NATIXIS - Universal registration document and financial report 2019

9 LEGAL AND GENERAL INFORMATION Glossary

Acronym/Term

Definition

SREP (Supervisory Review and Evaluation)

Methodology for assessing and measuring the risks for each bank. SREP gives the prudential authorities a set of harmonized tools to analyze a bank’s risk profile from four different angles: business model, governance and risk management, risk to capital, and risk to liquidity and funding. The supervisor sends the bank the SREP decisions at the end of the process and sets key objectives. The bank must then “correct” these within a specific time.

SRF SRI SRM

Single Resolution Fund

Socially Responsible Investment

Single Resolution Mechanism: An EU-level system to ensure an orderly resolution of non-viable banks with a minimal impact on taxpayers and the real economy. The SRM is one of the pillars of the European Banking Union and consists of an EU-level resolution authority (Single Resolution Board — SRB) and a common resolution fund financed by the banking sector (Single Resolution Fund — SRF). A bank stress test simulates the behavior of a bank (or Group of banks) under extreme but realistic economic scenarios (i.e. worsened prospects for growth, unemployment and inflation) to assess whether the bank’s (or banks’) capital reserves are sufficient to absorb such a shock. Like the VaR approach, stressed VaR is calculated based on a fixed econometric model over a continuous 12-month period under a representative crisis scenario relevant to the bank’s portfolio, using a “historical simulation” with “one-day” shocks and a confidence interval of 99%. However, unlike VaR, which uses 260 daily fluctuation scenarios on a sliding one-year period, stressed VaR uses a one-year historical window corresponding to a period of significant financial tension. The risk of losses or impairment on assets arising from changes in interest rates or exchange rates. Structural interest/exchange rate risks are associated with commercial activities and proprietary transactions. A financial instrument combining a bond product and an instrument, such as an option, providing exposure to any asset type (equities, forex, fixed-income, commodities). Such instruments may be backed by a (total or partial) guarantee on the investment. In a different context, the term “structured product” or “structured issue” can also refer to securities resulting from securitization transactions, for which a ranking of bearers is established. Single Supervisory Mechanism

SSM

Stress test

Stressed value at risk (stressed VaR)

Structural interest rate and exchange rate risk Structured issue/structured product

Subordinated notes

Debt securities that are ranked below senior debt in terms of repayment priority. Government bond primary dealer (Spécialiste en Valeurs du Trésor).

SVT

Swap

An agreement between two counterparties to exchange different assets, or revenues from different assets, until a given date.

SWWR

Specific Wrong Way Risk

Systemically important financial institution (SIFI)

The Financial Stability Board (FSB) coordinates the comprehensive measures intended to reduce the moral hazard and risks posed by global systemically important financial institutions (G-SIFIs) to the global financial system. These institutions meet the criteria established by the Basel Committee as outlined in “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement” and identified in a list published in November 2011. The FSB updates this list in November of each year. To date there are 29 such institutions. Tier 1 (T1) refers to the portion of a financial institution’s prudential capital that is considered to be the most solid. It includes its capital stock and retained earnings allocated to reserves. The ratio of Tier 1 capital to risk-weighted assets is a solvency indicator used in the Basel 1, Basel 2 and Basel 3 prudential accords. Core capital including the financial institution’s consolidated shareholders’ equity minus regulatory deductions.

Tier 1

Tier 1 capital Tier 2 capital

Supplementary capital mainly consisting of subordinated securities minus regulatory deductions.

TLAC TMO

Total Loss Absorbing Capacity

Average bond market rate (Taux Moyen Obligataire).

Total Capital Ratio Transformation risk

Ratio of overall capital (Tier 1 and Tier 2) to risk-weighted assets.

The risk associated with assets that are financed by liabilities with different maturities. Because banks’ traditional activity is to make longer-term use of liabilities with short maturities, they naturally tend to incur transformation risk, which in turn is a source of liquidity and interest rate risks. Positive term transformation occurs when assets have a longer maturity than liabilities. Negative term transformation occurs when assets are financed by liabilities with longer maturities. The equity share held by the Company, especially through the share buyback program. Treasury stock does not bestow voting rights and is not included in the calculation of earnings per share, except for securities held in association with a liquidity contract. Total return swap, i.e. a transaction whereby two parties exchange the income generated and any change in value on two different assets over a given time period. Deeply subordinated notes (Titres Supersubordonnés), i.e. perpetual bonds with no contractual redemption commitment that pay interest in perpetuity. In the event of liquidation, they are repaid after other creditors (subordinated loans). These securities pay annual interest contingent on the payment of a dividend or the achievement of a specific result.

Treasury stock

TRS

TSS

TUP

Total transfer of assets and liabilities (Transmission Universelle de Patrimoine)

UK US

United Kingdom

United States of America

USD

US dollar

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019