NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

funding structure: the funding structure is monitored to ensure that V resources are well diversified, by type of counterparty, by market segment and by geographic area, in order to mitigate all concentration risk (see section on funding principles and structure on the following page) ; market depth tests conductedby the Joint RefinancingPool: these V liquidity tests aim to explore the limits established by our counterparties on our issues. Contingency funding plan under liquidity stress (Data certified by the Statutory Auditors in accordance withIFRS 7) The aim of this Contingency Funding Plan (“CFP under Liquidity Stress”) is to ensure that, in the event of a liquidity crisis altering the Group’s ability to obtain funding, all resources are used in a coordinated and optimized manner to allow the Group to meet its current and future financial obligations and thus maintain business continuity. Given the Group’s liquiditymanagementorganization,which remains under the authority of the central body, the Group’s CFP is unique, covers all affiliates and reports to the Strategic ALM Committee. It describes in particular: the Group’s monitoring system based in particular on a sample of V advanced quantitative and qualitative indicators of crisis occurrence (the “Early Warning Indicators”) supplemented by a system of thresholds in order to facilitate the decision-makingand escalation process regarding the activation or deactivation of the CFP; the organizationand governanceto be implementedin the event of V activation; the descriptionof the action levers to be taken to deal with liquidity V stress situations.

Monitoring system (Data certified by the Statutory Auditors in accordance with IFRS 7) Liquidity risk is controlled, managed and monitored as follows: managementof each business line’s funding needs: to manage the V bank’s funding needs, liquidity budgets are allocated for each business line as part of the budgetary procedure and approved by the ALM Committee. Consumption is monitored weekly for CIB business lines and monthly for other business lines; management of the bank’s contribution to Groupe BPCE’s net V market footprint: the objective is to match the liquidity allocation system with the Group’s strategic ambitions and operational oversight; management of short-term maturity transformation, which is V measured using liquidity gaps. This indicator is produced daily for a 365-day period in one-day intervals for all parent company transactions, including some subsidiaries. It is governed by four permanent limits validated by the ALM Committee and monitored on a daily basis; management of medium-term maturity transformation, which is V performed using coverage ratios that are defined by maturity tranche, such as the ratio of assets that have not yet matured to liabilities that have not yet matured. These ratios are calculated for long-term cash assets, credit subsidiaries housing medium-term activities, and for Natixis on a consolidated basis, and are restricted by the minimum coverage ratios approved by the ALM Committee and monitored monthly; managementof the Bank’s contributionto the short-, medium- and V long-term transformation of Groupe BPCE. This is measured on the basis of Natixis’ consolidated liquidity gaps. These indicators are produced on a monthly basis; simulations of liquidity stress scenarios: the purpose of these V scenarios is to measure the Group’s ability to continuemeeting its commitments and operating in the event of a liquidity crisis. Natixis periodically simulates its contribution to the Group’s stress results based on different crisis scenarios (systemic, specific, combined, etc.) and different levels of intensity (moderate, strong, extreme, etc.) over one-, two- and three-month periods for which assumptions are set by BPCE;

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

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