NATIXIS - 2018 Registration document and annual financial report

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Given its nature, overall interest rate risk is a marginal risk for Natixis and calls for no special comments. The Basel 2 normative shock (immediate +/-200 bp shift in the yield curves) would lead to a variation of -€633 million in the portfolio’s economic value for a 200 bp decline in interest rates at December 31, 2018. The sensitivity of Natixis’ NII to interest

rate variations under various stress scenarios in 2018 was relatively low and stable. In the event of a parallel upward shift of +200 bp in the yield curve, sensitivity, as calculated in Groupe BPCE’s software, was positive and represented less than 1.5%

of CET1.

Breakdown of financial liabilities by contractual maturity 3.2.7.5 (Data certified by the Statutory Auditors in accordance with IFRS 7)

3

BREAKDOWN OF FINANCIAL LIABILITIES BY CONTRACTUAL MATURITY R

31/12/2018

Less than 1 month

1 to 3 months

3 to 6 months

6 months to 1 year

1 to 2 years

2 to 5 years

Over 5 years Undated

Par value Total K+i Demand

(in billions of euros)

Due to central banks

0.0

0.0

0.0

Other financial liabilities held for trading purposes —excluding trading derivatives o/w repurchase agreements

124.3

124.7 15.2 63.5 90.9 15.2 63.4

9.9 9.4

1.8 0.5

4.1 1.4 3.7 4.3 20.8

90.8

1.0 0.0 0.9 0.5

Secured debt Unsecured debt

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

Financial liabilities at fair value through profit or loss o/w repurchase agreements

26.7

28.7

- - - -

1.7

7.3

2.6

3.4 3.1 6.6 4.0

-

-

- -

-

-

-

-

-

-

Secured debt Unsecured debt

0.9

1.0

0.1 2.9

0.0 2.6

0.0 0.8 0.0 0.0 3.3 2.3 6.6 4.0

21.2 57.2

23.1 57.2

1.4

Trading derivatives Hedging derivatives

57.2

0.7

0.7

0.7 0.2

Due to banks

75.3

76.8

5.9 14.6

14.6

4.8

6.0 9.8 17.8 3.0

o/w repurchase agreements

8.8

8.7

1.5

1.5 5.2 0.1 6.4 0.0

4.7 3.9

-

-

1.1

-

-

Customer deposits

38.1

36.0 15.9

1.3

5.5 0.8 0.4 1.0

2.2

o/w repurchase agreements

0.1

0.1

0.0

-

-

-

-

-

-

Debt securities

36.2

36.5

- -

12.2

8.5 0.1

5.3 1.0 2.4 0.7 0.1 0.1 0.7 0.3

o/w covered bonds

1.3

1.3

0.0

Reevaluation adjustments on portfolios hedged against interest rate risk

0.0 4.0

0.0 4.3

0.0 0.0

Subordinated debt

-

0.0

0.0

0.0

0.0 0.1 2.9 1.2

TOTAL 24.2 16.2 33.9 14.3 81.0 NB. The table does not take account of the run-off of insurance technical reserves, financial commitments or financial guarantees granted. In accordance with accounting standard IFRS 7, it also excludes miscellaneous debts, accrued liabilities, general provisions, shareholders’ equity (including issues of tier one hybrid securities reclassified as equity in the consolidated accounts under IAS) and reserves. 362.5 364.9 37.0 91.4 48.0 19.0

The information contained in the above table excludes insurance activities.

153

Natixis Registration Document 2018

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