BPCE_PILLAR_III_2017

14 APPENDICES Glossary

Acronyms

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

RWA S&P SCF SEC

Standard & Poor’s

Sociétéde crédit foncier /a French coveredbond issuer

Securitiesand Exchange Commission

IS

Informationsystem

Socama

Sociétés de cautionnementmutuel artisanales /MutualGuaranteeCompaniesfor small businesses

Supervisory Reviewand EvaluationProcess Methodologyfor assessingand measuringthe risks for each bank. SREP gives the prudentialauthoritiesa 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 riskto 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 SingleResolutionMechanism:An EU-levelsystemto ensurean orderlyresolutionof non-viablebankswith a minimal impacton 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 ResolutionBoard – SRB) and a common resolution fund financed by the banking sector (Single Resolution Fund – SRF) StressedValue at Risk: the SVaR calculationmethod is identicalto the VaR approach(historicalor MonteCarlomethod,scope – position – risk factors – choices and modeling – model approximationsand 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 Total Loss AbsorbingCapacity:a ratio applicableto G-SIBs that aims to ensure that each G-SIB has the capacityto continue its essentialoperationsfor the economyeven after a loss has consumedall of its capital.In November 2015,the FSB published the final TLAC calibration: all TLAC-eligibleinstrumentswill have to be equivalent to at least 16% of risk-weightedassets at January 1, 2019 and at least 6% of the leverage ratio denominator.TLAC will subsequentlyhave to be equivalent to 18% of risk-weighted assets and 6.75%of the leverage ratiodenominatorfrom January 1,2022 Total Return Swap, i.e. a transactionwhereby two parties exchange the income generated and any change in value on two different assetsover a given time period 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(subordinatedloans). These securities pay annual interestcontingent on thepayment ofa dividendor the achievement ofa specific result Value at Risk: a measurementof market risk on a bank’s trading book expressed as a monetary value. It allows the entity performing the calculationto appraisethe maximum losses liable tobe incurred on its tradingbook. A statisticalvariable, VaRis alwaysassociatedwith a confidenceinterval (generally95%or 99%) and a specifictime frame (in practice,one day or 10 days, as the tradingpositionsinvolved aremeant tobe unwoundwithin a few days) Tier 1/Tier 2 capital Titres supersubordonnés /deeply subordinatednotes,

SREP

SRM

SVaR T1/T2

TLAC

TRS

TSS

VaR

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Risk Report Pillar III 2017