NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Credit and counterparty risks

QUANTITATIVE DISCLOSURES 3.5.8

EAD, RWA AND OWN FUNDS REQUIREMENTS BY BASEL APPROACH AND CATEGORY OF EXPOSURE (NX01) R

12.31.2017

12.31.2016*

EAD

RWA

OFR

EAD

RWA

OFR

(in millions of euros)

Credit risk Internal approach

3

177,471

60,782 16,548

4,863 1,324

175,830

65,643 16,826

5,251 1,346

Equities

5,446

5,620

Central governments or central banks

47,832

601 188 181

48 15 14

36,305

748 233 217

60 19 17

Other assets

717 620

934 813

Retail

Corporates Institutions

107,942

39,971

3,198

115,021

43,496

3,480

9,706 5,208

2,219 1,074

178

9,632 7,505

2,719 1,404

217 112

Securitization

86

Standardized approach

66,452

17,532

1,402

70,860

13,526

1,082

Equities

118

259

21

Central governments or central banks

6,012 8,177 2,631 3,274

1,549 8,526 1,937 2,428

124 682 155 194

8,503 7,306 2,571 1,916

2,027 6,538 1,892 1,257

162 523 151 100

Other assets

Retail

Corporates Institutions

41,573

549 477

44 38

46,759

538 215

43 17

Exposures at default

374

206

Exposure secured by mortgages on immovable property Collective investment undertakings Exposures to institutions and corporates with a short-term credit assessment

1,025

498

40

221 282

97

8

282

23

382

200

16

2,315

124 297

10 24

Securitization

3,004

1,368

109

663

Sub-total credit risk Counterparty risk Internal approach

243,923

78,314

6,265

246,690

79,169

6,333

33,305

5,756

460

36,048

7,047

564

Central governments or central banks

6,424

105

8

4,069

195

16

Corporates Institutions

13,594 13,065

3,694 1,911

295 153

15,579 15,528

4,371 2,364

350 189

Securitization

222

46

4

872

117 479 134

9

Standardized approach

21,132

659 128

53 11

19,093

38 11

Central governments or central banks

955

2,150

Retail

1

2

1 5

Corporates Institutions

60

15

1

140

19,843

365

29

16,639

298

24

Exposures at default

2

3

Exposures to institutions and corporates with a short-term credit assessment

270

147

12

162

41

3

Securitization

1

1

CCP default fund exposure Sub-total counterparty risk

368

256

21

285

273

22

54,805

6,671

534

55,426

7,799

624

Market risk Internal approach

4,229 5,491

338 439

5,437 5,646

435 452

Standardized approach

Equity risk

432

34

414

33

135

Natixis Registration Document 2017