NATIXIS -2020 Universal Registration Document

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

C – Credit risk: standardized approach Risk weights used under SA by category of exposure and by rating grade (CRD-D)

Risk weight (in %)

Asset classes

Agency

Grade

Bucket

0 20* 20*

Long term

AAA to AA-

1

Short term

F1+ to F1

FITCH

2 3

A+ to A-

0

Long term

BBB+ to BBB-

50

0 20* 20*

Long term

Aaa to Aa3

1

Short term

P-1

MOODY’S

2 3 4 6

A1 to A3

20 50

Baa1 to Baa3

Long term

Ba1 to Ba3

100 150 0 20* 0 20*

Caa, Ca, C

Short term

A-1+

1

AAA to AA-

Central governments and central banks

4 20 50

S&P

2

A+ to A-

Long term

10 50 100*

3

BBB+ to BBB-

0 20* 20 50*

1

3++

2

3+, 3

0 50 100* 100 150* 100 150*

BDF

Long term/Short term

3

4+

4

4, 5+

5

5, 6

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

3++

75 75 75 75 75 75

3+, 3

4+

Retail

BDF

Long term

4, 5+

5, 6

7, 8, 9, P

FITCH

Long term

B+ to B-

150

Aaa to Aa3

20 50

A1 to A3

Baa1 to Baa3

100 100 150 150

MOODY’S

Long term

Ba1 to Ba3

B1 to B3

Caa, Ca, C

AAA to AA-

20 50

A+ to A-

Business

S&P

Long term

BBB+ to BBB-

100 150 150

B+ to B-

CCC, CC, R, SD/D

3++

20 50

3+, 3

4+

100 100 150 150

BDF

Long term/Short term

4, 5+

5, 6

7, 8, 9, P

198

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020