NATIXIS // 2021 Universal Registration Document

GLOSSARY

Acronym/Term

Definition

HRR

Head of Human Resources.

HY

High Yield.

IARD

Property and casualty insurance (Incendie, Accidents et Risques Divers).

IAS

International Accounting Standards.

IASB

International Accounting Standards Board.

IBOR

Interbank Offered Rate.

ICAAP

Internal Capital Adequacy Assessment Process, a practice required under Pillar II of the Basel Accords to ensure that firms have sufficient capital to cover all their risks.

IDA

Deferred tax assets.

IDFC

Infrastructure Development Finance Company.

IFACI

French Institute of Internal Auditing and Control (Institut Français de l’Audit et du Contrôle Internes).

IFRIC 21

International Financial Reporting Interpretations Committee (IFRIC) – IFRIC 21, adopted by the European Union in June 2014, is an interpretation of IAS 37 “Provisions, Contingent Liabilities and Contingent Assets.”

IFRS

International Financial Reporting Standards.

IMF

International Monetary Fund.

Incremental Risk Charge (IRC)

The capital requirement intended to cover issuers’ credit migration and default risks for a period of one year for fixed income and loan instruments in the trading book (bonds and CDS). The IRC is a 99.9% value-at-risk measure; i.e. the greatest risk after the elimination of the 0.1% worst-case scenarios. Encompasses asset and liability risks (interest rate, valuation, counterparty and forex risk) as well as risks related to the pricing of mortality risk premiums and the risks associated with life and property & casualty insurance, including pandemics, accidents and natural disasters (such as earthquakes, hurricanes, industrial accidents, acts of terrorism and military conflict). A long-term rating of a counterparty or underlying issue awarded by a rating agency, ranging from AAA/Aaa to BBB-/Baa3. A rating of BB+/Ba1 or below is considered non-investment grade. Internal-ratings based, refers to the Internal Ratings-Based Approach, the measurement of credit risk on the basis of credit ratings as defined by EU Regulations.

Insurance risk

Investment grade

IRB

IRM

Incremental Risk Measure.

IRRBB

Interest rate risk in the banking book. IRRBB designates the current or future risk to which the bank’s capital and profits are exposed due to adverse interest rate fluctuations influencing positions in the banking book.

IS

Information system.

ISDA

International Swaps and Derivatives Association.

ISF

Wealth Tax (Impôt Sur la Fortune).

ISP

Investment service provider.

IWMA

Independent wealth management advisor.

JV

Joint Venture.

L&R

Loans and receivables.

LBO

Leveraged buyout.

LCR

Liquidity coverage ratio.

Leverage effect

The leverage effect accounts for the rate of return on equity based on the after-tax rate of return on invested capital (return on capital employed) and the cost of debt. By definition, it is equal to the difference between the rate of return on equity and the return on capital employed.

Leverage/leveraged financing

Financing through debt.

LGD

Loss Given Default, a Basel 2 credit risk indicator corresponding to the loss in the event of default. It is expressed as a percentage (loss rate).

9

Libor

London Interbank Offered Rate.

Liquidity

In a banking context, liquidity refers to a bank’s ability to cover its short-term commitments. Liquidity also refers to the degree to which an asset can be quickly bought or sold on a market without a substantial reduction in value. A measure introduced to improve the short-term resilience of banks’ liquidity risk profiles. The LCR requires banks to maintain a reserve of risk-free assets that can be converted easily into cash on the market in order to cover its cash outflows minus cash inflows over a 30-day stress period without the support of central banks.

Liquidity coverage ratio (LCR)

557

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021