Total F-IRB 0.00 to <0.15 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 10.00 to <100.00 100.00 (default)
Average PD (%)
Average LGD (%)
Average maturity (days)
RWA density (%)
EAD post CRM
Number of obligors
RWA
1
3
45%
875
21%
1
3
45%
875
21%
503
0.1%
1
45%
867
151
30%
503
0.1%
1
45%
867
151
30%
6
504
0.1%
4
45%
867
151
30%
Sub-total F-IRB
504
0.1%
4
45%
867
151
30%
87
NATIXIS Risk report Pillar III 2017
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