NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

joint refinancing pool, and the head of financial management of Natixis and his BPCE counterpart.

Overall interest rate risk 3.2.7.4 General policy

The indicators are: a static interest rate gap calculation; V

(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) In 2019 the system for measuring and monitoring interest rate risk was adapted to factor in the new July 2018 guidelines of the European Banking Authority (EBA), “EBA-GL-2018-02”. It dovetails with the implementation of the IRRBB framework within Groupe BPCE, and includes calculations and limits that are adapted to Natixis’ prudential banking scope. The interest rate risk of Natixis’ banking portfolio is managed and monitored under the authority of the ALM Committee, which is chaired by the Chief Executive Officer and attended by the members of the Senior Management Committee in charge of the finance division, risk division and the CIB division, as well as the head of the

sensitivity of economic value calculations: this indicator measures V the change in this value under different yield curve distortion scenarios (including those defined by the EBA); changes in net interest income calculations: to calculate the V sensitivity of net interest income. Limits were approved by the Natixis ALM Committee for these indicators. They are part of the Groupe BPCE system but also into Natixis’ internal RAF system, with a low level of materiality. The metrics are calculated by financial management with second-level control and monitoring of limits operated by the SBSR (Structural Balance Sheet Risk) Department of the risk division. They are reported to the ALM Committee and recorded in the risk dashboard. Complementing this system is a set of operational interest rate risk calculations (interest rate sensitivity and stress tests) which are managed daily by the market risk department, and monthly for credit subsidiaries that have a management responsibility. Quantitative disclosures (Data certified by the Statutory Auditors in accordance withIFRS 7) The interest rate gap below factors in all fixed-rate asset and liability positionsand adjustable/variable-ratepositionsuntil the next date on which the rate is set. This indicator is calculated on a quarterlybasis.

Interest rate gap by maturity at December 31, 2020

Maturity (in millions of euros)

1 year

3 years

5 years

7 years

(1,656)

(551)

(429)

(206)

Interest rate gap (fixed-rate)

according

The table below shows the sensitivity of the economic value (ΔEVE)

to the various regulatory scenarios of interest rate

and the interest margin (MNI) of Natixis’ consolidated banking book changes at the reporting dates.

Sensitivity of economic value and net interest income (IRRBB – Table B)

∆EVE

∆NII

Period (in millions of euros)

31/12/2019

31/12/2019

31/12/2020

31/12/2020

Parallel upward shift

(152)

12

27

124

Parallel downward shift

27

(12)

(1)

(79)

Steepening

(63) (13) (59)

(125)

Flattening

74 73

Rise in short rates

Fall in short rates

(2)

(103)

Maximum Period

31/12/2020

31/12/2019

Tier-1 capital

14,194

13,311

Stress tests are calculated using the progressive regulatory floor approach as well as the multi-currency aggregation method as per the EBA Guidelines of July 2018. The sensitivity presented below relating to NII is that of the first year. Given its nature, overall interest rate risk is a marginal risk for Natixis and calls for no special comments. The stress scenarios set by the European Banking Authority (200 bps parallel upward or downward shift in yield curves, steepening, flattening, rise or fall in short rates with a progressive

floor) would lead to a variation of -€152 million in the economic value of the banking book (using the EBA’s currency offsetting rules) based on the upward yield curve scenario of +200 bps at December 31, 2020. The sensitivityof Natixis’ NII to interest rate variationsunder various stress scenarios in 2020 was relatively stable. In the event of a parallel upward shift of +200 bps in the yield curves, sensitivity was positive and represented less than 1.5% of CET1.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020