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