BPCE_PILLAR_III_2017

APPENDICES Glossary

Key technical terms

A transactionwherebycredit risk on loan receivablesis transferredto investorsby an entity throughthe issuanceof negotiablesecurities.This may involve the transferof receivables(physicalsecuritization)or the transfer of risks only (credit derivatives).Some securitizationtransactionsare subordinatedthrough the creation oftranches: ABS – Asset-BackedSecurities, i.e. instruments representinga pool of financial assets (excluding - mortgage loans), whose performance is linked to that of the underlying asset orpool ofassets; CDOs – CollateralizedDebt 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 thecreation oftranches); CLOs – CollateralizedLoan Obligations, i.e. credit derivatives backed by a homogeneouspool of - commercial loans; CMBS – Commercial Mortgage-Backed Securities; - RMBS – Residential Mortgage-BackedSecurities, i.e. debt securities backed by a pool of assets - consisting ofresidentialmortgageloans; Bank acting as originator: the securitizationexposures are the retained positions, even where not - eligible for thesecuritization frameworkdue tothe absence ofsignificant and effective risk transfer; Bank acting as investor: investment positions purchased in third-partydeals; Bank acting as sponsor:a bank is considereda “sponsor” if it, in fact or in substance,managesor - 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 exposuresto ABCPconduitsto which the bank providesprogram-wideenhancements,liquidityand other facilities

Securitization

Net values

Total gross valueless allowances/impairments

A measurementof the magnitude of an asset’s price fluctuation and thus a measurementof its risk. Volatility corresponds to the standarddeviation ofthe asset’s immediate returns over a given period

Volatility

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Risk Report Pillar III 2017