Table of contents 1 KEY FIGURES 3 Introduction 3 2 GOVERNANCE AND RISK MANAGEMENT ORGANIZATION 11 2.1 Governance 12 2.2 Risk management framework 13 2.3 Risk culture 13 2.4 Risk appetite 14 2.5 Risk typology 15 2.6 Risk factors 17 2.7 Stress tests 24 3 RISKS AND CAPITAL ADEQUACY 25 3.1 Regulatory framework 26 3.2 Prudential consolidation scope 27 3.3 Composition of capital 29 3.4 Changes in regulatory capital, regulatory own funds requirements and ratios in 2016 34 3.5 Capital planning 38 3.6 Other regulatory ratios 38 4 CREDIT AND COUNTERPARTY RISKS 39 4.1 Credit and counterparty risks 40 5 CREDIT RISKS 47 5.1 Credit risk control organization 48 5.2 Credit policy 48 5.3 Credit risk monitoring framework 49 5.4 Credit risk mitigation techniques 50 5.5 Credit risk exposures 54 5.6 Credit risk: standardized approach 59 5.7 Credit risk: internal ratings-based approach 62 6 COUNTERPARTY RISKS 73 6.1 Counterparty risk management 74 6.2 Counterparty risk exposure 75 6.3 Credit valuation adjustment (CVA) capital charge 80 7 SECURITIZATION 81 7.1 Accounting methods 82 7.2 Management of risks related to securitization transactions 82 7.3 Natixis’ securitization exposures 84 7.4 Capital requirements 86 8 MARKET RISKS 87 8.1 Framework for managing market risk 88 8.2 Independent valuation control 88 8.3 Methodology for measuring market risk 90 8.4 Detailed quantitative information 92 9 OVERALL INTEREST RATE, LIQUIDITY, STRUCTURAL FOREIGN EXCHANGE RISKS 95 9.1 Governance and structure 96 9.2 Management of liquidity and funding risk 97 9.3 Structural foreign exchange risk 104 9.4 Overall interest rate risk 105 9.5 Other information 107 10 OPERATIONAL RISKS 111 10.1 Targets and policy 112 10.2 Organization 112 10.3 Operational risk monitoring 113 10.4 Risk profile 115 10.5 Operational risk insurance 115 11 COMPLIANCE AND REPUTATIONAL RISK, LEGAL RISK 117 11.1 Compliance and reputational risk 118 11.2 Legal risk 121 12 INFORMATION ON REMUNERATION 12.1 Description of the compensation policy at 125 Natixis 126 12.2 Decision-making process used to define the compensation policy 126 12.3 Compensation of employees whose professional activities have a material impact on Natixis’ risk profile (“regulated” categories of staff) 129 12.4 Compensation for members of management bodies 131 13 OTHER RISKS 13.1 At-risk exposures 13.2 Risks related to insurance activities 13.3 Strategy risks 13.4 Climate risks 13.5 Environmental and social risks 145 146 148 151 152 152 14 APPENDIX 153 Appendix 1: Transition from the accounting balance sheet to the prudential balance sheet at December 31, 2016 154 Appendix 2: Issuance of capital instruments at December 31, 2016 156 Appendix 3: Leverage ratio common disclosure template (LR2) 164 Appendix 4: Table index 165 Appendix 5: Cross-reference tables 167 Appendix 6: Glossary 171
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