NATIXIS_REGISTRATION_DOCUMENT_2017

ADDITIONAL INFORMATION Cross-reference table between articles of the CRR, Basel Committee/ EBA tables and statements, and the Pillar III report

Page of Pillar III report

Page of registration document

CRR Article

Basel Committee/ EBA tables and statements

Reference in Pillar III report

Article 442 (c), (g) and (h) Article 453 (a) (e) Article 453 (f) and (g) Article 442 (c)

(EBA) EU CR1 - Credit quality of assets

Table 18

 64 

(EBA) EU CRC - Qualitative disclosure requirements related to credit risk mitigation techniques (EBA) EU CR3 - Credit risk mitigation techniques – Overview (EBA) EU CRB-B - Total and average net amount of exposures (EBA) EU CRB-C - Geographical breakdown of exposures (EBA) EU CRB-D - Concentration of exposures by industry or counterparty type

5.5. Credit risk mitigation techniques

 60-61

 133

Table 16

 62 

Table 19

 65 

Article 442 (d)

Table 20

 66 

Article 442 (e)

Table 21

 67 

Article 442 (f)

(EBA) EU CRB-E - Maturity of exposures

Table 22

 68 

Credit risk – Standardized approach Article 444 (a) (d)

(EBA) EU CRD - Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk (EBA) EU CR4 - Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects

5.6. Credit risk: standardized approach

 69

 129

Article 453 (f) and (g)

Table 24

 71 

Article 444 (e) Credit risk – IRB Article 452 (a) (c) Article 452 (e)(h) and (j) Article 453 (g)

(EBA) EU CR5 - EAD by asset class and risk weight Table 25

 71 

(EBA) EU CRE - Qualitative disclosures related to IRB models (EBA) EU CR6 - IRB – Credit risk exposures by portfolio and PD range (EBA) EU CR7 - Internal rating – Effect on RWA of credit derivatives used as CRM techniques (EBA) EU CR8 - RWA flow statements of credit risk exposures under IRB NX16 - Average weighted PD and average weighted LGD by geography (EBA) EU CCR1 - Analysis of counterparty credit risk (CCR) exposure by approach (EBA) EU CCR2 - Credit valuation adjustment (CVA) capital charge (EBA) EU CCR3 - Standardized approach of CCR exposures by regulatory portfolio and risk weight (EBA) EU CCR4 - CCR exposures by portfolio and PD scale (EBA) EU CCR6 - Credit derivative exposures

5.7. Credit risk: internal ratings-based approach

 72 to 76 128 to 132

Table 31

 77 to 80 

Table 17

63 

Article 92 (3) and 438 (d)

Table 30

 77 

8

Art. 452 (j)

Table 27

 73 

Counterparty risk Article 439 (e), (f) and (i)

Table 36

 85 

Article 439 (e) and (f) Article 444 (e)

Table 41

 91 

Table 37

 86 

Article 452 (e)

Table 38

 87 to 89 

Table 39 Table 40

89

Article 439 (e) and (f) Securitization Article 449

(EBA) EU CCR8 - Exposures to CCPs

 90 

(BCBS) SECA – Qualitative disclosure requirements related to securitization exposures

7.2. Management of risks related to securitization transactions

94-95

 139

(BCBS) SEC1 - Securitization exposures in the banking book (BCBS) SEC2 - Securitization exposures in the trading book

Table 43

 96 

Table 44

 96

483

Natixis Registration Document 2017

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