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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