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