BPCE - 2018 Risk report / Pillar III

APPENDICES Glossary

Acronyms FBF

Fédération Bancaire Française (French Banking Federation), a professional body representing all banking institutions in France

FCPR FGAS

Fonds Commun dePlacement à Risque/ Venturecapital investment fund

Fonds de Garantie à l’Accession Sociale /French state guarantee fund forsubsidized loans

FINREP

FINancialREPorting

F-IRB

Foundation IRB approach

TheFinancialStabilityBoard,whosemandate is to identifyvulnerabilities in the globalfinancialsystemandto implementprinciples for regulation and supervision in the interestof financialstability.Its membersare centralbankgovernors,financeministersand supervisors from theG20 countries

FSB

GAPC

Gestion Active des Portefeuilles Cantonnés /Workout portfolio management

Global SystemicallyImportant Banks are financial institutionswhose distressor failure, becauseof their size, complexityand systemicinter-dependence, wouldcausesignificantdisruptionto the financialsystemand economicactivity.These institutions meetthe criteriaestablishedby the BaselCommitteeand are identifiedin a list publishedin November 2011 and updatedevery year. Theconstraintsapplicable toG-SIBsincreasewiththeirlevel of capital

G-SIBs HQLA

High-Quality Liquid Assets

IARD

Incendie, Accidents et Risques Divers /p opertyand casualty Insurance

IAS

InternationalAccounting Standards InternationalAccounting Standards Board

IASB

InternalCapitalAdequacyAssessmentProcess:a processrequiredunderPillar IIof the BaselAccordsto ensurethat firmshave sufficientcapitalto cover all theirisks

ICAAP

IFRS

InternationalFinancialReportingStandards

IRB

Internal-Ratings Based,an approach to capital requirements based on the financial institution’s internalratingsystems

IncrementalRisk Charge:thecapitalrequirement for an issuer’screditmigrationanddefaultrisks,coveringa periodof oneyearfor fixedincomeand loan instruments in the tradingbook(bondsandCDSs).The IRC is a 99.9%value-at-riskmeasurement; i.e. the greatest risk obtained aftereliminating the0.1% worst-case scenarios

IRC

IS

Information System LoansandReceivables

L&R LBO

Leveraged Buyout

LiquidityCoverageRatio:a measurement introduced to improvethe short-termresilienceof banks’liquidityrisk profiles.The LCR requiresbanksto maintaina reserveof risk-freeassetsthat can be convertedeasilyinto cashon themarketin orderto coverits cash outflowsminuscash inflowsover a 30-day stressperiodwithoutthesupport of central banks Loan-to-Deposit ratio,i.e. a liquidityindicatorthatenablesa creditinstitutionto measure its autonomywithrespectto the financial markets MaximumDistributableAmount,a newprovision for banksplacingrestrictionson theirdividend,AT1couponandbonuspayments (undera rulethattightensrestrictionsas banksdeviatefromtheirrequirements), if thecapitalbuffersarenotmet.As thesebuffers are on top of Pillars I and II, they apply immediately if the bankfails tocomplywiththecombined requirements LossGivenDefault,a Basel IIcreditrisk indicator corresponding to loss in theeventof default

LCR LGD

LTD

MDA

MREL

Minimum Requirement forwnfunds andEligible Liabilities

MTN NPE NRE

Medium TermNote

Non-Performing Exposure

Loi sur lesNouvelles Réglementations Economiques /New Economic RegulationsAct

Net StableFundingRatio: this ratio is intendedto strengthenthe longer-termresilienceof banksthroughadditionalincentives meantto encouragebanksto financetheir operationsusingmorestructurallystableresources.This long-termstructuralliquidity ratio, applicable to a one-year period, was formulated to provide a viable structure for assetandliabilitymaturities

NSFR

OFR

Own FundsRequirements: i.e. 8%of risk-weighted assets (RWA) Obligations de financement de l’Habitat /Housing financing bond

OH

Own RiskandSolvencyAssessment.As partof Europeaneffortsto reformprudential regulationof the Insurance industry, ORSA is an internalprocess undertakenby the institutionto assessrisk and solvency.It must show its ability to identify,measureand manage factors liableto havean impact on its solvency or financialposition

ORSA

PD

Probability of Default, i.e. the likelihood thata counterparty of the bankwill default within a one-yearperiod

RMBS

See securitization

RSSI

Responsable de la Sécurité des Systèmes d’Information /Head of information system security

Risk-WeightedAssets.The calculationof credit risks is further refined using a more detailedrisk weightingthat incorporates counterparty default risk anddebtdefaultrisk

RWA S&P SCF SEC

Standard & Poor’s

Société deCrédit Foncier /a French covered bond issuer

US Securities and Exchange Commission

Socama

Sociétésde Cautionnement Mutuel Artisanales /Mutual Guarantee Companies for smallbusinesses

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Risk Report Pillar III 2018