BPCE - 2019 Universal Registration Document

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ADDITIONAL INFORMATION

GLOSSARY

Acronyms

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) OH Obligations de financement de l’habitat /Housing financing bond 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 PLI Prêt locatif intermédiaire /Loan for investment in property to be rented at prices above “social” housing prices but below market prices for 6 (or 12) years PLS Prêt locatif social /Loan for the acquisition of property intended for low-income rental PSLA Prêt social location-accession /Loan for property rent+buy schemes for low-income families PTZ Interest-free loan RMBS See securitization ROE Return on Equity: net income (excluding returns on hybrid securities recognized as equity instruments) divided by shareholders’ equity (restated for hybrid securities), used to measure the profit generated on capital. RSP Retirement Savings Plan (plan d’épargne retraite populaire). RSSI Responsable de la sécurité des systèmes d’information /Head of information system security RTT Réduction du temps de travail /Reduction of working time RWA 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 Standard & Poor’s SCF Société de crédit foncier /a French covered bond issuer SCPl Société civile de placement immobilier /Real estate investment trust SEC US Securities and Exchange Commission SEPA Single Euro Payments Area SFS Specialized Financial Services SME Small and medium-sized enterprises SMI Small and medium-sized industries 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. SRF Single Resolution Fund SRI Socially Responsible Investment SRM Single Resolution Mechanism SRM Single Resolution Mechanism: an EU-level system to ensure an orderly resolution of non-viable banks with a minimal impact on taxpayers and the real economy. The SRM is one of the pillars of the European Banking Union and consists of an EU-level resolution authority (Single Resolution Board – SRB) and a common resolution fund financed by the banking sector (Single Resolution Fund – SRF). SSM Single Supervisory Mechanism SVaR Stressed Value at Risk: the SVaR calculation method is identical to the VaR approach (historical or Monte Carlo method, scope – position – risk factors – choices and modeling – model approximations and numerical methods identical to those used for VaR) and involves a historical simulation (with “one-day” shocks) calculated over a one-year stressed period, at a 99% confidence level scaled up to 10 days. The goal is to assess the impacts of stressed scenarios on the portfolio and current market levels. T1/T2 Tier 1/Tier 2 capital TLAC Total Loss Absorbing Capacity: a ratio applicable to G-SIBs that aims to ensure that each G-SIB has the capacity to continue its essential operations for the economy even after a loss has consumed all of its capital. In November 2015, the FSB published the final TLAC calibration: all TLAC-eligible instruments will have to be equivalent to at least 16% of risk-weighted assets at January 1, 2019 and at least 6% of the leverage ratio denominator. TLAC will subsequently have to be equivalent to 18% of risk-weighted assets and 6.75% of the leverage ratio denominator from January 1, 2022. TRS Total Return Swap, i.e. a transaction whereby two parties exchange the income generated and any change in value on two different assets over a given time period. TSS Titres supersubordonnés /deeply subordinated notes, i.e. perpetual bonds with no contractual redemption commitment that pay interest in perpetuity. In the event of liquidation, they are repaid after other creditors (subordinated loans). These securities pay annual interest contingent on the payment of a dividend or the achievement of a specific result. TUP Transmission universelle de patrimoine /Total transfer of assets and liabilities VaR Value at Risk: a measurement of market risk on a bank’s trading book expressed as a monetary value. It allows the entity performing the calculation to appraise the maximum losses liable to be incurred on its trading book. A statistical variable, VaR is always associated with a confidence interval (generally 95% or 99%) and a specific time frame (in practice, one day or 10 days, as the trading positions involved are meant to be unwound within a few days).

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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