NATIXIS -2020 Universal Registration Document

LEGAL AND GENERAL INFORMATION Glossary

Acronym/Term

Definition

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, 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.

Transformation risk

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

Value at Risk (VaR)

A measure of market risk on a bank’s trading book expressed as a monetary value. It allows the entity performing the calculation to appraise the maximum losses liable to be incurred on its trading book. A statistical variable, VaR is always assigned a confidence interval (generally 95% or 99%) and a specific time frame (in practice, one day or 10 days, as the trading positions involved are meant to be unwound within a few days). A measurement of the magnitude of an asset’s price fluctuation and thus a measurement of its risk. Volatility corresponds to the standard deviation of the asset’s immediate returns over a given period.

Volatility

VSE

Very small enterprises

WWR

Wrong-way risk

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020