BPCE - 2019 RISK REPORT Pillar III

APPENDICES

GLOSSARY

Acronyms FINREP

FINancial REPorting

F-IRB

Foundation IRB approach

FSB

The Financial Stability Board, whose mandate is to identify vulnerabilities in the global financial system and to implement principles for regulation and supervision in the interest of financial stability. Its members are central bank governors, finance ministers and supervisors from the G20 countries

GAPC G-SIBs

Gestion active des portefeuilles cantonnés /Workout portfolio management

Global Systemically Important Banks are financial institutions whose distress or failure, because of their size, complexity and systemic inter-dependence, would cause significant disruption to the financial system and economic activity. These institutions meet the criteria established by the Basel Committee and are identified in a list published in November 2011 and updated every year. The constraints applicable to G-SIBs increase with their level of capital

HQLA IARD

High-Quality Liquid Assets

Incendie, accidents et risques divers /property and casualty Insurance

IAS

International Accounting Standards International Accounting Standards Board

IASB

ICAAP

Internal Capital Adequacy Assessment Process: a process required under Pillar II of the Basel Accords to ensure that firms have sufficient capital to cover all their risks.

IFRS

International Financial Reporting Standards

IRB IRC

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

Incremental Risk Charge: the capital requirement for an issuer’s credit migration and default risks, covering a period of one year for fixed income and loan instruments in the trading book (bonds and CDSs). The IRC is a 99.9% Value at Risk measurement; i.e. the greatest risk obtained after eliminating the 0.1% worst-case scenarios

IS

Information System Loans and Receivables

L&R LBO LCR

Leveraged Buyout

Liquidity Coverage Ratio: a measurement introduced to improve the short-term resilience of banks’ liquidity risk profiles. The LCR requires banks to maintain a reserve of risk-free assets that can be converted easily into cash on the market in order to cover its cash outflows minus cash inflows over a 30-day stress period without the support of central banks

LGD LTD

Loss Given Default, a Basel II credit risk indicator corresponding to loss in the event of default

Loan-to-Deposit ratio, i.e. a liquidity indicator that enables a credit institution to measure its autonomy with respect to the financial markets Maximum Distributable Amount, a new provision for banks placing restrictions on their dividend, AT1 coupon and bonus payments (under a rule that tightens restrictions as banks deviate from their requirements), if the capital buffers are not met. As these buffers are on top of Pillars I and II, they apply immediately if the bank fails to comply with the combined requirements

MDA

MREL MTN

Minimum Requirement for own funds and Eligible Liabilities

Medium Term Note

NPE NRE

Non-Performing Exposure

Loi sur les nouvelles réglementations économiques /New Economic Regulations Act

NSFR

Net Stable Funding Ratio: this ratio is intended to strengthen the longer-term resilience of banks through additional incentives meant to encourage banks to finance their operations using more structurally stable resources. This long-term structural liquidity ratio, applicable to a one-year period, was formulated to provide a viable structure for asset and liability maturities

OFR

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

OH

ORSA

Own Risk and Solvency Assessment. As part of European efforts to reform prudential regulation of the Insurance industry, ORSA is an internal process undertaken by the institution to assess risk and solvency. It must show its ability to identify, measure and manage factors liable to have an impact on its solvency or financial position

PD

Probability of Default, i.e. the likelihood that a counterparty of the bank will default within a one-year period

RMBS

See securitization

RSSI RWA

Responsable de la sécurité des systèmes d’information /Head of Information System Security

Risk-Weighted Assets. The calculation of credit risks is further refined using a more detailed risk weighting that incorporates counterparty default risk and debt default risk

S&P SCF SEC

Standard & Poor’s

Société de crédit foncier /a French covered bond issuer

US Securities and Exchange Commission

Socama

Sociétés de cautionnement mutuel artisanales /Mutual Guarantee Companies for small businesses

SREP

Supervisory Review and Evaluation Process: Methodology for assessing and measuring the risks for each bank. SREP gives the prudential authorities a set of harmonized tools to analyze a bank’s risk profile from four different angles: business model, governance and risk management, risk to capital, and risk to liquidity and funding. The supervisor sends the bank the SREP decisions at the end of the process and sets key objectives. The bank must then “correct” these within a specific time.

SRF

Single Resolution Fund

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RISK REPORT PILLAR III 2019 | GROUPE BPCE