NATIXIS_PILLAR_III_2017_EN

OVERALL INTEREST RATE, LIQUIDITY AND STRUCTURAL FOREIGN EXCHANGE RISKS Overall interest rate risk

Overall interest rate risk 9.4

GENERAL POLICY 9.4.1

These stress tests aim to estimate potential economic losses in the event of extreme market configurations. They are performed daily in the management systems and were defined to account for differentiated or non-differentiated shocks on the IBOR, OIS, deposit and repo curves with steepening and/or translation scenarios. The Risk division calculates indicators and monitors limits daily for Treasury and monthly for balance sheet management operations and credit subsidiaries. The Bank’s interest rate risk monitoring framework is based on economic sensitivity measures subject to an overall limit. It is supplemented by two other measurements that are periodically reported to the Group as part of the overall interest rate risk monitoring consolidation process: interest rate gap measurements (fixed-rate assets-liabilities) and measurements of NII sensitivity to interest rate variations.

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 9.4.2  MANAGEMENT SYSTEM

This risk is measured in terms of the sensitivity of a portfolio's economic value by bp on the yield curve and by currency. For the largest portfolios it is controlled through limits approved and monitored by the Market Risk Committee, chaired by the CEO. In accordance with the French Ministerial Order of November 3, 2014, an overall limit was also defined and approved by the Board of Directors. The Treasury Department, which centralizes most positions, also performs yield curve distortion stress tests which are also governed by limits.

QUANTITATIVE INFORMATION 9.4.3

(Data certified by the Statutory Auditors in accordance with IFRS 7) The sensitivity of the major Natixis entities to a variation in interest rates represented a total of €1.8 million (for an immediate parallel shift of +1bp in the yield curve) at December 31, 2017. This sensitivity is primarily due to the effect of the spread on USD accreting transactions. This indicator is calculated monthly.

TABLE 56 (CRR 448) : MEASURE OF SENSITIVITY TO A +1BP VARIATION IN INTEREST RATES, BY MATURITY ■ AT DECEMBER 31, 2017 (in millions of euros) < 1 year 1-5 years

> 5 years Total sensitivity

9

EUR USD

(255)

119

(239) 1,975

(375) 2,178

137

66

Other

7

(33)

54

28

Interest rate gap indicators factor in all asset and liability amount of asset exposures using the same interest rate index positions and variable-rate positions until the next interest reset and over different maturities. date: they compare the amount of liability exposures to the The maturity schedule is determined statically. The interest rate gap indicator is calculated quarterly.

117

NATIXIS Risk report Pillar III 2017