NATIXIS // 2021 Universal Registration Document

GLOSSARY

Acronym/Term

Definition

Deleveraging

A reduction in banks’ use of leverage, achievable by various means but primarily by a reduction in the size of the balance sheet (by selling assets or slowing down new lending) and/or an increase in equity (through recapitalization or retaining earnings). This financial adjustment process often has negative implications for the real economy, particularly due to the narrowing of the credit channel. A financial security or financial contract whose value changes based on the value of an underlying asset, which may be either financial (equities, bonds, currencies, etc.) or non-financial (commodities, agricultural products, etc.) in nature. This change may coincide with a multiplier effect (leverage effect). Derivatives can take the form of either securities (warrants, certificates, structured EMTNs, etc.) or contracts (forwards, options, swaps, etc.). Exchange-traded derivatives contracts are called futures. The Dodd-Frank Wall Street Reform and Consumer Protection Act, more commonly known as the Dodd-Frank Act, is the US law on financial regulation adopted in July 2010 in response to the financial crisis. Broad in scope, the text addresses a wide range of subjects: establishment of a financial stability council, treatment of systemic institutions, regulation of the most risky financial activities, regulation of derivatives markets, strengthening of the supervision of agency practices, etc. The US regulators (Securities and Exchange Commission, Commodity Futures Trading Commission, etc.) are currently working on the development of precise technical rules on these various topics. The lower tier of the US federal judicial system.

Derivative

District Court

Dodd-Frank Act

DOJ

US Department of Justice.

DSN

Deeply subordinated notes, i.e. perpetual bonds with no contractual redemption commitment that pay interest in perpetuity. In the event of liquidation, they are repaid after other creditors (subordinated loans). These securities pay annual interest contingent on the payment of a dividend or the achievement of a specific result.

DTA

Deferred Tax Assets, arising from temporary or timing differences between accounting expenses and tax liabilities.

Dual tranches

Two tranches.

DVA

Debit Valuation Adjustment (DVA) is symmetrical to the CVA and represents the expected loss from the counterparty’s perspective on liability valuations of derivative financial instruments. It reflects the impact of the entity’s own credit quality on the valuation of these instruments.

EAD

Exposure at default, i.e. the value of exposure to the risk of the debtor defaulting within one year.

Earnings per share

The Company’s net income (excluding returns on hybrid securities recognized as equity instruments) divided by the weighted average number of shares outstanding. European Banking Authority (EBA). The European Banking Authority was established by EU Regulation on November 24, 2010. It took effect on January 1, 2011 in London, superseding the Committee of European Banking Supervisors (CEBS). This new body has an expanded mandate. It is in charge of harmonizing prudential standards, ensuring coordination among the various national supervisory authorities and performing the role of mediator. The goal is to establish a Europe-wide supervision mechanism without compromising the ability of the national authorities to conduct the day-to-day supervision of credit institutions. External Credit Assessment Institution, i.e. a credit rating agency that is registered or certified in accordance with EU Regulation, or a central bank that issues credit ratings.

EBA

ECAI

ECB

European Central Bank.

EDTF

Enhanced Disclosure Task Force.

EEA

European Economic Area.

EGM

Extraordinary General Shareholders’ Meeting.

EIB

European Investment Bank.

EL

Expected loss, i.e. the value of the loss likely to be incurred given the quality of the structure of the transaction and any measures taken to mitigate risk, such as collateral. It is calculated by multiplying exposure at risk (EAD) by Probability of Default (PD) and by Loss Given Default (LGD). Expected Loss Best Estimate (ELBE), i.e. the institution’s best estimate of the expected loss for the defaulted exposure. This estimate takes into account current economic circumstances, exposure status and an estimate of the increase of the loss rate caused by possible additional unexpected losses during the recovery period.

ELBE

EMEA

Europe, Middle East and Africa.

Encumbered assets

Encumbered assets are those that are capitalized as a guarantee, security or credit enhancement for any transaction.

EPP

Employment preservation plan.

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Equity (tranche)

In a securitization arrangement, the equity tranche refers to the tranche that bears the first losses incurred from defaults within the underlying portfolio.

ESG

Environment, Social and Governance.

ESR

Environmental and social (or societal) responsibility.

ETF

Exchange-traded fund, i.e. a type of investment fund that tracks a stock market index or asset.

EU

European Union.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021