NATIXIS_PILLAR_III_2017_EN

6 COUNTERPARTY RISK Counterparty risk exposure

TABLE 40 (CCR8): EXPOSURES TO CCPS R

EAD post CRM

RWA

 (in millions of euros)

Exposures to QCCPs (total)

621

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which:

13,517

332

(i) OTC derivatives

2,658 7,172 3,687

53

(ii) Exchange-traded derivatives

205

(iii) SFTs

74

(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

4,663

33

Prefunded default fund contributions

368

256

Exposures to non-QCCPs (total) Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which: (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

Prefunded default fund contributions Unfunded default fund contributions:

90

NATIXIS Risk report Pillar III 2017