BPCE - 2020 Universal Registration Document

ADDITIONAL INFORMATION

GLOSSARY

Acronyms

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.

G-SIBs HQLA

High-Quality Liquid Assets

IARD IASB

Incendie, accidents et risques divers /property and casualty Insurance

International Accounting Standards Board

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.

ICAAP

IFRS

International Financial Reporting Standards

Internal Liquidity Adequacy Assessment Process: Process provided for in Pillar II of the Basel Accords through which the Group ensures the adequacy of its liquidity level and its management with regard to all its liquidity risks

ILAAP

IRB

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

IRBA IRBF

Advanced IRB approach Foundation IRB approach

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.

IRC

IS

Information System Loans and Receivables

L&R LBO

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.

LCR 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 NPL

Non-Performing Exposure

Non-Performing Loan

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.

NSFR

OFR

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

OH 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

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

RWA

S&P SCF SEC SFH

Standard & Poor’s

Société de crédit foncier/a French covered bond issuer

US Securities and Exchange Commission

Housing Finance Company

Supervisory Review and Evaluation Process: Methodology for assessing and measuring the risks faced by 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.

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SREP

SRF

Single Resolution Fund

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).

SRM SSM

Single Supervisory Mechanism

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE