NATIXIS // 2021 Universal Registration Document

9 GLOSSARY

Acronym/Term

Definition

Loss alert

A mechanism that warns of loss.

Loss Given Default

See LGD.

Total losses paid to settle claims divided by premiums paid.

Loss ratio

LR

Leverage ratio.

LTRO

Long Term Refinancing Operation. Long-term loans granted to banks by the ECB.

Mark-to-market

A valuation method whereby a financial instrument is appraised at fair value based on its market price.

Mark-to-model

A valuation method whereby, in the absence of a market price, a financial instrument is appraised at fair value based on a financial model using observable and unobservable data. The risk of a loss in value on financial instruments resulting from changes in market parameters, from the volatility of these parameters or from the correlations between these parameters. These parameters are exchange rates, interest rates and the prices of securities (equities, bonds), commodities, derivatives or any other assets, such as real estate assets. Used in conjunction with internal VaR and SVaR models to assess market risk by calculating potential losses on portfolios in extreme market conditions. Maximum Distributable Amount, a new provision for banks placing restrictions on their dividends, AT1 coupon and bonus payments (under a rule that tightens restrictions as banks deviate from their requirements), if the capital buffers are not met. As these buffers are on top of Pillars I and II, they apply immediately if the bank fails to comply with the combined requirements. A form of financing that is a hybrid of equities and debt. In ranking terms, mezzanine debt is subordinated to “senior debt” but still takes priority over equities.

Market risk

Market stress test

MDA

Mezzanine

Mid cap

Refers to mid-size market capitalization.

Middle office

A department at a financial intermediary that generally performs risk control functions.

MiFID

Markets in Financial Instruments Directive (EU Directive).

MLA

Mandated lead arranger.

Monoline

An insurance company that takes part in a credit enhancement operation, backing a debt security issue (e.g. in securitization transactions) with the aim of improving the issue’s rating. Minimum requirement for own funds and eligible liabilities – Ratio defined in the European Bank Recovery and Resolution Directive indicating the minimum requirement for own funds and eligible liabilities that have to be available to absorb losses in the event of resolution.

MREL

MRH

Multi-Risk Homeowners’ insurance.

MTN

Medium Term Note.

MTP

Medium-term plan.

Mutual fund

Collective investment fund.

Natixis business line ROE

ROE for business lines is calculated based on normative capital to which are added goodwill and intangible assets for the business line. Capital is allocated to Natixis business lines on the basis of 10% of their Basel 3 average risk-weighted assets. Business lines receive interest on the normative capital allocated to them. By convention, the interest rate on normative capital is maintained at 3%. This ratio is calculated based on the rules set forth in the Delegated Act, without phase-in except for DTAs on tax-loss carryforwards and with the assumption of a roll-out for non-eligible subordinated notes under Basel 3 by eligible notes. Repo transactions with central counterparties are offset in accordance with IAS 32 rules without maturity or currency criteria. Leverage ratio disclosed including the effect of intragroup cancelation – pending ECB authorization. The result used for ROE calculations is net income (Group share), less DSN interest expenses on preferred shares after tax. Equity capital is the average equity attributable to equity holders of the parent as defined by IFRS, after payout of dividends, excluding average hybrid debt, and excluding unrealized or deferred gains and losses recognized in equity (OCI). Natixis ROTE is calculated by taking as the numerator net income (Group share) excluding DSN interest expenses on preferred shares after tax. Equity capital is average shareholders’ equity Group share as defined by IFRS, after payout of dividends, excluding average hybrid debt, average intangible assets and average goodwill.

Natixis leverage ratio

Natixis ROE

Natixis ROTE

NAV

Net asset value.

NBI

Net banking income.

NEF

A financial cooperative that offers savings and loan solutions targeting projects with a social, environmental and/or cultural purpose. Calculated by taking equity attributable to equity holders of the parent, restated for hybrids and capital gains on reclassification of hybrids as equity instruments. Tangible net book value is corrected for goodwill on associates, restated goodwill and restated intangible assets.

Net book value

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021