NATIXIS_PILLAR_III_2017_EN
14 APPENDIX
Appendix 6: Glossary
Acronym/Term
Definition
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.”
IFRIC 21
International Financial Reporting Standards
IFRS
International Monetary Fund
IMF
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 non-life 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, referring to the Internal Ratings-Based Approach, the measurement of credit risk on the basis of credit ratings as defined by EU regulations.
Incremental Risk Charge (IRC)
Insurance risk
Investment grade
IRB
Incremental Risk Measure
IRM
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.
IRRBB
Information system
IS
International Swaps and Derivatives Association
ISDA
Impôt sur la fortune (Wealth Tax) Investment service provider
ISF ISP
Independent wealth management advisor
IWMA
Joint Venture
JV
Loans and receivables
L&R LBO LCR
Leveraged buyout
Liquidity coverage ratio
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 effect
Financing through debt
Leverage/leveraged financing
Loss given default, a Basel 2 credit risk indicator corresponding to loss in the event of default. It is expressed as a percentage (loss rate).
LGD
London Interbank Offered Rate
LIBOR
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
Liquidity coverage ratio (LCR)
A mechanism that warns of loss.
Loss alert
See LGD.
Loss Given Default
Total losses paid to settle claims divided by premiums paid.
Loss ratio
Leverage ratio
LR
Long-Term Refinancing Operation, i.e. a long-term loan issued to banks by the ECB.
LTRO
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.
Market risk
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NATIXIS Risk report Pillar III 2017
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