BPCE - 2018 Risk report / Pillar III

14 APPENDICES Glossary

Acronyms

SupervisoryReviewandEvaluation Process: Methodology for assessingandmeasuring therisksfor eachbank.SREPgivestheprudentialauthoritiesa setof harmonized tools to analyzea bank’srisk profilefromfour differentangles:businessmodel,governanceand risk management, risk to capital,and risk toliquidityand funding. The supervisorsends the bank the SREP decisionsat the end of the processand sets key objectives.The bank must then “correct” these within a specific time SingleResolutionMechanism:an EU-levelsystemto ensurean orderlyresolutionof non-viablebankswith a minimalimpacton taxpayersand thereal economy.The SRM is one of the pillars of the EuropeanBankingUnion and consistsof an EU-level resolutionauthority(Single ResolutionBoard – SRB) and a commonresolutionfund financedby the bankingsector (Single Resolution Fund – SRF) StressedValue at Risk:the SVaRcalculationmethodis identicalto the VaRapproach(historicalor MonteCarlomethod,scope– position– risk factors– choicesand modeling– modelapproximations and numericalmethodsidenticalto thoseused for VaR) and involves a historicalsimulation (with“one-day”shocks)calculatedovera one-yearstressedperiod,at a 99%confidence level scaled up to10days. The goal is to assess the impacts of stressed scenarios on the portfolio and currentmarketlevels TotalLossAbsorbingCapacity:a ratioapplicableto G-SIBsthat aimsto ensurethat eachG-SIBhas the capacityto continueits essentialoperations for the economyevenaftera losshas consumedall of its capital.In November 2015, the FSBpublishedthe finalTLAC calibration:all TLAC-eligible instrumentswill haveto be equivalento at least16%of risk-weighted assetsat January 1, 2019and at least 6% of the leverageratio denominator.TLACwill subsequentlyhave to be equivalentto 18%of risk-weighted assetsand 6.75%of theleverageratio denominator f omJanuary 1,2022 Total Return Swap, i.e. a transactionwherebytwo parties exchangethe incomegeneratedand anychange in value on two differentassets overa giventimeperiod i.e. perpetualbondswith no contractualredemptioncommitmenthat pay interestin perpetuity.In the eventof liquidation,they are repaidafter other creditors(subordinated loans).Thesesecuritiespay annualinterestcontingenton thepaymentof a dividend or the achievement of a specific result Value at Risk: a measurementof market risk on a bank’s trading book expressedas a monetaryvalue. It allows the entity performingthe calculationto appraisethe maximum lossesliableto be incurredon its tradingbook.A statisticalvariable,VaR is alwaysassociatedwitha confidence interval(generally95%or 99%)anda specifictimeframe(in practice,onedayor 10 days,as thetrading positions involved are meant to be unwound within a few days) Single Resolution Fund Single Supervisory Mechanism Tier 1/Tier 2capital Titressupersubordonnés /Deeplysubordinatednotes,

SREP

SRF

SRM SSM

SVaR T1/T2

TLAC

TRS

TSS

VaR

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Risk Report Pillar III 2018