NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

RISK WEIGHTS USED FOR SA EXPOSURES BY ASSET CLASS AND BY RATING GRADE (CRD-D) R

Asset classes

Rating agency

Grade

Bucket

Risk weight (%)

0 20*

Long term

AAA to AA-

1

FITCH

Short term

F1+ to F1

20*

2

A+ to A-

0

Long term

3

BBB+ to BBB-

50

0 20*

Long term

Aaa to Aa3

1

Short term

P-1

20*

MOODY’S

2

A1 to A3

20

3

Baa1 to Baa3

50

Long term

4

Ba1 to Ba3

100

6

Caa, Ca, C

150

0 20* 0 20*

Short term

A-1+

1

AAA to AA-

Central governments or central banks

4 20 50

S&P

2

A+ to A-

Long term

10 50 100*

3

BBB+ to BBB-

0 20* 20 50*

1

3++

2

3+, 3

0 50 100* 100 150* 100 150*

BDF Long term/Short term

3

4+

4

4, 5+

5

5, 6

1

3++

75

2

3, 3

75

3

4+

75

Retail

BDF

Long term

4

4, 5+

75

5

5, 6

75

6

7, 8, 9, P

75

FITCH

Long term

5

B+ to B-

150

1

Aaa to Aa3

20

2

A1 to A3

50

3

Baa1 to Baa3

100

MOODY’S

Long term

4

Ba1 to Ba3

100

5

B1 to B3

150

6

Caa, Ca, C

150

1

AAA to AA-

20

2

A+ to A-

50

Corporates

S&P

Long term

3

BBB+ to BBB-

100

5

B+ to B-

150

6

CCC, CC, R, SD/D

150

1

3++

20

2

3+, 3

50

3

4+

100

BDF Long term/Short term

4

4, 5+

100

5

5, 6

150

6

7, 8, 9, P

150

192

Natixis Registration Document 2018