NATIXIS - Universal registration document and financial report 2019

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 31/12/2019

At 31/12/2018

3 % Middle East

3 % Middle East

1 % Oceania 2 % Africa

1 % Oceania 2 % Africa

2 % Europe (outside EU)

2 % Europe (outside EU)

3 % Latin America

3 % Latin America

6 % Asia

8 % Asia

46 % France

49 % France

15 % North America

18 % North America

19 % European Union

17 % 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); V pool-based exposures (acquired portfolios) and third parties grouped into homogeneous risk classes; V securitization positions. V

(% breakdown)

Grade

Internal rating

31/12/2019*

31/12/2018*

Investment Grade

AAA AA+

0.5% 7.2% 7.0%

0.2% 5.7%

AA

12.4% 12.3%

AA-

13.6%

A+

6.4%

5.3%

A

12.5%

12.0%

A-

9.4% 6.9% 8.6% 8.9% 5.1% 4.6% 3.4% 2.4% 0.9% 0.2% 0.1%

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

BBB+

BBB

BBB-

Investment Grade

81.0%

80.6%

Non-Investment Grade

BB+

BB

BB-

B+

B

B-

CCC+

CCC

CCC- CC C

Non-Investment Grade

16.7%

16.5%

Non-rated

Non-rated

0.5% 1.8%

1.3% 1.6%

Default

D

Total

100.0%

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).

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019