NATIXIS - Universal registration document and financial report 2019

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

Risk weight (in %)

Asset classes

Agency

Grade

Bucket

20 50

2

A+, A, A-

FITCH

Long term

4 5 1

BB+ to BB-

100 100

B+ to B-

Aaa to Aa3

20 20 50 50 20 20 50

MOODY’S

Long term

2

A1 to A3

3 1

Baa1 to Baa3

Institutions

AAA to AA-

2

A+, A, A-

S&P

Long term

20 50 100

3

BBB+ to BBB-

1 2 4

3++

20 20 50

BDF

Long term

3, 3

4, 5+

100 150 100 150 100 150 100 150 100 150 100 150

1

3++

2

3+, 3

3

4+

Defaulted exposures

BDF

Long term/Short term

4

4, 5+

5

5, 6

6

7, 8, 9, P

1 2 1 2 3 4 5 6 1 3 1 2 1 2 3 1 2 3

AAA to AA-

50 50 50 50 50 50 50 50 50 20 50 20 50

S&P

Long term

A+, A, A-

3++

3+, 3

Exposures secured by mortgages on immovable property

4+

BDF

Long term

4, 5+

5, 6

7, 8, 9, P

F1+ to F1

FITCH

Short term

F3

100

P-1 P-2

MOODY’S

Short term

A-1+

A-1

S&P

Short term

20 100

Exposure to institution and corporate with short-term credit assessment

A-2 to A - 3

3++

20 50

3+, 3

4+

100 100 150 150 150

BDF

Short term

4

4, 5+

5 6

5, 6

7, 8, 9, P

*

Concerns third parties classified RGLA or PSE.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019