NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Overall interest rate risk 3.2.7.4 General policy (Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis’ policy for managing overall interest rate risk is not aimed at structurally holding directional interest rate positions in the banking book over the long term. Barring exceptions, fixed-rate financial assets and liabilities are returned against bank offered rates via interest rate swaps and are predominantly housed in Treasury portfolios subject to ongoing management of interest rate risk. Accounting treatment of the hedging system is in accordance with international accounting standards. Overall interest rate risk management system (Data certified by the Statutory Auditors in accordance with IFRS 7) This risk is measured in terms of the sensitivity of a portfolio's economic value by bp on the yield curve and by currency. For the largest portfolios it is controlled through limits approved and monitored by the Market Risk Committee, chaired by the CEO. In accordance with the French Ministerial Order of November 3, 2014, an overall limit was also defined and approved by the Board of Directors.

The Treasury Department, which centralizes most positions, also performs yield curve distortion stress tests which are also governed by limits. These stress tests aim to estimate potential economic losses in the event of extreme market configurations. They are performed daily in the management systems and were defined to account for differentiated or non-differentiated shocks on the IBOR, OIS, deposit and repo curves with steepening and/or translation scenarios. The Risk Division calculates indicators and monitors limits daily for Treasury and monthly for balance sheet management operations and credit subsidiaries. The Bank's interest rate management system relies on the measurement of economic sensitivity within the bounds of an overall limit. It is also supplemented by two other measurements that are periodically reported to the Group as part of the overall interest rate risk monitoring consolidation process: interest rate gap measurements (fixed-rate assets-liabilities) and measurements of NII sensitivity to interest rate variations. Quantitative disclosures (Data certified by the Statutory Auditors in accordance with IFRS 7) The sensitivity of Natixis' main entities to interest rates variations represented a total of €2.44 million (for an immediate parallel shift of 1 bp on the yield curve) at December 31, 2018. This sensitivity is primarily due to the effect of the spread on USD accreting transactions.

MEASURE OF SENSITIVITY TO A +1 BP VARIATION IN INTEREST RATES BY MATURITY AT DECEMBER 31, 2018 ■ (in thousands of euros) < 1 year 1-5 years > 5 years Total sensitivity EUR (145) 33 (37) (149) USD 332 89 2,022 2,441 Other 29 (18) 132 144 Interest rate gap indicators factor in all asset and liability positions and variable-rate positions until the next interest reset date: they compare the amount of liability exposures to the amount of asset exposures using the same interest rate index and over different maturities. The maturity schedule is determined statically. The interest rate gap indicator is calculated quarterly.

INTEREST RATE GAP BY MATURITY AT DECEMBER 31, 2018 ■ Maturity (in millions of euros) 1 year

3 years (1,734)

5 years

7 years

Interest rate gap (fixed-rate)

276

(607)

(77)

Finally, Natixis analyzes the sensitivity of net interest income (ΔNII) to changes in market interest rates using NII stress tests. At December 31, 2018, the sensitivity of the Bank’s NII to changes in interest rates was as follows:

NII SENSITIVITY AND ECONOMIC VALUE OF EQUITY (IRRBB—TABLE B) ■ ΔEVE

ΔNII

Period from 31/12/2017 to 31/12/2018 (in millions of euros) Parallel upward shift (+200 bp) Parallel downward shift (-200 bp)

31/12/2018

31/12/2017

31/12/2018

31/12/2017

437

331

162

159.3

(633)

(467)

(158)

(159.3)

152

Natixis Registration Document 2018