NATIXIS_PILLAR_III_2017_EN

9 OVERALL INTEREST RATE, LIQUIDITY AND STRUCTURAL FOREIGN EXCHANGE RISKS Structural foreign exchange risk

Structural foreign exchange risk 9.3 

TARGETS AND POLICY 9.3.1 

MONITORING SYSTEM 9.3.2

Given the presence of risk-weighted assets in foreign currencies (mostly USD), the aim of Natixis’ structural foreign exchange risk policy is to protect the Common Equity Tier 1 ratio (CET 1) against exchange rate fluctuations. To this end, it establishes a “structural” foreign-exchange position that is restated for translation adjustments when it purchases foreign currencies to fund strategic long-term net investments in foreign entities, while non-strategic net investments in local currencies are funded with loans.

The CET 1 ratio’s sensitivity to exchange rate fluctuations is regularly assessed by the ALM Committee.

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NATIXIS Risk report Pillar III 2017