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

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