BPCE - 2019 Universal Registration Document

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ADDITIONAL INFORMATION

GLOSSARY

Key technical terms

An organization that specializes in assessing the creditworthiness of issuers of debt securities, i.e. their ability to honor their commitments (repayment of capital and interest within the contractual period). The securitization of an exposure that is already securitized where the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitization position. Level of risk, expressed through quantitative or qualitative criteria, by type of risk and business line, that the Group is prepared to accept given its strategy. The risk appetite exercise is one of the key strategic oversight tools available to the Group’s management team. A transaction whereby credit risk on loan receivables is transferred to investors by an entity through the issuance of negotiable securities.This may involve the transfer of receivables (physical securitization) or the transfer of risks only (credit derivatives). Some securitization transactions are subordinated through the creation of tranches: ABS – Asset-Backed Securities, i.e. instruments representing a pool of financial assets (excluding mortgage loans), whose • performance is linked to that of the underlying asset or pool of assets; CDOs – Collateralized Debt Obligations, i.e. debt securities backed by a pool of assets which can be either bank loans (mortgages) or • corporate bonds. Interest and principal payments may be subject to subordination (i.e. through the creation of tranches); CLOs – Collateralized Loan Obligations, i.e. credit derivatives backed by a homogeneous pool of commercial loans; • CMBS – Commercial Mortgage-Backed Securities • RMBS – Residential Mortgage-Backed Securities, i.e. debt securities backed by a pool of assets consisting of residential mortgage • loans; Bank acting as originator: the securitization exposures are the retained positions, even where not eligible for the securitization • framework due to the absence of significant and effective risk transfer; Bank acting as investor: investment positions purchased in third-party deals; • Bank acting as sponsor: a bank is considered a “sponsor” if it, in fact or in substance, manages or advises the program, places • securities into the market, or provides liquidity and/or credit enhancements. The program may include, for example, asset-backed commercial paper (ABCP) conduit programs and structured investment vehicles. The securitization exposures include exposures to ABCP conduits to which the bank provides program-wide enhancements, liquidity and other facilities An equity security issued by a corporation, representing a certificate of ownership and entitling the holder (the “shareholder”) to a proportional share in the distribution of any profits or net assets, as well as a voting right at the Annual General Shareholders’ Meeting. An approach used to determine capital requirements relative to credit risk, pursuant to Pillar I of Basel II. Under this approach, the risk weightings used when calculating capital requirements are determined by the regulator. The risk of losses or impairment on assets arising from changes in interest rates or exchange rates. Structural interest rate and foreign exchange risks are associated with commercial activities and proprietary transactions. An agreement between two counterparties to exchange different assets, or revenues from different assets, until a given date.

Rating agency

Resecuritization

Risk appetite

Securitization

Share

Standardized approach Structural interest rate and exchange rate risk

Swap

Tier 1 capital Tier 2 capital

Core capital including the financial institution’s consolidated shareholders’ equity minus regulatory deductions. Supplementary capital mainly consisting of subordinated securities minus regulatory deductions.

Total capital ratio

Ratio of regulatory capital (Tier 1 and 2) to risk-weighted assets (RWA).

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

www.groupebpce.com

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