NATIXIS_REGISTRATION_DOCUMENT_2017

3 RISKS AND CAPITAL ADEQUACY Credit and counterparty risks

12.31.2017

12.31.2016*

EAD

RWA

OFR

EAD

RWA

OFR

(in millions of euros)

Foreign exchange risk

2,586

207

2,916

233

Commodities risk Interest rate risk

720

58

708

57

1,753 9,720 1,198

140 777

1,608

129 887 299

Sub-total market risk

11,083

CVA

8,389

96

11,129

3,736

Settlement-delivery risk

10

1

28

2

Operational risk (standardized approach)

14,784

1,183

13,709

1,097

TOTAL

110,697

8,856

115,524

9,242

Pro forma 12.31.2016 CCP default fund exposure is transferred to counterparty risk. *

EXPOSURE AND EAD BY BASEL CATEGORY OF EXPOSURE (NX03) R

(Data certifiedby the StatutoryAuditorsin accordancewith IFRS 7)

Exposure

EAD

(in millions of euros)

o/w off-balance sheet

o/w off-balance sheet

Category of exposure

12.31.2017 154,624 128,199 21,391

12.31.2017 124,870 100,955 19,336

2017 average

Corporates

75,050 65,884

45,615 38,740

126,309 103,069 18,745

Other than SMEs and SF Specialized Financing (SF)

8,326

6,271

SMEs

5,034

840

4,579

604

4,495

Institutions

92,795 61,989 60,254

45,168

84,555 61,223 59,614

36,929

79,664 62,913 61,207

Central governments or central banks Central governments or central banks Regional governments or local authorities

9,154 8,132

8,389 7,492

584

282 740

583

282 615

645

Public sector entities

1,151

1,026 3,252 2,450 8,435 8,894 5,446 802

1,061 3,112 2,319 8,148 8,971 5,630 793

Retail

14,631 13,783

11,297 11,253

85 73 12

Other than SMEs

SMEs

848

44

Securitization Other assets

8,560 8,894 5,451

4,319

4,319

Equities

170

171

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

121

1,087

124

1,025

62

481

653 706

271

652 376

270

1,149

Exposures at default

12

4

277

TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

349,390 346,452

145,565 139,601

298,728 302,116

95,844 95,917

296,775 293,584

136

Natixis Registration Document 2017