NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

EAD BY GEOGRAPHIC AREA (NX06) ■

The geographic area corresponds to the debtor risk country. (Data certified by the Statutory Auditors in accordance with IFRS 7) At 31/12/2018

At 31/12/2017 2% Middle East 2% Europe (outside EU)

2% Africa

3% Middle East 2% Europe (outside EU)

1% Oceania 2% Africa

1% Oceania

5% Asia 2% Latin America

6% Asia 3% Latin America

15% North America

49% France

15% North America

53% France

19% European Union

18% European Union

EAD BY INTERNAL RATING (S&P EQUIVALENT) (NX12) ■ (Data certified by the Statutory Auditors in accordance with IFRS 7) The following table shows the breakdown of exposures at risk by internal rating (S&P equivalent) for asset classes measured using the IRB approach, excluding: exposures to equities (calculated using a simple weighting); a pool-based exposures (acquired portfolios) and third parties grouped into homogeneous risk classes; a securitization positions. a

(% breakdown) Grade

Internal rating

31/12/2018*

31/12/2017*

Investment Grade

AAA AA+

0.2% 5.7%

6.8%

AA

12.4% 12.3%

17.0% 12.2% 4.2% 9.0% 8.8% 6.8% 8.0% 7.4% 5.5% 4.2% 3.4% 2.2% 0.6% 0.4% 0.1% 0.1% 80.2%

AA-

A+

5.3%

A

12.0% 9.5% 7.1% 8.2% 7.9% 5.0% 4.7% 3.2% 2.2% 0.9% 0.3% 0.1% 0.1% 80.6%

A-

BBB+ BBB BBB-

Investment Grade

Non-Investment Grade

BB+

BB

BB-

B+

B

B-

CCC+ CCC CCC- CC C

Non-Investment Grade

16.5%

16.5%

Non-rated

Non-rated

1.3% 1.6%

1.3% 2.0%

Default

D

TOTAL 100.0% Reclassification of central bank exposures from AA- to AA+ for the US central bank and from AA- to AA for the French central bank in the interest * of better alignment with their external ratings (modification of the theoretical allocation principle: level 1 internal rating, or equivalent to an S&P rating of between AAA and AA-, with allocation to an AA- rating). 100.0%

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Natixis Registration Document 2018