NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Overall interest rate, liquidity and structural foreign exchange risks

Quantitative information 3.9.4.3 (Data certified by the Statutory Auditors in accordance with IFRS 7) The sensitivity of Natixis' main entities to interest rates variations represented a total of €1,8 million (for an immediate parallel shift

of 1 bp 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.

MEASURE OF SENSITIVITY TO A +1 BP VARIATION IN INTEREST RATES, BY MATURITY AT DECEMBER 31, 2017 R

3

< 1 year

1-5 years

> 5 years Total sensitivity

(in millions of euros)

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

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:

NII SENSITIVITY AND ECONOMIC VALUE OF EQUITY (IRRBB – TABLE B) R

∆EVE

∆NII

Period from 12.31.2016 to 12.31.2017 (in millions of euros)

12.31.2017

12.31.2016

12.31.2017

12.31.2016 pro forma

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 Natixis and calls for no special comments. The Basel 2 normative 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 banking book and represents less than 2% of the bank's CET1 capital.

The sensitivity of Natixis’ NII to interest rate variations under various stress scenarios in 2016 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 1.2% of net revenues.

159

Natixis Registration Document 2017