NATIXIS_PILLAR_III_2017_EN
9 OVERALL INTEREST RATE, LIQUIDITY AND STRUCTURAL FOREIGN EXCHANGE RISKS Overall interest rate risk
TABLE 57: INTEREST RATE GAP BY MATURITY AT DECEMBER 31, 2017 R
Maturity (in millions of euros)
1 year
3 years
5 years
7 years
Interest rate gap (fixed-rate)
1,553
658
(15)
315
Finally, Natixis analyzes the sensitivity of net interest income (∆NII) to changes in market interest rates using NII stress tests. At December 31, 2017, the sensitivity of the Bank’s NII to changes in interest rates was as follows:
TABLEAU 58: NII SENSITIVITY AND ECONOMIC VALUE OF EQUITY (IRRBB – TABLE B) R
∆EVE
∆NII
12.31.2016 pro forma
12.31.2017
12.31.2016
12.31.2017
(in millions of euros)
Parallel upward shift (+200 bp) Parallel downward shift (-200 bp)
331
127
159.3
137.5
(467)
(205)
(159.3)
(137.5)
Given its nature, overall interest rate risk is a marginal risk for
the banking book and represents less than 2% of the bank's
Natixis and calls for no special comments. The Basel 2 normative CET1 capital. shock (immediate +/-200 bp shift in the yield curves) would lead to a variation of €467 million in the portfolio’s economic value at December 31, 2017. This sensitivity is very low given the size of
The sensitivity of Natixis’ NII to interest rate variations under various stress scenarios in 2017 was relatively low. In the event of a parallel upward shift of +200 bp in the yield curve, sensitivity was positive and represented less than 1.3% of net revenues.
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NATIXIS Risk report Pillar III 2017
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