NATIXIS_PILLAR_III_2017_EN
4 CREDIT RISK AND COUNTERPARTY RISK Credit and counterparty risks
TABLE 14 (NX11 BIS): EAD BY CATEGORY AND BY AGENCY – STANDARDIZED APPROACH R
The following table shows the breakdown of exposure at risk by external agency for asset classes following the standardized approach after excluding exposures to Groupe BPCE affiliates: exposures to equities; a
pool-based exposures (acquired portfolios) and third parties a grouped into homogeneous risk classes; securitization positions. a unrated positions; a other items that do not represent a credit obligation. a
Category of exposure (in millions of euros)
FITCH
MOODYS
S&P 524 617 961
Total
Corporates Institutions
45
569
34
539 595 149 133
1,190 1,868
Governments or central banks
313
Central governments or central banks
25 32
77
251 446
International organizations
281
Multilateral development banks Regional governments or local authorities
52
97
79
228 943
Public sector entities
203
216
524
Exposures secured by mortgages on immovable property Exposures to institutions and corporates with a short-term credit assessment
18
18
6
14
632
652
TOTAL AT 12.31.2017
352
1,193
2,752
4,297
TOTAL AT 12.31.2016
397
1,417
5,938
7,752
TABLE 15 (NX17): GUARANTEED EXPOSURES BY TYPE AND INTERNAL RATING OF GUARANTOR (S&P EQUIVALENT) R
Guaranteed Exposures by Type
Internal Rating of Guarantor (S&P Equivalent) (as a %)
Governments and central banks
Institutions
Corporates
AAA AA+, AA, AA-
4.2%
39.6% 37.1% 19.2%
72.7% 15.5% 10.5%
A+, A, A-
93.4%
BBB+, BBB, BBB-
2.4%
BB+, BB, BB-
1.9% 1.0%
1.2%
B+, B, B- CCC, CC Unrated*
1.2%
0.1%
TOTAL AT 12.31.2017
100.0%
100.0%
100.0%
Unrated : excluding exposures guaranteed by Groupe BPCE affiliates. *
Guaranteed Exposures By Type
Internal Rating of Guarantor (S&P Equivalent) (as a %)
Governments and central banks
Institutions
Corporates
AAA
0.8%
AA+, AA, AA-
20.1% 72.6%
45.9% 36.4% 13.9%
71.0% 16.0%
A+, A, A-
BBB+, BBB, BBB-
7.2%
9.9% 1.0%
BB+, BB, BB-
2.2% 0.2%
B+, B, B- CCC, CC Unrated*
0.1%
1.3%
1.3%
TOTAL AT 12.31.2016
100.0%
100.0%
100.0%
Unrated : excluding exposures guaranteed by Groupe BPCE affiliates. *
56
NATIXIS Risk report Pillar III 2017
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