NATIXIS_PILLAR_III_2017_EN

6 COUNTERPARTY RISK Counterparty risk exposure

A-IRB

PD scale (in millions of euros)

Average PD (%)

Average LGD (%)

Average maturity (days)

RWA density (%)

EAD post CRM

Number of obligors

RWA

Central governments or central banks 0.00 to <0.15

6,334

53

11%

506

13

0%

0.15 to <0.25

3

0.2%

2

37%

631

1

33%

0.25 to <0.50

20

0.4%

2

47%

6

7

38%

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

67

3.2%

1

47%

321

83

124%

6,424

58

11%

503

105

2%

Institutions 0.00 to <0.15

11,000

0.1%

376

18%

314

816

7%

0.15 to <0.25

1,266

0.2%

109

27%

948

440

35%

0.25 to <0.50

326

0.3%

69

32%

626

160

49%

0.50 to <0.75

228

0.6%

42

30%

815

149

66%

0.75 to <2.50

194

1.0%

60

62%

445

250

129%

2.50 to <10.00

51

2.9%

52

67%

155

95

189%

10.00 to <100.00 100.00 (default)

1

100.0%

2

98%

1,577

Sub-total

13,065

0.1%

710

21%

393

1,911

15%

Corporates 0.00 to <0.15

7,586

790

34%

394

762

10%

0.15 to <0.25

1,248

0.2%

207

32%

862

368

30%

0.25 to <0.50

1,114

0.3%

282

29%

1,155

410

37%

0.50 to <0.75

1,320

0.6%

292

29%

941

572

43%

0.75 to <2.50

1,057

1.2%

496

32%

953

680

64%

2.50 to <10.00

660

3.5%

542

32%

917

632

96%

10.00 to <100.00

46

13.9%

668

36%

1,083

80

173%

100.00 (default)

61

100.0%

39

47%

2,194

41

68%

Sub-total

13,091

0.9%

3,316

32%

641

3,544

27%

Corporates – SME 0.00 to <0.15

1

0.1%

7

44%

1,374

24%

0.15 to <0.25

0.2%

2

44%

291

28%

0.25 to <0.50

5

0.4%

21

32%

1,072

2

46%

0.50 to <0.75

2

0.6%

17

44%

2,335

2

91%

0.75 to <2.50

10

1.2%

72

44%

703

9

86%

2.50 to <10.00

15

3.6%

90

44%

638

18

121%

10.00 to <100.00

13

12.4%

211

44%

755

25

184%

100.00 (default)

2

100.0%

11

44%

1,612

2

85%

Sub-total

49

9.0%

431

43%

849

58

118%

Corporates – Specialized Lending 0.00 to <0.15

58

0.1%

14

31%

2,705

13

23%

0.15 to <0.25

106

0.2%

28

17%

3,244

24

23%

0.25 to <0.50

263

0.3%

77

13%

3,245

62

23%

0.50 to <0.75

221

0.6%

98

21%

3,228

103

47%

0.75 to <2.50

228

1.1%

117

20%

2,855

131

58%

2.50 to <10.00

107

3.6%

38

19%

3,510

80

75%

10.00 to <100.00 100.00 (default)

36

100.0%

6

55%

3,257

Sub-total

1,019

4.4%

378

20%

3,151

413

41%

Corporates - Other 0.00 to <0.15

7,527

769

34%

376

748

10%

0.15 to <0.25

1,141

0.2%

177

34%

641

343

30%

0.25 to <0.50

845

0.3%

184

34%

505

346

41%

0.50 to <0.75

1,097

0.6%

177

31%

478

467

43%

0.75 to <2.50

819

1.2%

307

34%

427

540

66%

2.50 to <10.00

539

3.5%

414

34%

412

534

99%

10.00 to <100.00

33

14.5%

457

33%

1,216

55

168%

100.00 (default)

22

100.0%

22

35%

523

39

176%

Sub-total

12,023

0.6%

2,507

34%

427

3,073

26%

Total A-IRB 0.00 to <0.15

24,920

1,219

21%

387

1,591

6%

0.15 to <0.25

2,517

0.2%

318

29%

905

809

32%

88

NATIXIS Risk report Pillar III 2017

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