NATIXIS - Universal registration document and financial report 2019

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

EAD by rating source – Standardized approach (NX11 Bis)

Exposure class (in millions of euros)

FITCH MOODY’S

STP

BDF

Total

Corporates Institutions

83 12

51

108

242 242

117 191

113 637

Central governments or central banks

328

325

1,480

Governments and central banks

3

15

18

International Organizations Multilateral Development Banks Regional governments or local authorities

90

4

75

169

Public sector entities

100

321

547

325

1,292

Retail

1 1

1 1

3

SMEs included in Retail category

Other exposures included in Retail category Exposures secured by mortgages on immovable property SMEs included in exposures secured by mortgages on immovable property category Other exposures secured by mortgages on immovable property Defaulted exposures Claims on institutions and corporates undergoing a short-term credit assessment

1

1

2

13

153 954

8

177

TOTAL AT 31/12/2019 TOTAL AT 31/12/2018

310 353

436 279

443

2,142 6,374

2,786

2,956

Guaranteed exposures by type and internal rating of guarantor (NX17)

Type of guarantor

Central governments and central banks

Internal Rating Of Guarantor (S&P Equivalent) (% breakdown)

Institutions Corporates

Retail

AAA

0.2%

AA+, AA, AA-

32.5% 58.5%

32.2% 55.3%

73.5% 10.7% 13.7%

A+, A, A-

BBB+, BBB, BBB-

8.9%

8.9% 2.4% 0.4%

BB+, BB, BB-

0.7%

B+, B, B-

C Non-rated*

0.8%

1.3%

TOTAL AT 31/12/2019

100.0%

100.0%

100.0%

Unrated: excluding exposures guaranteed by BPCE Group affiliates. *

173

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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