NATIXIS - Universal registration document and financial report 2019

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

On the long end of the yield curve, the 10-year US Treasury bond ended the year at 1.92%, down -76 bps in 2019. The 10-year Bund closed at -0.19%, down -43 bps. In these market conditions, Natixis raised a gross total of €14.1 billion in funding in 2019 (of which €590 million in self-held securities and €250 million via Pfandbrief Bank) under its medium- and long-term refinancing program. As the only long-term issuer in the public issues segment, BPCE provided Natixis with financing for a total euro-equivalent amount of €5.5 billion.

Long-term funding In the medium and long-term funding segment, the credit market performed well over the first-half period, in a highly liquid market (Investment Grade fund inflows) where investors searched for yield. The spread on the senior preferred 5-year € debt of French banks narrowed by -15/-20 bps in the first half to trade on average of E3M+45 bps. The ECB’s March announcement of a 3-year TLTRO3 helped tighten spreads. Among other things, it will allow Eurozone banks to reinvest returns on the TLTRO2, paid quarterly from June 2020 to March 2021. The launch of QE2 in November, in the amount of €20 billion monthly, narrowed spreads to by a further -5 bps to E3M+40 bps.

Issues and outstandings of Natixis’ medium- and long-term debt issuance programs

3

(in millions of euros or euro equivalents)

EMTN

NEU MTN

US MTN

Bond issues

Issues at 31/12/2019

3,116

340 511

2

4,939

Outstandings at 31/12/2019

15,092

188

11,537

Structural foreign exchange risk 3.2.7.3 (Data certified by the Statutory Auditors in accordance with IFRS 7)

it purchases foreign currencies to fund net sustainable, strategic investments abroad, in proportion to the consumption of RWA in the currency in question. Net investments in non-core currencies are still funded by borrowings. Monitoring system The CET 1 ratio’s sensitivity to exchange rate fluctuations is regularly assessed by the ALM Committee.

Targets and policy

Natixis’ Common Equity Tier 1 (CET1) has a weighted currency risk exposure, mainly denominated in US dollars. Natixis’ general policy for managing structural exchange risk consists in immunizing the CET1 ratio (CET1 in currency, in relation to RWAs in the same currency) against changes in exchange rates. To this end, it establishes a “structural” foreign-exchange position when

Structural foreign exchange position

Structural change

Position at market opening (01/01/2019)

Position at market close (31/12/2019)

(in billions of euro equivalents)

USD GBP DZD AUD SGD HKD RUB CNY

4,027

4,168

200 206 144

245 190 139

94 55 39 41

99 70 46 41

143

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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