NATIXIS_PILLAR_III_2017_EN

APPENDIX Appendix 6: Glossary

Acronym/Term

Definition

Caisse Nationale des Caisses d’Epargne

CNCE

Commission Nationale de l’Informatique et des Libertés (an independent administrative authority protecting privacy and personal data) The Natixis Code of Conduct (Ethical Principles) reflects Natixis' DNA; it gathers in a single overarching document all Natixis rules and guidelines in four main fields: be client-centric, behave ethically individually and collectively, act responsibly towards society, protect Natixis and Groupe BPCE assets and reputation. The Code of Conduct applies to all Natixis employees, entities and affiliates over the world, across all business lines. It also applies to our suppliers and all our business partners in their dealings with Natixis. A transferable asset or guarantee pledged to secure reimbursement on a loan in the event that the borrower fails to meet its payment obligations. Measure of an insurance company's profitability expressed in terms of the ratio of total costs (incurred losses + expenses) divided by total revenue, Ratio of Common Equity Tier 1 (CET1) capital to risk-weighted assets. The CET1 ratio is a solvency indicator used in the Basel III prudential accords. A company’s ownership share of its own equity, held via its direct or indirect control of one or more other companies. Company-controlled stock does not bestow voting rights and is not included in the calculation of earnings per share. A measure calculated by dividing the net expense of commercial risk by loans outstanding at the beginning of the period. A ratio indicating the share of net revenues used to cover operating expenses (the Company’s operating costs). It is calculated by dividing operating costs by net banking income. A bond for which the reimbursement and payment of interest is backed by returns on a high-quality asset portfolio, often a portfolio of mortgage loans, which serve as collateral. The issuer often manages the payment of cash flows to investors ( obligations foncières in France, Pfandbriefe in Germany). This product is mainly issued by financial institutions. Commercial paper. In the United States, commercial paper is a negotiable debt instrument issued by corporations on the money market. Coverage in terms of client support. An EU Directive under which the proposals of the Basel Committee were transposed into French law in July 2010 and enacted as of December 31, 2011. In July 2009, the Basel Committee published a new set of proposals known as Basel 2.5 on the topic of market risk. The aim was to better account for default and credit migration risk on assets in the trading book (both tranched and untranched assets) and to reduce the procyclicality of value at risk. A European Directive that enacts the proposals of the Basel3 framework into French law. The risk of loss from the inability of clients, issuers or other counterparties to honor their financial commitments. Credit risk includes counterparty risk related to market transactions and securitization. A bilateral financial contract whereby the protection buyer periodically pays a premium to the protection seller, who in turn promises to compensate for any losses on a reference asset (a bond issued by a government, financial institution or company) upon the occurrence of a credit event (bankruptcy, default, deferred payment or restructuring). It is a mechanism to protect against credit risk. A financial product whose underlying asset is a credit obligation or debt security (bond). The purpose of the credit derivative is to transfer credit risk without transferring the asset itself for hedging purposes. One of the most common forms of credit derivatives is the credit default swap (CDS). Credit valuation adjustment, i.e. the expected loss related to counterparty’s default risk. The CVA aims to account for the fact that the full market value of the transactions cannot be recovered. The method for determining the CVA is primarily based on the use of market inputs in connection with the practices of market professionals. 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) 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. Executive Committee Consumer Price Index Credit Portfolio Management Capital Requirements Directive (EU Directive) Comprehensive Risk Measure Capital Requirement regulation (EU regulation) Corporate social responsibility

CNlL

Code of conduct

Collateral

Combined ratio

COMEX

Common Equity Tier 1 ratio Company-controlled stock Cost of risk in basis points Cost/income ratio

Coverage

Covered bond

CP

CPI

CPM CRD

CRD III

CRD IV

Credit and counterparty risk Credit default swap (CDS)

Credit derivative

CRM CRR CSR CVA

Deleveraging

14

Derivative

169

NATIXIS Risk report Pillar III 2017