NATIXIS_PILLAR_III_2017_EN
Summary 1 KEY FIGURES
8 MARKET RISK
3
99
Introduction
3
Framework for managingmarket risk 8.1 Independent valuation control 8.2 Methodology for measuringmarket risk 8.3 Detailed quantitative information 8.4
100 100 102 104
2 GOVERNANCE AND RISK MANAGEMENT ORGANIZATION
11
9 OVERALL INTEREST RATE,
Governance 2.1
12 13 13 14 16 18 27
LIQUIDITY AND STRUCTURAL FOREIGN EXCHANGE RISKS
Risk management framework 2.2
107 108 109 116 117 119 124 124 125 127 127 130 131 131 132 133 134 123 129 135
Risk culture 2.3 Risk appetite 2.4 Risk typology 2.5 Risk factors 2.6 Stress tests 2.7
Governance and structure 9.1
Management of liquidity and funding risk 9.2
Structural foreign exchange risk 9.3
Overall interest rate risk 9.4 Other information 9.5
3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY
10 OPERATIONAL RISKS
29
Regulatory framework 3.1
30 31 36 44 48 49
Targets and policy 10.1
Prudential consolidation scope 3.2
Organization 10.2
Composition of capital 3.3
Operational risk monitoring 10.3
Changes in regulatory capital, regulatory own 3.4 fund requirements and ratios in 2017
Risk profile 10.4
Operational risk insurance 10.5
Capitalplanning 3.5
11 NON-COMPLIANCE RISK
Other regulatory ratios 3.6
4 CREDIT RISK AND
Organization of compliance 11.1
Employeesand professional ethics 11.2
COUNTERPARTY RISK
51
Customerprotection 11.3 Financial security 11.4
Credit and counterparty risks 4.1
52
5 CREDIT RISK
IT SystemsSecurity and Business Continuity 11.5
57
Personaldata protection 11.6
12 LEGAL RISKS
Credit risk control organization 5.1
58 58 59 60 64 69 72
Credit policy 5.2
Legal and arbitration proceedings 12.1
136 138
Credit risk monitoring framework 5.3 Credit risk mitigation techniques 5.4
Situationof dependency 12.2
13 OTHER RISKS
Credit risk exposures 5.5
139
Credit risk: standardized approach 5.6 Credit risk: internal ratings-based approach 5.7
At-risk exposures 13.1
140 143 146 147 147
6 COUNTERPARTY RISK
Risksrelatedto insurance activities 13.2
83
Strategyrisk 13.3 Climate risk 13.4
Counterparty riskmanagement 6.1 Counterparty risk exposure 6.2
84 85 91
Environmental and socialrisks 13.5
14 APPENDIX
Capitalrequirements and risk-weighted assets 6.3
149
7 SECURITIZATION
93
Appendix 1: Transition from the accounting balance sheet to the prudential balance sheet at December 31, 2017 Appendix 2: Issuance of capital instruments at December 31, 2017 Appendix 3: Leverage ratio common disclosure template (LR2)
Accountingmethods 7.1
94
150
Management of risks related to securitization 7.2 transactions
94 96 98
152
Natixis’ securitization exposures 7.3 Regulatory capital requirements 7.4
160 161 163 167
Appendix 4: Table index
Appendix 5: Cross-reference tables
Appendix 6: Glossary
Made with FlippingBook flipbook maker