NATIXIS - Document d'enregistrement universel et rapport financier annuel 2020

3 FACTEURS DE RISQUES, GESTION DES RISQUES ET PILIER III Gestion des risques

)?M >C@@wL?HNM CH>C=;N?OLM MOCPCM MIHNn OH? CGJ;MM? MN;NCKO? >? N;ORn V

Risque de taux d’intérêt global 3.2.7.4 Politique générale IHHp?M =?LNC@Cp?M J;L F?M =IGGCMM;CL?M ;OR =IGJN?M ;O NCNL? >`%"./h ); JIFCNCKO? >? +;NCRCM ?H G;NCvL? >? A?MNCIH >O LCMKO? >? N;OR >fCHNwLxN AFI<;F Hf; J;M JIOL PI=;NCIH >? >wN?HCL >? G;HCvL? MNLO=NOL?FF? ?N >OL;?M JIMCNCIHM >CL?=NCIHH?FF?M >? N;OR MOL F? JILN?@?OCFF? <;H=;CL? 0;O@ ?R=?JNCIH F?M ;=NC@M ?N F?M J;MMC@M @CH;H=C?LM r N;OR @CR? MIHN L?NIOLHwM =IHNL? ,/ PC; >?M MQ;JM >? N;OR ?N MIHN G;DILCN;CL?G?HN FI=;FCMwM >;HM F?M JILN?@?OCFF?M >? F; 1LwMIL?LC? MIOGCM r OH >CMJIMCNC@ J?LG;H?HN >f?H=;>L?G?HN >O LCMKO? >? N;OR )? NL;CN?G?HN =IGJN;O MSMNvG? >? =IOP?LNOL? MOCN F?M HILG?M =IGJN;`%"./h "Hn F? >CMJIMCNC@ >? G?MOL? ?N >? MOCPC >O LCMKO? >? N;OR ; wNw ;>;JNw ;@CH >? JL?H>L? ?H =IGJN? F?M HIOP?FF?M >CL?=NCP?M >? Ff ONILCNw <;H=;CL? ?OLIJw?HH? " >? DOCFF?Nn Yn" $) n^ &F MfCHM=LCN >;HM F? =;>L? >? F; >w=FCH;CMIH >O >CMJIMCNC@ &// GCM ?H JF;=? ;O HCP?;O >O $LIOJ? - " ;P?= >?M G?MOL?M ?N >?M FCGCN?M ;>;JNw?M ;O JwLCGvNL? JLO>?HNC?F <;H=;CL? >? +;NCRCM ); A?MNCIH ?N F? MOCPC >O LCMKO? >? N;OR >fCHNwLxN >O JILN?@?OCFF? <;H=;CL? >? +;NCRCM MIHN JF;=wM MIOM Ff;ONILCNw >O =IGCNw $ - JLwMC>w J;L F? >CL?=N?OL AwHwL;F ?N ;OKO?F J;LNC=CJ?HN HIN;GG?HN F?M G?GO =IGCNw >? >CL?=NCIH AwHwL;F? L?MJ?=NCP?G?HN ?H =B;LA? >? F; >CL?=NCIH @CH;H=? >? F; >CL?=NCIH >?M LCMKO?M ?N >? F; & ;CHMC KO? F? L?MJIHM;O JIIF =IGGOH >? L?@CH;H=?G?HN ?N F?M >CL?=N?OLM >? F; A?MNCIH @CH;H=CvL? >? +;NCRCM ?N >? - "

>?M G?MOL?M >? M?HMC? F; P;F?OL w=IHIGCKO?n =?N CH>C=;N?OL V G?MOL? F; P;LC;NCIH >? =?NN? P;F?OL r >C@@wL?HNM M=wH;LCIM >? >w@ILG;NCIH >?M =IOL? N;OR >IHN =?OR >w@CHCM J;L F " n >?M G?MOL?M >? P;LC;NCIH >? F; G;LA? H?NN? >fCHNwLxNMn =?NN? V G?MOL? =IHMCMN? r =;F=OF?L F; M?HMC?M L?P?HOM H?NM >fCHNwLxNM !?M FCGCN?M IHN wNw P;FC>w?M ?H =IGCNw $ - +;NCRCM JIOL =?M CH>C=;N?OLM ?FF?M MfCHNvAL?HN >;HM F? =;>L? >O >CMJIMCNC@ $LIOJ? - " G;CM ;OMMC >;HM F? >CMJIMCNC@ / # CHN?LH? >? +;NCRCM ;P?= OH HCP?;O >? G;NwLC;FCNw @;C? M?=IH> HCP?;O ?N OH MOCPC >?M FCGCN?M IJwLwM J;L F? >wJ;LN?G?HN 0 0/ 0NLO=NOL;F ;F;H=? 0B??N /CME >? F; >CL?=NCIH >?M LCMKO?M "FF?M MIHN L?JILNw?M ?H =IGCNw $ - ?N >;HM F? N;? >?M LCMKO?M "H =IGJFwG?HN >? =? >CMJIMCNC@ >?M G?MOL?M IJwL;NCIHH?FF?M >? LCMKO? >? N;OR M?HMC? N;OR ?N N?MNM >? LwMCMN;H=? MIHN MOCPC?M KOINC>C?HH?G?HN J;L F? >wJ;LN?G?HN *;LE?N /CMEM ?N G?HMO?FF?G?HN JIOL F?M @CFC;F?M wN;? =Lw>CN ;S;HN OH? >wFwA;NCIH >? A?MNCIH Informations quantitatives IHHp?M =?LNC@Cp?M J;L F?M =IGGCMM;CL?M ;OR =IGJN?M ;O NCNL? >`%"./h )fCGJ;MM? >? N;OR =C >?MMIOM JL?H> ?H =IGJN? Ff?HM?G?M JIMCNCIHM ;=NC@M ?N J;MMC@M r N;OR @CR? ?N F?M JIMCNCIHM r N;OR LwPCM;;N? >? @CR;NCIH >O N;OR ?N CH>C=;N?OL ?MN =;F=OFw M?FIH OH? JwLCI>C=CNw >? =;F=OF NLCG?MNLC?FF?

Gap de taux par maturité au 31 décembre 2020

Maturités ?HhGCFFCIHM >`?OLIM

1 an

3 ans

5 ans

7 ans

(HGM:GM =N @:I k M:NQ ?BQ>

f

)? N;?MMIOM JLwM?HN? F?M M?HMC? F; P;F?OL w=IHIGCKO? c"3" ?N >? F; G;LA? >fCHNwLxN c*+& >O JILN?@?OCFF? <;H=;CL? >? +;NCRCM =IHMIFC>w M?FIH F?M >CP?LM M=wH;LCIM LwAF?G?HN;CL?M >? P;LC;NCIHM >?M N;OR >fCHNwLxNnMOL F?M >;N?M >f;LLxNw ;HHO?Fn

Sensibilité de la valeur économique et de la marge nette d’intérêt (IRRBB – Tableau B)

∆EVE

∆NII

Période ?H GCFFCIHM >`?OLIM oIE:<>F>GM I:K:EEnE> O>KL E> A:NM oIE:<>F>GM I:K:EEnE> O>KL E> ;:L

31/12/2019

31/12/2019

31/12/2020

31/12/2020

+>GMB?B<:MBHG => E:

IE:MBLL>F>GM => E:

#:NLL> =>L M:NQ

:BLL> =>L M:NQ

&5L=A I A )f F = C 89

X

C B8 G DFCDF 9 G 89 65 G 9 -=9 F X

;F=OF >? MNL?MM N?MNM ;P?= F? @FIIL LpAF?G?HN;CL? JLIAL?MMC@ ?N M?FIH F; GpNBI>? >`;ALpA;NCIH CHN?L>?PCM?M >p@CHCM >;HM F?M #OC>?FCH?M >? F`! >? DOCFF?Nh ,IOL F; G;LA? H?NN? >`CHNpLqNM F; M?HMC? F; JL?GCoL? ;HHp? IGJN? N?HO >? M; H;NOL? F? LCMKO? >? N;OR >fCHNwLxN AFI<;F >?G?OL? OH LCMKO? G;LACH;F JIOL +;NCRCM ?N Hf;JJ?FF? J;M >? L?G;LKO? J;LNC=OFCvL? )?M M=wH;LCIM >? =BI=M LwAF?G?HN;CL?M >w@CHCM J;L Ff ONILCNw ;H=;CL? "OLIJw?HH? >wJF;=?G?HN J;L;FFvF? P?LM F? B;ON >? n nwJF;=?G?HN J;L;FFvF? P?LM F? <;M >? n n

;JF;NCMM?G?HN B;OMM? ?N <;CMM? >?M N;OR =IOLNM ;P?= F? @FIIL JLIAL?MMC@ GIHNL?HN OH? P;LC;NCIH >? F; P;F?OL w=IHIGCKO? >O JILN?@?OCFF? <;H=;CL? >? n nGCFFCIHM >f?OLIM ;P?= F; LvAF? >? =IGJ?HM;NCIH CHN?L>?PCM?M >? Ff" JIOL F? M=wH;LCI >? B;OMM? >? n nw=?G? F; G;LA? H?NN? >fCHNwLxN >? +;NCRCM ;OR P;LC;NCIHM >?M N;OR >fCHNwLxN >;HM >CP?LM M=wH;LCIM >? MNL?MM MOL Ff;HHw? ?MN L?F;NCP?G?HN @;C? B;OMM? J;L;FFvF? >?M =IOL? N;OR >? n nJICHNM >? <;M? F; M?HMC? n >O "1

158

NATIXIS DOCUMENT D’ENREGISTREMENT UNIVERSEL 2020