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