NATIXIS - Universal registration document and financial report 2019

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

the euro in the portfolio combining its European entities, to protect investments in bonds denominated in dollars in particular, Pound sterling, Canadian dollars and Australian dollars; equity risk: exposure is capped at less than 10% of the portfolio V and is concentrated in the euro zone, in connection with its core business. At December 31, 2019, listed equities represented 6% of the investment portfolio. These investments were subject to hedging for 50% of the invested portfolio through the purchase of put options on Eurostoxx indices. This hedging can be adjusted in line with investments and the amount of unrealized capital gains or losses on shares held; counterparty risk: the maximum exposure to any given V counterparty is set at 5% of assets under management, with exceptional exemptions for short-term exposures. More than 92% of the bonds are Investment Grade and therefore have a median rating equal to at least BBB-; liquidity risk At December 31, 2019, 48% of the bond portfolio had a V maturity of less than three years. The vast majority of the portfolio is listed on OECD markets and carries a liquidity risk that is currently considered as low. Level 2 controls on compliance with Coface’s investment policy are also carried out.

Financial risk Coface has implemented an investment policy that incorporates the management of financial risk through the definition of its strategic allocation, regulations governing insurance companies and constraints related to the management of its liabilities. Management of financial risks is thus based on a rigorous system of standards and controls which is regularly reviewed: interest rate risk and credit risk: The majority of Coface’s V allocations are in fixed-income products, ensuring stable and recurring revenues. The overall maximum sensitivity of the bond portfolio has been deliberately capped at 4 and stood at 3.9 at December 31, 2019. There is still no exposure to Greek sovereign debt. The Group continued to increase its international diversification in 2019, chiefly in emerging countries, while maintaining exposure in Asia and North America in order to benefit from higher rates of return and to accommodate the various interest rate hikes or lower the cost of current hedging. In 2018, interest rate hedges were applied to a portion of exposure to European sovereign debt; these were sold in the first quarter of 2019; foreign exchange risk: the majority of Coface’s investment V instruments are denominated in euros. Subsidiaries and branches using other currencies must observe the same principles of congruence. In 2019, Coface systematically set up hedges against

3

Exposure to sovereign risk (This information forms an integral part of the financial statements certified by the Statutory Auditors). Exposure to sovereign debt (Natixis Assurances and Coface) is presented in the following table as net carrying amount before application of the sharing mechanism between policyholders and insurers specific to life insurance.

Exposure (Net carrying amount in millions of euros)

31/12/2109

Germany Austria Belgium

328 107

1 094

Spain

818 235

United States

France

9 057

Hong Kong

111 955 679 122 199 100 102 592

Italy

Luxembourg

Poland

Portugal Singapore

Slovakia

Other sovereign countries

TOTAL

14,499

155

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019