NATIXIS_REGISTRATION_DOCUMENT_2017

3 RISKS AND CAPITAL ADEQUACY

Overall interest rate, liquidity and structural foreign exchange risks

Furthermore, since mid-2011, Natixis’ funding structure has relied on a Joint Refinancing Pool shared by Natixis and BPCE. Placed under the authority of the Group ALM Committee, this platform was implemented in order to secure the Group’s financing and optimize the management of collateral and allocation of liquidity within the Group in accordance with pre-defined rules, with the aim of limiting the use of market financing and reducing funding costs. In particular, responsibilities for debt issues are as follows: BPCE is in charge of Natixis’ medium and long-term funding for public and private sector senior or subordinated vanilla funding transactions; Natixis is the MLT issuer for Groupe BPCE in all structured private sector refinancing transactions. The purpose of the overall liquidity risk management policy is to: ensure that Natixis meets its loan commitments while a ensuring that its funding needs and maturity transformation are in line with the Group’s short- and medium-term refinancing capacities; optimize funding costs within established risk constraints to a help reach profitability targets; observe the internal limits set in close cooperation with BPCE a and adapted to the Group’s ability to meet Natixis’ ultimate liquidity needs; comply with national and international regulations; a help diversify the sources of funding raised by Groupe BPCE a (by geographic area, product and counterparty); and specifically to promote inflows of non-financial resources. Monitoring system 3.9.2.2 (Data certified by the Statutory Auditors in accordance with IFRS 7) Liquidity risk is controlled, managed and monitored as follows: management of each business line’s funding needs: to a manage the bank’s funding needs, liquidity budgets are allocated for each business line as part of the budgetary procedure and approved by the ALM Committee. Consumption is monitored weekly for Corporate and Investment Banking business lines and monthly for other business lines; management of the bank’s contribution to Groupe BPCE’s net a market footprint: the objective is to match the liquidity allocation system with the Group’s strategic ambitions and operational oversight; supervision of short-term maturity transformation, which is a measured using liquidity gaps. This indicator is produced daily for a 365-day period in one-day intervals for all parent company transactions, including some subsidiaries. It is subject to four permanent limits approved by the ALM Committee and monitored daily, on overnight market exposure at opening, on the 60-day, 150-day and 330-day static liquidity gaps; supervision of medium-term maturity transformation, which is a performed using coverage ratios that are defined by maturity tranche, such as the ratio of assets that have not yet matured to liabilities that have not yet matured. These ratios are

calculated for long-term cash assets, credit subsidiaries housing medium-term activities, and for Natixis on a consolidated basis, and are restricted by the minimum coverage ratios approved by the ALM Committee and monitored monthly. Furthermore, in compliance with regulations and within the framework of the bank’s risk appetite, since 2015 Natixis has set up governance as well as a global limit and an alert threshold applied specifically to a coverage ratio, proposed by the ALM Committee and validated by the Board of Directors; supervision of the bank's contribution to the short-, medium- a and long-term transformation of Groupe BPCE. This is measured on the basis of Natixis’ consolidated liquidity gaps subject to limits at 60 days, 5 months, 11 months and 5 years. These indicators are produced on a monthly basis; simulations of liquidity stress scenarios: the purpose of these a scenarios is to measure the Group’s ability to continue meeting its commitments and operating in the event of a liquidity crisis. Natixis periodically simulates its contribution to the Group’s stress results based on different crisis scenarios (systemic, specific, combined, etc.) and different levels of intensity (moderate, strong, extreme, etc.) over one-, two- and three-month periods for which assumptions are set by BPCE; funding structure: the funding structure is monitored to ensure a that resources are well diversified, by type of counterparty, by market segment and by geographic area, in order to mitigate all concentration risk (see section 3.9.2.4) ; market depth tests conducted by the Joint Refinancing Pool: a these liquidity tests aim to explore the limits established by our counterparties on our issues. Business continuity plan under 3.9.2.3 liquidity stress (Data certified by the Statutory Auditors in accordance with IFRS 7) The aim of this Business Continuity Plan (“BCP under Liquidity Stress”) is to ensure that, in the event of a liquidity crisis altering the Group's ability to obtain funding, all resources are used in a coordinated and optimized manner to allow the Group to meet its current and future financial obligations and thus maintain business continuity. Given that Natixis is supervised by BPCE, in its capacity as the central institution, and given the close interactions between BPCE and Natixis in terms of liquidity management within the framework of the joint refinancing pool (see section 3.9.2.1), this plan is defined in accordance with the Groupe BPCE business continuity plan, in the event of a crisis affecting access to liquidity for Natixis, BPCE and/or the entire banking system. A governance system (dedicated teams and Committees, activation and de-activation rules, reporting and communication procedure, etc.) and remediation plans to enhance liquidity and reduce funding requirements are defined and documented. In addition, the BCP is regularly tested to ensure that it is operational, in accordance with regulations.

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Natixis Registration Document 2017