BPCE_PILLAR_III_2017

14 APPENDICES Glossary

Glossary 14.4

Acronyms

The European Banking Authority, establishedby an EU regulation on November 24,2010. It came into being on January 1, 2011 in London, superseding the Committee of European Banking Supervisors (CEBS). This new body has an expanded mandate. It is in charge of harmonizingprudential standards, ensuring coordination among the various national supervisory authorities and performing the role of mediator. The goal is to establish a Europe-wide supervision mechanism without compromising the ability ofthe national authorities toconduct theday-to-day supervisionof credit institutions Autorité de contrôle prudentiel et de résolution, the French prudential supervisory authority for the banking and insurance sector (formerlythe CECEI, or Comité des établissementsde crédit et des entreprisesd’investissement /Credit Institutionsand Investment FirmsCommittee) Association françaisedes entreprises privées– Mouvementdes entreprises de France /French businessassociation See securitization

EBA ABS

ACPR

AFEP-MEDEF

AFS ALM AMF AQR AT1

Available for sale

Asset and liabilitymanagement

Autorité desmarchésfinanciers /French financial markets authority

Asset qualityreview, whichinvolves thesupervisoryassessmentof risks, the review ofasset quality, and stress tests

Additional Tier 1

Basel Committee on Banking Supervision, an organization comprised of the central bank governors of the G20 countries, tasked with strengthening the global financial system and improving the efficacy of prudential supervision and cooperation among bank regulators

BCBS

ECB

European CentralBank European InvestmentBank

EIB

MTN

MediumTermNote

BRRD

Bank Recovery and Resolutiondirective

CCF CDO

Credit ConversionFactor

See securitization

CDPC

Credit Derivative ProductCompanies

Credit Default Swap, a credit derivative contract under which the party wishing to buy protection against a credit event (e.g. counterparty default) makes regular payments to a third party and receives a pre-determinedpayment from this third party should thecreditevent occur Customerloan-to-depositratio, i.e. a liquidity indicatorthat enablesa credit institutionto measure its autonomywith respectto the financial markets

CDS

CLDR

CLO

See securitization See securitization

CMBS CEGC CET1 CNCE

Compagnie Européennede Garanties etde Cautions

CommonEquity Tier 1

Caisse nationale desCaisses d’Epargne

CPM CRD CRR

Credit Portfolio Management CapitalRequirements Directive CapitalRequirements Regulation

Credit valuation adjustment, i.e. the expected loss related to the risk of default by a counterparty.The CVA aims to take into account the fact that the full market value of the transactionsmay not be recovered.The method for determiningthe CVA is primarilybasedon the use of market inputsin connectionwith thepracticesof marketprofessionals Credit Value-at-Risk, i.e. the worst loss expected to be suffered after eliminating the 1% worst-case scenarios, used to determine individualcounterparty limits Debit Valuation Adjustment,symmetricalto the CVA. Representsthe expected loss, from the counterparty’sperspective,on valuationsof derivative liabilities. It reflects theimpact ofthe entity’sown credit quality on thevaluation ofthese instruments Exposureat default, i.e. the amountowed by the customerat the effectivedefault date. It is the sum of the remainingprincipal, past duepayments, accrued interestnot yetdue, feesand penalties Expected Loss, i.e. the value of the loss likely to be incurred given the quality of the transactionstructure and any measures taken to mitigaterisk, such as collateral.It is calculatedby multiplyingexposureat risk (EAD) by Probabilityof Default (PD) and by Loss Given Default(LGD) Debit Valuation Adjustment,symmetricalto the CVA. Representsthe expected loss, from the counterparty’sperspective,on valuationsof derivative liabilities. It reflects theimpact ofthe entity’sown credit quality on thevaluation ofthese instruments i.e. 8% of risk-weighted assets (RWA)

CVA

CVaR

DVA

EAD

Capital requirementThe amountof capitalthat banks are requiredto hold,

EL

DVA

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Risk Report Pillar III 2017