Cross-reference table between articles of the 8.6 CRR, Basel Committee/ EBA tables and
Pierre Mendès France, 75013 Paris, France. Copies of the present registration document are available free of charge from Natixis, Immeuble Arc de Seine, 30, avenue
inclusive), replacing the dual affiliation of Natixis with CNCE Natixis has been affiliated with BPCE since July 31, 2009 (nota
for insurers, pension funds, asset managers, hedge funds, private banks, bank and insurance distribution networks and wealth management advisors. To address the goals and
Natixis maintains a very active and innovative digital presence. It was the first bank to offer its distributor clients “MOOC” (Massive Online Open Course) training platforms, complete secondary market (E-TRANSAC). Clients also get access to a brand new web interface devoted to proprietary indexes (www.nxsindices.com), as well as an online synthetic prime brokerage platform (Natixis Synthetic Services).
In the fixed income and forex markets, Natixis continued to expand its product range, maintaining strong business levels in Europe and gaining significant market share in Asia.
Natixis also offers a comprehensive range of forex products (spot, forward foreign exchange instruments, vanilla and exotic currency options), and works with its structuring team to develop bespoke hedging solutions.
Global Markets has a centralized XVA management desk (CVA/DVA/FVA). Its core responsibilities are to measure and manage XVA exposures and hedge the main risks generate by these exposures.
Drawing on its leading position in infrastructure debt vehicles, Natixis consolidated its platform devoted to institutional clients, with the two most recent partnerships being concluded with South Korean investors and denominated in US dollars. This enables these partnerships to be set up on non-euro zone assets, such as the projects for the Rabec power plant in Saudi Arabia, a refinery in Mexico and the MGT biomass plant in the United Kingdom. Natixis is continuing its mobilization efforts in support of the energy transition, particularly in offshore wind enabling them to invest in this asset class through partnerships. In 2016, this platform, which now includes seven partners, was extended to aircraft assets. It also expanded beyond Europe, farms with the Merkur project in Germany and the Beatrice project in the United Kingdom.
The Global Transaction Banking (GTB) teams develop and provide Natixis’ corporate clients with solutions for monitoring, optimizing and enhancing their cash flow and financing and securing their international trade transactions. They support them over the long-term, at every step of their projects, helping with the selection and implementation of solutions adapted to their needs, both in France and internationally via the platforms in the Asia Pacific region (Singapore, Shanghai, Hong Kong), the Americas (New York, São Paulo) and the EMEA region (Dubai, Moscow).
Through its origination team operating on the primary European, American and Asian markets, Natixis advises and supports its clients internationally, helping them obtain financing on the foreign-currency bond markets.
Coface successfully concluded the transfer of the export state guarantee management business and launched its three-year strategic plan Fit to Win, which is now well under way.
2016, covering the taxation of dividends, capital gains and PEA were also made available to Shareholders’ Club members in share saving plans, as well as the fundamentals of asset
Patronage program and were consequently given the opportunity sporting and cultural events under the bank’s Sponsorship and to take advantage of tickets to rugby matches.
Natixis organizes meetings with analysts and institutional meetings were held in Paris, London, Dublin, Madrid, Frankfurt, organized by brokers in the main financial marketplaces. In 2015,
Member of the Management Board - Chief Executive Offi cer in charge of the Group Finance, Strategy,
Key advisory skills: expertise in strategy for banking and financial environment. institutions, and in the French and international economic and financial
Chairman of the Board of Directors of Crédit Foncier (since 04.26.2010)a
Demain SA (2) (since 07.10.2012) Participations, Member of the Board of Permanent Representative of GCE a
Director of Strategy and being promoted to the Executive Committee Treasury Officer and then as Chief Financial Officer before becoming of Elf Aquitaine. In 1996 she joined Sanofi first as Chief Financing & Merrill Lynch Bank. From 1993 to 1996 she worked in the Finance division of Sanofi-Aventis.
Meeting of April 23, 2015. Executive Board as Chief Financial Officer at the General Shareholders’ Amsterdam on March 1, 2015. She was appointed to the group’s
Services and Valoénergie Board of Habitat en Région Holding Promotion, Member of the Permanent Representative of CE a
Chief Executive Officer of the Web School Factory (since April 2012)a
Member of the Supervisory Board a of HLD (2) (since 2011) (until 02.12.2015)
Representative of BPA, Treasurer a of Comité des Banques de Pays de la Loire FBF (from 2008 to
Chairman of EDF Energy Holdings a Ltd (2) (since 03.08.2010) (until 11.25.2014)
2008 and then again in 2011. Since April 2015, he is the first Vice-Chairman of the Val d’Oise Regional Council.
Permanent Representative of a Home Shopping Service(2), member of the Board of (until 03.31.2014)
In accordance with Article 26 of Act No. 2008-649 of July 3, consultation at the Company’s head office and on the Natixis the Association Française des Entreprises Privées (AFEP – French Association of Private Sector Companies) and the Mouvement des Entreprises de France (Medef – French Business Confederation), hereinafter referred to as the 2008, involving various provisions to adapt Company law to EU law, the Corporate Governance Code, to which reference has voluntarily been made when preparing this report, is the Corporate Governance Code for listed companies published by
d’Epargne and the Banque Populaire banks, in addition to a representative of BPCE). Following the AFEP-Medef code recommendations on the composition of the Audit Committee to the letter would require that Natixis’ independent directors sit on more than three Special Committees, at the risk of diluting the quality of as recommended by the AFEP-Medef code, in order to represent the different components of the Company’s main shareholders (members from the Caisses
Natixis’ Board of Directors does not have a formal arrangement to hold a session present at the part of the Board Meeting regarding the determination of his without the executive director present. However, the Chief Executive Officer is not compensation and performance.
Changes made to the Board of Directors in 2016:a on February 10, 2016, the Board of Directors of Natixisj the remainder of her predecessor’s term of office, namely until co-opted Sylvie Garcelon to replace Catherine Halberstadt for approve the financial statements for the fiscal year ending on the end of the General Shareholders’ Meeting called to replacement of Daniel Karyotis with Marguerite Bérard-Andrieu on May 9, 2016, the Board of Directors of Natixis enacted thej as the Permanent Representative of BPCE as of May 1, 2016; Natixis: on May 24, 2016, the General Shareholders’ Meeting ofj ratified the co-opting on July 30, 2015 of Françoise Lemalle toj term of office, namely until the end of the General replace Pierre Valentin for the remainder of her predecessor’s
Company’s corporate purpose and the powers expressly oversees its implementation. Within the limits of the and checks it deems appropriate; only deliberate on this matter when it features on the agenda defines the Company’s senior management policy, and mayb)
Chief Executive Officer. They have the same powers with assisting the Chief Executive Officer, with the title of Deputy consulting the Appointments Committee, the Board of
of the Internal Rules); Committee and an Appointments Committee (see Article 4 Audit Committee, a Risk Committee, a Compensation (Article L.511-89), the Board of Directors must draw on an
Officer and of the Deputy Chief Executive Officer(s) after Chairman of the Board of Directors, the Chief Executive consultation of the Compensation Committee.
In addition to the legal and statutory requirements with which it rules governing its operation and setting out the rights and duties complies, the Board of Directors has adopted a set of internal his appointment. The complete Internal Rules of Natixis’ Board of of its members. These are sent to each member at the time of
All directors must devote sufficient time and attention to the also hold executive positions.
Company. carried out, so that this information may be disclosed by the stock market authorities, both in France and abroad. for it to fulfill its reporting obligations to all authorities such as relation to the trading of listed companies’ securities necessary Natixis may also ask each director to provide any information in
of such a plan, and inform him that he is directly or indirectly the Corporate Secretary of Natixis] as soon as he has knowledge interested and in what capacity.
or any one of its Committees regarding the plan in question. abstain from participating in the meeting of the Board of Directors Board of Directors, the director or the non-voting in question must Should this transaction or business relationship be submitted to the
Article L.225-38 of the French Commercial Code. agreements” in accordance with the provisions of This charter defines the criteria for establishing “related party
With regard to Article L.225-102-1 of the French Commercial agreements entered into directly or through an intermediary, by, Code, which, in the management report, mentions the on the one hand, the CEO, one of the directors or one of the agreement meets these criteria for fiscal year 2016. latter directly or indirectly holds more than half the capital, no in 2016 Work of the Board of Directors 2.3.1.3
Marguerite Bérard-Andrieu (position previously held by Daniel Karyotis until May 1, 2016)
complex financial products and alternative management is a financial market specialist and has extensive experience in
personnel as well as to familiarize itself with reports on the said Committee had the opportunity to hear from relevant Natixis For each matter submitted for review and analysis, the Audit yearly, half-yearly and quarterly parent company and consolidated The Audit Committee monitored the statutory audit of Natixis’
Finance and Risk Officer, as well as the Head of Accounting and from the presence at its various meetings of the Natixis Chief and BPCE, the Corporate Secretary and the Head of Compliance Ratios, the Head of Risk, the Heads of Internal Audit for Natixis
documents that may assist it in performing its duties and to experts as appropriate.
2016. Its members’ attendance rate was 100% for the year as a meetings appears in Section 2.2 of this chapter. Each director’s attendance record for Compensation Committee
Analyzing the compensation of the heads of control functionsa Policy on salary and professional equalitya shareholding Employee savings and Presenting the existing employee savings plans at Natixisa
Company in its relations with third parties. restrictions stipulated by the Internal Rules. He represents the powers within the limits of the corporate purpose and subject to the Company under all circumstances. He exercises those selected from among its directors or otherwise.
The Board of Directors may appoint a Chief Executive Officer to any corporate officer of his choosing, with or without the The Chief Executive Officer may delegate a portion of his powers
developments (Market Abuse Regulation, MiFID 2, etc.) as well were implemented. Lastly, it reviewed the impact of regulatory improving the quality of life in the workplace.
its Transformation and Operational Excellence program. As part The Senior Management Committee defined the key priorities of and generate costs savings from end-2019. It also committed to of this program, Natixis intends to invest heavily in technology
With respect to holders of bearer shares, it is their authorized intermediaries which hold accounts of bearer shares which prove midnight, Paris time.
participating in the meeting of the Board of Directors or any one of its Committees regarding the plan in question. Consequently,
unaffected by CRD IV. In 2016, 42% of “regulated” categories applicable to the deferred portion of compensation and the three years and partial payment in shares or equivalent instruments), with the exception of the performance condition activities, similar to those applied to regulated categories of staff (i.e. variable compensation partially deferred over
The structure of annual variable compensation has been the target and consists of: set at €960,000, i.e. 120% of Laurent Mignon’s fixed compensation, with a range of between 0% and 156.75% of
in 2017 in 2018 in 2020 in 2019 to the Natixis share price. 64% deferred over 2018-2019-2020, of which 50% is indexed
Strategic criteria 30% 10% development and launch of the 2018-2020 Strategic Plana 10% ongoing digital transformation of Natixis and its businesses a 5% development of Natixis' collaboration with the Groupe BPCE networksa 5% managerial performancea
AMF TABLE NO. 1R Summary of the compensation, stock options and shares granted to each executive corporate officer
Amount paid in 2016 for the variable compensation for fiscal year 2015, i.e. €200,596, for the deferred portion of the variable compensation for fiscal year 2014, i.e. (4) €76,554 and for the deferred portion of the variable compensation for fiscal year 2013, i.e. €85,715.
Cumulative number of outstanding subscription options at end of period n/a
In 2016 Laurent Mignon did not receive any multi-year variable compensation.
upon the Chief Executive Officer’s reappointment. Directors approved the renewal of severance payment and the non-compete agreement
Compliance Officer. the obligation to send information to Natixis’ Chiefj managers report directly and hierarchically to Natixis’ Chief For business lines operated by the parent company, Compliance
operating procedures. The Compliance Function Charter details the function’s mechanism Focus of the compliance control key areas: Natixis’ Compliance mechanism focuses on the following two
The coming into effect of major regulatory changes in 2016 was
and provides for value adjustments (credit value adjustments or transactions, specific indicators are produced on a regular basis
ON THE REPORT BY THE CHAIRMAN OF THE NATIXIS BOARD OF DIRECTORS,
appointment of Natixis’ directors and executive officers, and on any other corporate decisions requiring shareholder approval.
Groupe BPCE – to which Natixis belongs – complies with regulations in force governing the banking sector in France in power to approve the appointment or removal of Natixis’ Chief with significant rights of approval over important aspects of Natixis’ risk management policies. In particular, BPCE has the
While Natixis believes that these strategic guidelines provide a number of opportunities, it will continue to face uncertainties bear significant risks stemming from these operations as a result
Future events may differ from those reflected may expose Natixis to unexpected future losses in the assumptions used by management to prepare Natixis’ financial statements, which
in the financial markets. The potential losses arising from the above-mentioned risks could have a significant bearing on
decision-making channels, and cross-business ties via dedicated teams. Its operating methods are described in detail in
It is consistent with Natixis’ strategic plan, budget process and business activities, and falls within Groupe BPCE’s general framework on risk appetite, comprising two components: qualitative and quantitative terms, the risks that the bank is prepared to take; the Risk Appetite Statement (RAS), which sets out, in1.
121REGISTRATION DOCUMENT 2016 - Natixis adequacy ratio in order to be able to cope with stress situations.
Credit risk affects lending operations as well as other operations exposing Natixis to the risk of counterparty default, notably its
some cases be subscribed for directly by investors, or by a multi-seller conduit which refinances the purchases of its shares
(including legal and tax risks) Non-compliance and reputational risk consequences that go beyond a pure loss of economic value, operational risk, by definition. Non-compliance risk may have however, and may damage the institution’s reputation. The bank handles non-compliance risk accordingly.
Commission Implementing Regulation No. 1423/2013 (Annex II). characteristics at December 31, 2016, as required by debt instruments recognized in Tier 2 capital and their The Risk and Pillar III Report contains detailed information on to regulatory CET1 capital, Tier 1 capital and total capital after At December 31, 2016, the transition from shareholders' equity applying phase-in arrangements, is summarized in the table below.
group share, to €19.8 billion was mainly due to the incorporation of +€1.37 billion in net income for the year, the positive impact of the dollar's appreciation on translation adjustments, amounting subordinated equity instruments (-€0.08 billion) and the cumulative impact of the Ciloger and PJ Solomon acquisitions (-€0.15 billion). Finally, the issuance of €0.4 billion in subordinated instruments recognized as equity was prudentially reclassified as to +€0.1 billion, and the positive change in unrealized gains and losses on insurance company portfolios, amounting to +€0.15 billion. These items were partially offset by the dividend payment for 2015 (-€1.1 billion), payment of interest on
In accordance with our strategic plan, Natixis' capital planning set a target fully loaded CET1 ratio of 9.5% to 10.5%, without taking into account phase-in measures except for those concerning deferred tax, as the target fully loaded CET1 ratio for the end of the current plan (i.e., December 31, 2017) is 10.5%.
Regulations on the monitoring of large exposures were revised in or repayment problems. The standard is based on a standing obligation: all risks associated with a single counterparty may not 2014 and are now part of the CRR. They aim to prevent an excessive concentration of risks for sets of counterparties that are related in such a way that if one encountered financial problems, the others would also be likely to experience funding
To manage this risk, Natixis set up a management framework for the risks borne by clearing houses.
This risk is represented in regulations by two concepts: specific wrong-way risk: referring to the risk generated when,a due to the nature of the transactions entered into with a counterparty, there is a direct link between its credit quality and the amount of the exposure; there is a correlation between the counterparty’s credit quality and general market factors.
The conclusions and results of the model validation process are presented to the Risk Model Governance Committee and submitted to the Global Risk Committee before being sent to the
ratings is examined. Natixis therefore analyzes all the internal ratings of counterparties that are also rated by the rating agencies (Standard and Poor’s, Moody’s and Fitch). The extent to which the risk assessments are aligned can be determined
Losses given default, which are determined using internal methods for calculating capital requirements, are also monitored
A backtesting report is produced once backtesting is complete. This report includes: all the results for the backtesting indicators used;a any additional analyses;a an overall opinion of the results in accordance with the Group’sa standards.
Central governments or central banks 49,048 6,265 48,818 6,035 48,680 authorities Regional governments or local
potential losses in each business, based on a pre-determined combined behavior of market parameters affecting portfolio To this end, a statistical model has been constructed to track the more responsive if the markets suddenly become more volatile. rolling 12-month and 3-month periods. This method makes VaR (risk factor by risk factor) standard deviations calculated over whose standard deviations are calculated as being the maximum value. The calculation method is based on an econometric model
€4.7 million on May 10, 2016. The Stressed Regulatory VaR level averaged €6.28 million. It peaked at €9.1 million on December 30, 2016 and bottomed out at
own threshold, which is lower than that of Natixis and and business lines can decide to apply these measures to their the relevant targets, and monitor their progress. The entities decide on the corrective actions to be implemented, propose the initial cause, the description of the impact and the proposed full report with a factual description of the event, the analysis of parties, the operational risk manager compiles a standardized Once an investigation has been carried out on all relevant
The main risks analyzed are:a internal or external fraud;j drop in the value of securities;j liability risk (civil operating and professional liability, as wellj as executive officers’ and directors' civil liability); damage to operating assets (buildings and their contents, ITj hardware and data), and loss of banking business resulting from this damage.
“Executive Officers' Civil Liability” coverage is provided by thea executive officers’ and directors’ civil liability group insurance plan taken out by BPCE S.A., for up to €200 million per claim per insurance year.
Given that Natixis is supervised by BPCE, in its capacity as the central institution, and given the close interactions between BPCE and Natixis in terms of liquidity management within the framework of the joint refinancing pool (see section 3.8.2.1), this plan is defined in accordance with the Groupe BPCE business continuity plan, in the event of a crisis affecting access to procedure, etc.) and remediation plans to enhance liquidity and reduce funding requirements are defined and documented. In addition, the BCP is regularly tested to ensure that it is operational, in accordance with regulations.
Election results in 2016 called the worldwide shift to economic to at least the end of 2017.
Financial Management Department in partnership with the business lines, Natixis achieved its target leverage ratio, which is higher than the regulatory requirement that will enter into force in 2018. Accordingly, after restatement of exposure to Groupe BPCE affiliates(1), Natixis maintained its leverage ratio above 4%
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation accounting framework but excluded from the leverage ratio exposure measurement, in accordance with Article 429 (13) of Regulation (EU) No. 575/2013 “CRR”)
The sensitivity of Natixis’ NII to interest rate variations under various stress scenarios in 2016 was relatively low. In the event of a parallel upward shift of +200 bp in the yield curve, sensitivity was positive and represented less than 1.2% of net revenues.
Management in order to identify and manage conflicts of cooperation among the business lines, Compliance anda interest arising at various levels; transactional conflict detection tool; close monitoring by Compliance with the help of ODEON, aa interest if needed; and an escalation process for mediating unresolved conflicts ofa mediating unresolved conflicts of interest if needed. a conflict of interest management commission tasked witha becomes unavoidable in spite of the internal procedures in place, Whenever the risk of compromising a customer’s interests interest before taking action on the customer’s behalf, allowing Natixis informs the customer of the nature of the conflict of the customer to make an informed decision on whether to proceed with the transaction.
Whistleblowing policy suspect as improper or incompatible with banking provisions. employees to report any action or professional activity that they Since 2005, Natixis has implemented a procedure that allows implementation of banking compliance obligations. The makes it possible to report anomalies with respect to the who do not use this procedure. Employees who do use the procedure is optional. There is no penalty imposed on employees be penalized or subject to unequal treatment as a result of their procedure are entitled to strict confidentiality, and they may not reporting methods at Natixis, such as the escalation of anomalies report. This procedure is not intended to replace conventional
To combat money laundering, Natixis has introduced: due diligence and KYC obligations on customer onboarding anda throughout the customer relationship; a procedure for reporting “suspicious” transactions to thea relevant financial intelligence unit; and compliance with these obligations.
and freeze funds belonging to persons or entities appearing on promptly introducing permanent control procedures to detecta
This is ensured at two levels of the organization: CNIL coordination (Legal Department) and local CNIL representatives in every business line.
subsidiaries are involved in litigation before the courts and may of litigation deemed likely to have, or which have in the recent As assessed at December 31, 2016, the financial consequences and/or Natixis and its consolidated subsidiaries as a whole, or on past had, a material impact on the financial situation of Natixis their profitability or their business, have been included in Natixis’ consolidated financial statements.
MMR Investment Ltd) is alleged to have subscribed, via a fund. Renstone Investments Ltd (the apparent predecessor of bonds in the amount of $50 million. financial intermediary acting as the placement agent, for these
request of its previous executive officers, on the grounds that including Natixis, which granted it financing in 2011 at the state that MPS Foundation cannot hold debt exceeding 20% of the financing thus granted was in violation of its bylaws, which its total balance sheet. The damages claimed by MPS Foundation
Situation of dependency3.9.2.2 industrial, commercial or financial supply contract. Natixis is not dependent on any patent or licence, or on any
certified by the Statutory Auditors) (These data form an integral part of the financial statements
Natixis Assurances deals with reinsurers who are subject to aa recognized rating agencies, and who have a Standard & Poor’s financial rating by at least one of the three internationally equivalent rating of A- or higher; using several reinsurers ensures counterparty diversificationa and limits counterparty risk.
liabilities side of the balance sheet amounted to €1.60 billion at December 31, 2016 (up 11.8% compared to the end of 2015).
Reinsurer default risk is governed by counterparty concentration and rating limits. CEGC’s reinsurance programs are underwritten
Issues linked to global warming are already incorporated in the transactions with independent producers operating in the Gulf of Mexico on account of the risk of cyclones hitting this region.
operations as its key means of action in the fight against climate change, both in terms of risk management and business
Highlights in the second half of 2016 included the merger, at the end of October, of AEW Europe and Ciloger (La Banque Postale)
In January 2017, and for the second time in his career,
Investment Banking’s RWA dropped by 5% year-on-year to strict financial management. RWA increased moderately by 2% The development of the core businesses went hand-in-hand with year-on-year to €115.5 billion at December 31, 2016. Corporate &
were down 1%, and in Specialized Financial Services a limited Company scope effect), while in Investment Solutions expenses +4% for fixed expenses excluding the Peter J. Solomon mainly attributable to Corporate & Investment Banking (+9%, compared to 2015 at constant exchange rates. The increase was €114 million contribution to the Single Resolution Fund, up 5% Recurring expenses totaled €6,238 million, including a
Peter J. Solomon Company) and Investment Solutions. expansion of Corporate & Investment Banking (acquisition of 3% year-on-year to 16,311 FTEs at end-2016 on account of the
The share in income from associates, consisting mainly of to CDS (Corporate Data Solutions) activities. -€31 million in 2015, including a -€29.6 million impairment linked
expenses due to slower business activity, while expenses in the compared to 2015, with a decrease in Asset Management Expenses were down 1.1% (1.3% at constant exchange rates)
down 0.3 points compared to 2015 (60.9%). compared to 2015. The cost/income ratio was 61.2% in 2016, compared to 2015, with fewer provisions in the second half of At €195 million, provision for credit losses came down 1%
In 2016 the following sales and transfers took place at CDS: transfer of Midt Factoring to SFS on January 1, 2016;a sale of Altus and HCP NA on March 31, 2016;a sale of Graydon on September 15, 2016.a and HCP.
Pursuant to Article L.441-6-1 and D. 441-4 of the French Commercial Code, the following table breaks down unpaid supplier invoices by due date: Due dates after December 31 Weighting as a % 12.31.2016 Weighting as a % 12.31.2015
over the period, excluding treasury shares and including shares that could be issued on the exercise of stock options and bonus shares
(e) The impact of the early application of provisions relating to financial liabilities under IFRS9 “Financial instruments” recognized under “Revaluation of own
an associated tax impact of -€4 million). Balances relating to the early repayment of Natixis issues recognized in shareholders' equity over the 2016 fiscal year totaled +€12 million (gross amount, with
NOTES TO THE BALANCE SHEETNOTE 6 255 profit or loss designated at fair value through Financial assets and liabilities 6.1
IAS/IFRS standards and IFRIC interpretations as adopted by the year ended December 31, 2016 in accordance with Natixis has prepared its consolidated financial statements for the As required by European regulation 1606/2002 of July 19, 2002,
Regarding the implementation of new impairment provisions: requirement calculation models and the projection models used for regulatory stress tests. Specific adjustments will be made to reflect the maturity of outstandings, current conditions and expected economic and financial projections. Measurements may therefore, in some cases, differ significantly from those used to calculate regulatory capital requirements due to the associated safety buffers and as they are “through-the-cycle”.
The models which will be introduced to calculate impairment will be centralized to ensure that methods are consistent
Joint operations are partnerships in which the partiesa exercising joint control of the arrangement have rights to the assets, and obligations for the liabilities, related to the arrangement. An investment in a joint operation is recorded by incorporating all the interests held in the joint operation, i.e. its share in each of the assets, liabilities and other comprehensive income to which it is entitled. These interests are broken down by type across the various items on the consolidated balance sheet, consolidated income statement and statement of net
All items of goodwill are impaired, based on the value in use of the cash-generating units (CGUs) to which they have been allocated. For the Coface CGU, a listed entity since June 2014, which is not one of Natixis’ core businesses and which is managed on an asset basis, as in previous years, value in use expected future cash flows from the CGU (Discounted Cash Flows (DCF) method) on the basis of the five-year medium-term business plans drawn up by Natixis.
Technical reserves for insurance policies meet the commitments of insurance companies with regard to policyholders and contract
premiums as well as a reserve for management fees. Reserves also include economic hazards related to end-of-year
Coface carried out on behalf of the French State and which represented around 4% of consolidated revenue in 2016.
acquisitions and corporate restructuring. (PJSC), which provides advisory services on mergers and
Acquisition by AEW Europe in the fourth quarter of 2016 ofa Ciloger. Following the financial transaction, AEW Europe’s
The main subsidiaries in which non-controlling interests are material at December 31, 2016 are Coface and BPCE Assurances, as in the previous fiscal year.
Through these partnerships, the various associates contribute human and material resources and skills. The associates remain
Consequently, the following are not included in the consolidation additional information (IFRS 12): scope (IFRS 10) or in the scope applicable to the disclosure of be concluded by Natixis with structured entities or with the variability of the structured entity’s returns and which may most commonly: traditionally-governed entities alike. Ongoing transactions are transaction. This corresponds to an unstructured financial structured entities linked to Natixis solely through an ongoinga instrument which does not generally have a material impact on other underlying assets and the lending/borrowing of vanilla fixed-income/currency derivatives, derivatives withj securities and repos ; guarantees and plain vanilla financing granted to family SCIsj or certain holdings.
well as (ii) the maximum exposure to the risk of loss attributable Natixis in structured entities, broken down by major activities, as The table below shows the (i) book value of interests held by
Financial assets at fair value through profit or loss 307 5,799 617 104 6,827
Securities held for trading purposes are those acquired by Natixis portfolio of financial instruments that are managed together and principally to be sold in the near term and those forming part of a short-term profit taking.
As stated in Note 2, Natixis has elected to use the option held by Private Equity subsidiaries using the equity method if provided by IAS 28 and IAS 31, i.e. not to account for interests profit or loss”. In accordance with the fair value option they are designated as “Financial assets at fair value through are also recognized as “Financial assets at fair value through amendment, Private Equity investments less than 20%-owned profit or loss”, since managing and measuring these investments on initial recognition at market value, with transaction costs Financial assets at fair value through profit and loss are measured recognized in the income statement.
concession granted by Natixis and financial difficulties contract or by the full or partial refinancing of an existing loan.
between the transaction date and the settlement date when receivables” respectively. When repurchase and reverse these transactions are recognized in “Liabilities” and “Loans and at fair value through profit or loss”, the repurchase commitment repurchase transactions are recognized in “Assets and liabilities is recognized as a forward interest rate derivative.
At each reporting date, Natixis reviews assets classified as loans estimated future cash flows. This generally concerns receivables occurring after initial recognition and having an impact on evidence of impairment arising from one or more events and receivables to determine whether there is any objective requirements for credit institutions. Objective evidence of Article 178 of the EU regulation of June 26, 2013 on regulatory for which an event of default has been identified as defined in observation of difficulties experienced by the counterparty regardless of whether any payment has been missed, the any payments that are past due by at least three months, or impairment, notwithstanding the existence of security, includes may not be recovered.
leading to the expectation that some or all of the amounts owed recoverable amount.
liabilities at fair value through profit or loss” when their market accrued on such instruments is also included on this line.
Cash flow hedging existing or highly probable future transaction. Cash flow hedging is used to hedge future cash flows from an
The main additional Funding Value Adjustments are as follows: Bid/ask adjustment – Liquidity risk player.
Market Data Control Department). Second-level controls are market parameters are validated by an independent unit (the observable data, is used to validate the fair value of instruments. On less liquid markets, other market information, primarily
Costs”. meet the criteria for capitalization set out in IAS 23 “Borrowing registration expenses) as well as borrowing costs when these directly attributable costs (transfer duties, fees, commissions and recorded at their purchase price at the acquisition date, including Property, plant and equipment and investment property are directly attributable to the production and preparation of the includes the related hardware costs, service costs, payroll costs “Intangible assets” at its direct cost of development, which Computer software developed in-house is recognized under criteria for capitalization set out in IAS 23 “Borrowing Costs”. software for use, and borrowing costs when these meet the
Fair value is obtained using a multi-criteria approach based on the comparison with market transactions.
Scrapping or discontinuation of fixed assets under construction property, plant and equipment and intangible assets” on the consolidated income statement.
The expense incurred from the scrapping of a fixed asset is booked to “Depreciation, amortization and impairment of
In accordance with IAS 32, Natixis offsets financial assets and the liability.
the financial statements Use of estimates in preparing 5.23 information that is likely to require expert judgement. These estimates and assumptions constitute sources of uncertainty which may affect the calculation of income and expenses in the income statement, the value of assets and liabilities in the certain estimates and assumptions based on available balance sheet and/or certain disclosures in the notes to the financial statements. As a result, future results of certain operations may differ significantly from the estimates used in the financial statements at December 31, 2016.
Accounting estimates which require assumptions to be made are mainly used to measure the items set out below: Financial instruments recorded at fair value the market.
Deferred taxes with no time limitation in France and the UK or over very long periods (20 years in the US).
As a precaution, Natixis records a net deferred tax asset linked to its ability to generate taxable income over a given period
Book value Amount contractually due at maturity contractually due at maturity
Gross offset amount of of financial Net amount assets in the balance recognized sheet
age of the first missed payment on the balance in question. The breakdown for the period is prepared on the basis of the first
Hedging derivatives Available-for-sale financial assets 3 750 (7) 28 (41) Available-for-sale securities - Equity investments 955 10 28 (28) Other available-for-sale securities 2 775 1 (13)
Goodwill on entities consolidated using the equity method amounted to €27.8 million at December 31, 2015.
(a) Of which €479.9 million in provisions at December 31, 2016 in respect of Madoff net outstandings.
On transactions at the reporting date expired or redeemed or loss - Trading Financial liabilities at fair value through profit
Other financial liabilities under the fair value option through profit or loss 14 79
Transactions carried out in the period Reclassifications in the period consolidation Change in scope adjustments Translation balance
Other financial liabilities under the fair value option through profit or loss 731 4
Assets at fair value through profit or loss - excluding trading derivatives 21 14 9 5 7 61 118
+ Impairment of goodwill 75 0 - Share in income of associates (13) (46)
= Consolidated taxable income/(loss) 2,570 2,603 x Theoretical tax rate 33.33% 33.33%
Held-to-maturity financial assets 0 2,295 0 4 0 0 2,298 profit or loss Financial liabilities at fair value through reserves Insurance companies’ technical
operations: exposure and exposure at default with respect to prudential The reclassification of consolidated accounting volumes as gross
Collateral Total due from banks Loans and receivables agreements) (Excluding repurchase
compensation, employee incentives and profit-sharing for the period, the cost of pensions, other employee benefit obligations rendered, deferred cash-settled or equity-settled variable salaries net of rebilled expenses paid within twelve months of the end of the reporting period in which the services were
The main defined-contribution plans available to Natixis defined-contribution plans. These entities have a single contribution obligation (“PERCO” contribution).
Fair value of plan assets (267) (9) 0 0 (276) (423) (7) 0 0 (430)
Other at start of period Actuarial liabilities in income Changes recorded and reduction o/w plan liquidation plan liquidation out in respect of o/w amounts paid benefits long-term employee adjustments on other Revaluation non-recyclable equity directly in Changes recognized assumptions demographic adjustments - Revaluation financial assumptions adjustments - Revaluation past-experience effect adjustments - Revaluation adjustments Translation at end of period Actuarial liabilities
Total revaluation adjustments at end of period 42 0 42 63 0 63 o/w effect of ceiling on assets (6) 0 (6) (13) 0 (13)
Supplementary pension benefits and other awards End-of-career Long-service awards Other Total g) Main actuarial assumptions at December 31, 2016 The amount of the provision for post-employment defined-benefit plans is calculated on an actuarial basis using a number of demographic and financial assumptions.
Rate of increase in salaries 2,42% 2,39% 4,00% 2,57% 2,41% 4,00%
Natixis entered into a liquidity contract with an independent service provider, and in accordance with the Compliance Charter established with the French Financial Markets Association (Association des Marchés Financiers) on September 23, 2008, approved by the Autorité des Marchés Financiers on October 1, 2008.
Note: in accordance with US tax laws, this goodwill is amortized for tax purposes over 15 years, generating a temporary amortized) and its tax base (amortized over time).
Franck Boyer, Immeuble Exaltis – 61, rue Henri-Régnault –a 92075 La Défense Cedex for Mazars; Neuilly-Sur-Seine Cedex, for PriceWaterhouseCoopers Audit. Jean-Baptiste Deschryver - 63 rue de Villiers 92208a
Pursuant to the article referred to above, the table below specifically provides information linked to net revenues, pre-tax profit, income tax and headcount as at December 31, 2016.
NGAM S.A. Zweignierderlaasung Deutschland Retail FC 100 100 100 100 Germany
Entity absorbed by DNCA Finance during the fourth quarter of 2016.(24)
Advances to banks and customer loans1 and reverse repo stock and securities. They are broken down transactions with credit institutions, including subordinated loans deposits.
thought to be recoverable (including flows from the realization of gross carrying amount of the receivable and the amounts guarantees), discounted at the original effective interest rate for
against any group of assets showing objective evidence of A collective write-down in the balance sheet liabilities is taken subsequently specifically identified as impaired (specific risk), are impairment. Assets belonging to that group, which are in the estimated recoverable cash flows for that group of assets. impairment based on observable data indicating a likely decrease Each group of assets is assessed for objective evidence of economic outlook, banking system situation, etc.). Calculation of rate correlation table.
any phase of construction or installation before they come into attributable transaction costs and borrowing costs accrued during Fixed assets are recognized at acquisition cost plus directly capitalization.
They fall into four categories: plans, top-up contributions and bonuses payable in the 12 contributions, annual leave, employee profit-sharing, incentive which the corresponding services were rendered. months after they are attributed are expensed in the period in
subsidiaries and affiliates” corresponding to the merger losses accounted for as part of the total transfer of assets and liabilities
For these categories of securities, the gross values shown in the “Securities held for sale” and “Securities held for investment” columns are redemption (a) value.
Transfers of securities between categories: There were no transfers of securities between categories in 2015 or 2016.
NATIXIS ALGERIE IMMEUBLE EL KSAR - ZONE D'AFFAIRES MERCURE - LOT 34/35 BAB EZZOUAR 16311 ALGER NL 10,000,002 DZD 10,584,578 DZD 100,00%
The Company recognizes impairment and provisions in order to impairment charges and provisions.
(No. 1) and globally (No. 5), as recognized in the 2016 rankings of the prominent industry publication IJ Global.
Natixis’ SRI research team provides tailored research and services to international investors in both the equities and credit specialized events, etc.
building portfolios in order to prepare a plan for cutting energy consumption by 38% in accordance with the Grenelle assets according to SRI criteria. Six audits were conducted in 2016. AEW Europe also conducted energy audit campaigns on
Alliance Entreprendre (capital development and transmission in in direct investment in unlisted companies: Naxicap Partners and
Management of resource consumption its energy consumption, which is monitored on a monthly basis. water and paper. Each 14001-certified building has a budget for resources used: energy (electricity, heating and cooling utilities), resource management by closely managing the various The Real Estate and Logistics Department ensures optimum several years with the roll-out of various measures: Natixis has optimized the energy consumption of its buildings for a re-lamping policy with the use of LED light bulbs;a installation of motion sensor lighting systems;a temperatures outside the building.
(AlpEnergie’Pure 2015). the terms of its energy supply contract with ENGIE. This energy source is guaranteed by the supplier and certified Since November 2015 Natixis’ buildings run on “green” electricity, i.e. from fully renewable sources of energy, pursuant to
406 REGISTRATION DOCUMENT 2016 - Natixis 2016 key events Fourth “Opinions” survey positive signs that reflect employees’ confidence and pride in being part of Natixis. The survey also indicated progress in from outside France. This level of participation, combined with a high level of optimism (79%) and solid indicators are all responded, representing an overall participation rate to 70%, up three points compared to 2014. 74% of responses were In 2016 Natixis conducted its “Opinions” survey to get feedback from its employees around the world. Over 10,000 people management practices, staff development, and the work environment.
Natixis worldwide Natixis and its subsidiaries* worldwide 18,383 100% 18,208 17,937
Natixis did not record any environmental provisions or significant and do not require a specific follow-up. Considering its business sector, occupational illnesses are not
Part-time staff as a % of total headcount (a) 11.2 11.4 11.3
Resources Department and sponsored by the Senior Management Committee. Its purpose is to improve the quality of life at the workplace, while building on existing initiatives, like financing places at nurseries, subsidizing childcare costs, providing concierge services, rolling out telecommuting, etc.
This framework now rests on: a single consolidated Natixis employee savings plan (PES);a a single supplementary pension plan (PERCO);a a group-wide profit-sharing scheme;a uniform compensation measures;a a group-wide policy on the professional integration anda retention of employees with disabilities; a uniform benefit for children with disabilities;a trade union notification/consultation procedures;a internal transfer and career management opportunities;a actions to promote hiring young people while retaining oldera employees.
In addition to overall agreements, over 55 agreements were signed by Natixis’ French entities in 2016.
Agreement on the social guarantees and support under the plan to migrate the securities custody business of Banque Privée 1818 from Samic to Defi 100 06/30/2016
It is not possible to isolate days of sick leave related to occupational illness.(c)
General training (as a %)a 26.8 25.0 25.1 including Personal and professional efficiency and Human Resourcesa 18.2 - -
Insurance. Reported among concerned FTE, it remains stable between 2015 and 2016 with 7 tons eq. CO2 by FTE. The carbon assessment 2016 is increasing considering an extension of the scope, with the integration of the subsidiary BPCE
For the third year in a row, the Mission Handicap association organized temporary bicycle diagnostics workshops at three Natixis locations (in Paris and Caen) in partnership with the Maurice Pilod ESAT (vocational rehabilitation center). Under the name “Petits vélos de Maurice”, these workshops have employed disabled persons since 2004. Staff were able to bring in their bicycles for a free service.
Principles’ application (see section 6.1.1.4), with close they are included within the framework of the Equatora
In 2016, the transformations of fixed-term contracts under permanent contract were added to the hirings and deducted from the departures.(a)
Measures promoting quality of life at work widely approved by all participating Staff. were organized in the course of the year. These initiatives were Throughout EMEA, “wellness/health days” or “wellness weeks”
providers, fitness providers as well as professional Yoga In Dubai, a “wellness week” was organized where health one.
also plastic packaging. In Madrid, the Branch recycles paper and batteries, and now contracted for a safer and more eco-friendly way of waste In Dubai, a local waste management company has been disposal.
Anti-discrimination measures prevention training and training in ethical and fair treatment in the All newly hired employees in the US must complete harassment measures and describes the procedure for filing complaints. workplace. The compliance manual contains anti-harassment teams based on objective performance criteria.
It should be noted that Building “1251” obtained the LEED gold-level environmental certification for its design and construction. LEED is a North American high-environmental quality building standardization system.
for the approval of the General Shareholders’ I - Agreements and commitments submitted
makes sure in particular that the directors are able to perform He sees to the smooth operation of the Company’s bodies and
referred to in Article 14 below, the Board of Directors must be convened with reasonable notice prior to the scheduled date of enlightened decision.
provide each director with all the documents and information necessary for the performance of his duties.
In addition to the operations referred to by law and12.2 subject to the prior approval of the Board of Directors.
The Board of Directors determines the compensation and term in office of the Chief Executive Officer, which shall not exceed that
The Ordinary General Shareholders’ Meeting may appoint one or re-elected and may be dismissed by the General Shareholders’ Meeting.
within the deadlines determined by law, are entitled to request, by registered mail with acknowledgment of receipt, or by e-mail,
Scrutineers’ duties are performed by the two attending shareholders holding the highest number of shares who accept regulations in force. General Shareholders’ Meetings vote on the quorum and majority conditions stipulated by law.
All shareholders are entitled to receive, on the conditions and on the dates stipulated by law, the documents necessary to enable regulations.
held annually, hears the report on the Company’s business drafted by the Board of Directors and presented by its Chairman,
The annual dividends are paid at the dates established by the Board of Directors within a period of nine months following the close of the fiscal year.
The Combined General Shareholders Meeting of May 24, (19th and 20th resolutions) authorized the Board of Directors, for a following conditions: 38-month period, to carry out one or more free share grants to the employees and directors of Natixis and its affiliates under the for executive corporate officers. Permanent allocation is contingent on satisfying a performance requirement; share capital at the date of the Board of Directors’ decision to award the shares, with a sub-limit of 0.03% of the share capital
Free share award plans of €144 through the issuance of 90 new shares, each with a par value of €1.60.
Shareholders’ Meeting of May 24, 2016, 19th resolution, resolved to award 151,283 free performance shares to the
for the single tranche of the total free share grant of 90 shares to the CEO, as resolved by the Board of Directors on November 6,
Officer of Natixis acknowledged that the number of shares to be issued to the beneficiaries of the 2012 Plan came to 395,546
The Chief Executive Officer then acknowledged the issuance of aforementioned plans, and amended the by-laws accordingly (Article 3: Share Capital).
Mauve employee share ownership plan rights reserved for members of employee savings plans granted by the Combined General Shareholders’ Meeting of ruled on the principle governing the use of the authorization on capital increases with waiving of preferential subscription ceiling of €50,000,000, representing a maximum of 31,250,000 shares. In order to implement the Mauve 2016 offer, the Board
In a ruling made on June 27, 2016, the Chief Executive Officera of Natixis set the subscription/withdrawal period for the
Company's share capital months None None 5/19/2015 13 preferential subscription rights maintained – of shares and/or
To carry out a capital increase, through the issuance – with holders to the allotment of debt securities.
None None 5/19/2015 19 reserved for members of employee savings plans without preferential
Options held in respect of the issuer and the companies referred to above, exercised during the period, by the 10 salaried employees of the issuer and of these companies 0 n/a n/a 0 n/a n/a
At December 31, 2016, the percentage of the capital owned by Natixis employees was 2.35%, of which: 0.90% was held through capital increases reserved for employees;a 0.76% was held outside of employee savings plans by employees and former employees;a 0.69% was held under the BPCE Actions Natixis employee share ownership plan, including bearers of Groupe BPCE shares;a
Natixis S.A. and the subsidiaries of its Corporate & Investment Banking, Investment Solutions & Insurance and Specialized Financial Services business units (excluding equity interests)
Resolution four concerns the approval of related-party agreements pursuant to Articles L.225-38 et seq. of the French Commercial Code, authorized by the Board of Directors during the 2016 fiscal year and until the Board of Directors’ Meeting of agreement: Since the beginning of the 2017 fiscal year, only one agreement was approved by the Board of Directors as a related party ensure data is securely migrated.
Components of compensation due or granted in respect of the fiscal year ended December 31, 2016 to Laurent Mignon, Chief Executive Officer of Natixis which concludes with the AFEP-Medef summary table submitted to an advisory vote by the shareholders.
In addition, with the goal of strengthening alignment with shareholders’ interests over time, the Chief Executive Officer is also eligible to receive performance shares under long-term
The overall par-value ceiling for these capital increases should not exceed €1.5 billion, which breaks down into a par-value sub-ceiling of €1.5 billion for capital increases with preferential subscription rights and a par-value sub-ceiling of €500 million (i.e. approximately 10% of capital) for capital increases without
and the regulations, a supplementary report describing the final time of its decision, if necessary and in accordance with the law situation of the holders of the capital stock or securities providing conditions of the transaction and indicating its impact on the it by your General Shareholders’ Meeting, it will establish, at the If the Board of Directors makes use of an authority delegated to delegation of authority granted for the same purpose.
Generally, honoring obligations a or other share awards to related to stock option programs of the issuer or of a related employees or directors company to securities granting rights exercising rights attached to capital*
Any other goal authorized a by law or regulations in effect. or that may be authorized that exceeds 10% a number of shares of its share capital to this meeting by transactions adjusted subsequent affecting it may at no time hold Your Company a or subsequently with a view to hold tender them share capital exceed 5% if the with a merger, in connection transfer may not spinoff or asset of shares acquired The number a contracts, the 10%
to capital Securities giving access Characteristics of securities likely to be issued on the basis of resolutions fourteen to twenty: accordance with the law, equity instruments convertible or transformable into debt securities such as "OCEANEs" (bonds convertible into new shares or exchangeable for existing shares); redeemable in shares, or bonds with share warrants, or through the delivery of existing shares stock including equity securities such as equity coupled with stock options. However, in these securities may take the form of either debt securities as in the examples above, or capital may not be issued.
Code). The paying establishment will collect the non-definitive residents for tax purposes in France that have applied for an General Tax Code, except from individual beneficiaries who are gross amount received (Article 158-3-2 of the French General Tax tax scale, and will be eligible for an allowance of 40% of the dividends were distributed: In accordance with legal provisions, the shareholders hereby note that for the three fiscal years prior to fiscal year 2016, the following
The General Shareholders’ Meeting, deliberating in accordance of Catherine Pariset as Director) Resolution ten (Approval of the co-opting remainder of her term of office, i.e. until the end of the General replace Laurence Debroux, who resigned, to serve out the statements for the year ended December 31, 2018. Shareholders’ Meeting convened in 2019 to approve the financial with the quorum and majority requirements for ordinary the Board of Directors on December 14, 2016, as Director, to business, hereby ratifies the co-opting of Catherine Pariset by
authority granted to it herein: authorized in the event that the Board of Directors uses the where appropriate, to an overall ceiling established under the fourteen submitted to the shareholders at this meeting or, same kind of resolution which may supersede said resolution carried out or liable to be carried out in future under this understanding that the par value ceiling on capital increases the overall ceiling established in paragraph 3 of resolution delegation of authority will be applied against the amount of valid, during the period in which this delegation of authority remains the par value ceiling on capital increases liable to be carriedj authority is set at five hundred (500) million euros, with the out immediately or in the future under this delegation of submitted to the shareholders at this meeting is set at five of authority and under resolutions sixteen and seventeen hundred (500) million euros, carried out immediately or in the future under this delegation the overall par value ceiling on capital increases liable to bej transactions, to safeguard the rights of holders of securities value of shares to be issued, in the event of new financial these ceilings will be supplemented as necessary by the parj giving access to the Company's capital; resolution shall be valid for twenty-six (26) months from the Resolves that the delegation of authority granted under this5)
preference shares; ends; use this delegation of authority once a third party has filed a previously authorized by the General Shareholders' Meeting, prohibition shall stand until the public tender offer period public tender offer to purchase the Company's shares. This
giving access to the capital or entitling holders delegation of authority granted for the same purpose, i.e. any delegation allowing the issuance of shares or securities resolution sixteen of the Combined General Shareholders’ Meeting of May 19, 2015.
Resolution eighteen (Delegation of authority to the Board of Directors to decide whether
Authorizes the Board of Directors to grant, free of charge, to4) the above-mentioned beneficiaries, in addition to shares or
In our capacity as your Company’s Statutory Auditors, we hereby submit our report on related-party agreements and
within 90 days of their settlement & delivery from USD 2 billion to USD 3 billion. Furthermore, BPCE may loan securities to agreement, namely: raising the total maximum nominal amount 2014 the amendment to this agreement the purpose of which is to alter the sub-ceilings provided for in Article 4 of the
Board, Member of the Natixis Board of Directors. Mr. de la Porte du Theil, Member of the BPCE Management
As the premium was immediately recognized in the balance sheet, its revaluation led to the recording of an expense amounting to €22,823,987.00 for the 2016 fiscal year.
in the 2016 fiscal year amounted to €701,321.00. The income recognized in respect of the activation of guarantees and Banque Palatine
In the case of joint and several guarantees entered into with CDC
The global offering was underwritten by a group of financial institutions: capacity of global coordinators (“the Global Coordinators”); and headed by Natixis and J.P. Morgan Securities Ltd in thea
Furthermore, we were notified of the execution, in the previous fiscal year, of the following agreements and commitments,
that of other members of the BPCE Management Board. This agreement was approved by the May 24, 2016 General
Art. 442 d), e) and f) NX05 - EAD by geography and by exposure class Table 11 43
Article 446 operational risk management (BCBS) ORA – General qualitative data on 10. Operational risk 112-115 155-158 calculation (BCBS) OR1 – Historical losses used for SMA Table 59 114
Table 14 : (NX18): EAD by credit risk mitigation technique 45
Table 29 : (EU CR6): IRB – Credit risk exposures by portfolio and PD range 68
Table 38 : (EU CCR2): Credit valuation adjustment (CVA) capital charge 80
Securitization Table 39 : (NX33 BIS): Banking book EAD by agency 83
Table 50 : (EU MR2-A): Market risk under internal models approach 93
A portion of a loan issued in the form of an exchangeable security. For a given issue, a bond
ELBE the defaulted exposure. This estimate takes into account current economic circumstances, exposure status and an estimate of the increase of the loss rate caused by possible additional
Haircut The percentage by which a security's market value is reduced to reflect its value under a stressed environment (counterparty risk or market stress). The size of the haircut reflects the perceived risk.
parameters, from the volatility of these parameters or from the correlations between these
Mark-to-market on its market price. A valuation method whereby a financial instrument is appraised at fair value based
regulation of the insurance industry, ORSA is an internal process undertaken by the institution to assess risk and solvency. It must show its ability to identify measure and manage factors
Pillar I Pillar I sets minimum requirements for capital. It aims to ensure that banking institutions hold requirement. operational risk. The bank can use standardized or advanced methods to calculate its capital sufficient capital to provide a minimum level of coverage for their credit risk, market risk and
Economy and socially innovative companies. Active receives solidarity-based savings and invests them in the Social and Solidarity-Based Société d’Investissement France Active - The investment company through which France
contingent on the payment of a dividend or the achievement of a specific result. repaid after other creditors (subordinated loans). These securities pay annual interest redemption commitment that pay interest in perpetuity. In the event of liquidation, they are Titres supersubordonnés/deeply subordinated notes, i.e. perpetual bonds with no contractual
Value at risk (VaR) the entity performing the calculation to appraise the maximum losses liable to be incurred on A measure of market risk on a bank's trading book expressed as a monetary value. It allows involved are meant to be unwound within several days). 95% or 99%) and a specific time frame (in practice, one day or 10 days, as the trading positions its trading book. A statistical variable, VaR is always assigned a confidence interval (generally