NATIXIS_PILLAR_III_2017_EN

APPENDIX Appendix 4: Table index

Appendix 4: Table index

Page of Pillar III report

Page of Registration document

Subject

Title of table

Table 1 (EU LI1): Differences between accounting and regulatory scopes of consolidation and the mapping of financial statements categories with regulatory risk categories Table 2 (EU LI3): Differences between consolidation scopes (entity by entity) Table 3: Transition from accounting capital to regulatory capital after application of phase-in arrangements

31 117-118

Capital management and capital adequacy

33 to 35

37

120

Table 4: Regulatory capital Appendix VI

38 to 43

Table 5: Total capital ratio

44 45

121

Table 6 (CCyB1): Geographical distribution of credit exposures used in contracyclic buffer Table 7: Changes in regulatory capital after application of phase-in arrangements over the period

45-46

122

Table 8: Risk-weighted assets at December 31, 2017 Table 9 (NX02): RWA Basel III by Natixis main business line

47 48

123 124

Table 10 (NX01): EAD, RWA and EFP by approach and by Basel exposure class

52 133-134

Credit and counterparty risks

Table 11 (EU OV1): Overview of RWA

53 54 55

Table 12 (NX03): Exposures and EAD and by Basel exposure class Table 13 (NX05): EAD by geography and by exposure class

134 135 135

NX06: EAD by geography

Table 14 (NX11 BIS): EAD by exposure class and by agency – Standardized approach Table 15 (NX17): Secured exposures by rating and by type of guarantor

56 56

NX12: EAD by internal rating (S&P Equivalent)

136

Table 16 (EU CR3): Credit risk mitigation techniques – Overview

62 63 64 65 66 67 68 70 71

Credit risk

Table 17 (EU CR7): IRB – Effect on RWA of credit derivatives used as CRM techniques

Table 18 (EU CR1): Credit quality of assets

Table 19 (EU CRB – B): Total and average net amount of exposures Table 20 (EU CRB – C): Geographical breakdown of exposures

Table 21 (EU CRB – D): Concentration of exposures by industry or counterparty type

Table 22 (EU CRB – E): Maturity of exposures

Table 23 (CRD-D): Risk weights under SA exposures by asset class and byrating agency Table 24 (EU CR4): Standardized approach – credit risk exposure and credit risk mitigation Table 25 (EU CR5): Standardized approach – EAD by asset class and risk weight Table 26 (EDTF 15): Indicative correspondences between internal ratings based on expert judgment and external agency ratings (corporates, banks, specialized financing institutions) Table 27 (NX16): Average weighted PD and average weighted LGD by geography

71 73

129

73 75 76 77 81 81 81 82

Table 28: Backtesting of LGDs and PDs by exposure class Table 29 (CRE): Main internal models: PD, LGD and CFF

131 132

Table 30 (EU CR8): RWA flow statements of credit risk exposures under IRB Table 31 (EU CR6): IRB – Credit risk exposures by portfolio and PD range

77 to 80

Table 32 (EU CR10): IRB (specialized lending and equities)

Table 33 (NX23): Breakdown of equity exposures by Natixis main business line

Table 34 (NX24): Equity EAD by type and nature of exposure

14

Table 35 (NX25): Equity RWA by approach

161

NATIXIS Risk report Pillar III 2017