NATIXIS_PILLAR_III_2017_EN

CREDIT RISK Credit risk: standardized approach

Credit risk: standardized approach 5.6

EXTERNAL RATING SYSTEM 5.6.1

The reconciliation of the external rating agencies’ alphanumeric credit rating scales and the risk weighting coefficients is performed in accordance with the note published by the ACPR: Method for calculating prudential ratios within the CRD IV (Capital Requirements Directive IV). When a bank portfolio exposure does not have a directly applicable external credit rating, the Bank’s customer standards allow – on a case-by-case basis and after analysis – the application of a rating based partially on an internal or exposure rating of the issuer (or of the guarantor, if applicable).

For outstandings measured using the standardized approach, Natixis uses external rating systems of the agencies Fitch Ratings, Standard & Poor’s and Moody’s. The table below presents the breakdown of risk exposure by external agency for asset classes measured using the standardized approach, excluding: 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

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NATIXIS Risk report Pillar III 2017