NATIXIS // 2021 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Three families of measurements are carried out: a static interest rate gap calculation; V

Overall interest rate risk 3.2.8.4 General policy

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 assess the V sensitivity of net interest income. Limits were approved by the Group Strategic ALM Committee for these indicators. They are part of the Groupe BPCE system but also of Natixis’ internal risk appetite system, with a low level of materiality. The SBSR Department acts as a second line of defense and second-level controller of these indicators and their limits, which are reported in the ALM Committee and in the risk dashboard. SBSR also calculates the sensitivity of income from instruments recognized at fair value in the Banking Book. In addition to this system, operational interest rate risk monitoring measures by portfolio are calculated daily by Front IT systems. Their monitoring and control is carried out by the SBSR Department. In the case of subsidiaries, monitoring compliance with the rate limits is the responsibility of each local Risk division. Quantitative information (Data certified by the Statutory Auditors in accordance withIFRS 7) The Natixis contribution to the fixed rate gap of Groupe BPCE presented below consolidates all transactions in the prudential banking book. These transactions are matured in this indicator until their next rate refix date. This indicator is calculated on a quarterly basis.

(Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis hosts Groupe BPCE’s CIB activities, which are mainly conducted and managed on a variable/floating rate basis. This structural specificity common to most investment banks preserves Natixis net revenus from interest rate changes. It accordingly consitutes a diversifying asset for Groupe BPCE relative to retail activities. Natixis’ policy for managing overall interest rate risk is therefore not aimed at structurally holding directional interest rate positions in the banking book over the long term. With some exceptions, fixed-rate financial assets and liabilities are returned against adjustable interest rates and, as part of the transition of indices, against so-called risk-free rates (RFR) via interest rate swaps. The overall interest rate positions are mainly centralized in the Treasury Department, and managed within the framework of mandates and limits granted by the SBSR (Structural Balance Sheet Risk) team of the Risk division. The accounting treatment of the hedging relationship follows IAS accounting standards. Overall interest rate risk management system (Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis applies the framework for measuring and monitoring interest rate risk set out by the Group ALM. The measurement is produced for Natixis’ consolidated prudential banking portfolio from the consolidated ALM database owned by Metric calculation& reporting, and in accordance with Groupe BPCE standards. 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 liquidity pool, and the Head of Financial Management of Natixis and his BPCE counterpart.

Interest rate gap by maturity as at December 31, 2021

Maturity (in millions of euros)

1 year

3 years

5 years

7 years

Interest rate gap (fixed-rate)

(454)

(541)

(122)

(168)

The table below shows the sensitivity of the economic value (ΔEVE) and the net interest income (ΔNII) of Natixis’ consolidatedbanking book according to the various regulatory scenarios of interest rate changes at the reporting dates:

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

∆EVE

∆NII

31/12/2021

31/12/2020

31/12/2021

31/12/2020

Period (in millions of euros)

(17)

(152)

98

27 (1)

Parallel upward shift Parallel downward shift

0.4

27

(34)

Steepening Flattening

(101)

(63) (13) (59)

65 55

Rise in short rates Fall in short rates

(46)

(2)

Maximum Period

31/12/2021

31/12/2020

14,635

14,194

Tier-1 capital

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 belowrelating to NII is that of the first year.

152

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021