NATIXIS_PILLAR_III_2017_EN

COUNTERPARTY RISK Counterparty risk exposure

PD scale (in millions of euros)

Average PD (%)

Average LGD (%)

Average maturity (days)

RWA density (%)

EAD post CRM

Number of obligors

RWA

0.25 to <0.50

1,459

0.3%

353

30%

1,021

577

40%

0.50 to <0.75

1,547

0.6%

334

29%

922

721

47%

0.75 to <2.50

1,252

1.2%

556

36%

874

930

74%

2.50 to <10.00

778

3.5%

595

35%

816

811

104%

10.00 to <100.00

46

13.9%

668

36%

1,083

80

173%

100.00 (default)

62

100.0%

41

48%

2,182

41

67%

Sub-total A-IRB

32,580

0.4%

4,084

23%

514

5,559

17%

Total

PD scale (in millions of euros)

Average PD (%)

Average LGD (%)

Average maturity (days)

RWA density (%)

EAD post CRM

Number of obligors

RWA

0.00 to <0.15

25,424

1,223

22%

397

1,741

7%

0.15 to <0.25

2,517

0.2%

318

29%

905

809

32%

0.25 to <0.50

1,459

0.3%

353

30%

1,021

577

40%

0.50 to <0.75

1,547

0.6%

334

29%

922

721

47%

0.75 to <2.50

1,252

1.2%

556

36%

874

930

74%

2.50 to <10.00

778

3.5%

595

35%

816

811

104%

10.00 to <100.00

46

13.9%

668

36%

1,083

80

173%

100.00 (default)

62

100.0%

41

48%

2,182

41

67%

TOTAL AT 12.31.2017

33,084

0.4%

4,088

24%

520

5,710

17%

6

TABLE 39 (CCR6): CREDIT DERIVATIVES EXPOSURES R

12.31.2017

Protection bought

Protection sold

(in millions of euros)

Notional Single-name credit default swaps

5,913

5,034

Credit-linked notes Total return swaps

1,189

Collateralized debt obligations Index credit default swaps

1,962 9,438

1,110 7,796

Other credit derivatives

Total notional

17,313

15,130

Fair values Positive fair value (asset) Negative fair value (liability)

75

221 (70)

(310)

89

NATIXIS Risk report Pillar III 2017