NATIXIS_PILLAR_III_2017_EN

APPENDIX Appendix 6: Glossary

Acronym/Term

Definition

Used in conjunction with internal VaR and SVaR models to assess market risk by calculating potential losses on portfolios in extreme market conditions. A valuation method whereby a financial instrument is appraised at fair value based on its market price. 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. Maximum Distributable Amount, a new provision for banks placing restrictions on their dividend, 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 stress test

Mark-to-market Mark-to-model

MDA

Mezzanine

Refers to mid-size market capitalization.

Mid cap

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

Middle office

Markets in Financial Instruments Directive (EU Directive).

MiFID

Mandated lead arranger

MLA

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

Monoline

MREL

Multi-Risk Homeowners’ insurance

MRH MTN MTP

Medium Term Note Medium-term plan

Collective investment fund

Mutual fund

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 hypothesis 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. The ratio is presented after canceling transactions with affiliates, pending ECB authorization. Results used for ROE calculations are net income (group share), deducting 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, 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. A financial cooperative that offers savings and loan solutions targeting projects with a social, environmental and/or cultural purpose. calculated by taking shareholders’ equity group share, 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 fixed assets. This ratio is intended to strengthen the longer-term resilience of banks through additional incentives meant to encourage banks to finance their operations using more structurally stable resources. This long-term structural liquidity ratio, applicable to a one-year period, was formulated to provide a viable structure for asset and liability maturities. A contract whereby two parties to a financial contract (forward financial instrument), securities loan or repurchase agreement agree to settle their reciprocal claims under these contracts through a single consolidated net payment, particularly in the event of default or contract termination. A master netting agreement extends this mechanism to different categories of transactions subject to different framework agreements through one all-encompassing contract. Net asset value

Natixis business line ROE

Natixis leverage ratio

Natixis ROE

Natixis ROTE

NAV NEF

Net book value

Net stable funding ratio (NSFR)

Netting agreement

14

173

NATIXIS Risk report Pillar III 2017