BPCE_REGISTRATION_DOCUMENT_2017

9 ADDITIONAL INFORMATION Glossary

Key technical terms

Pillar IIIis concernedwithestablishingmarket discipline through a seriesof reporting requirements. These requirements – both qualitative and quantitative – are intended to improvefinancialtransparency in the assessment of risk exposure, risk assessment procedures andcapital adequacy Ratioof CommonEquityTier 1(CET1)capitalto risk-weighted assets. The CET1 ratio isa solvency indicator used in the Basel III prudentialccords Tier 1capitaldivided by exposures, whichconsistof assetsandoff-balancesheetitems, after restatements of derivatives, funding transactions anditems deducted from capital.Its main goal is to serve asa supplementary risk measurement for capital requirements The securitization of an exposure that is already securitized, where the riskassociated with an underlying pool of exposures is tranchedandat leastoneof theunderlying exposures i a securitization position The risk of loss fromthe inability of clients, issuers orothercounterparties to honor their financialcommitments. Credit risk includes counterparty risk relatedtomarket transactions andsecuritization The risk of loss of valueon financial instruments resulting from changes in market inputs, fromthevolatility of these inputsor fromthe correlations between theseinputs The risk of losses or impairment on assets arising fromchanges in interest ratesorexchangerates. Structural interestrateand exchange rate risks are associated withcommercial activities andproprietary transactions The risk thata bankwill be unable to honor itspaymentcommitments as they falldueandreplacefundswhenthey are withdrawn An agreement betweentwo counterparties to exchangedifferentassets,or revenues from differentassets,untila givendate A transaction whereby credit risk on loan receivables i transferred to investors by an entity hroughthe issuance of negotiable securities. Thismayinvolvethetransferof receivables (physical securitization) or thetransferof risksonly(creditderivatives). Somesecuritization transactionsaresubordinated through t ecreationof tranches: ABS– Asset-Backed Securities, i.e. instruments representing a pool of financial assets(excludingmortgage loans), whose - performance is linked tothatof theunderlyingasset or pool of assets; CDOs – Collateralized Debt Obligations, i.e. debtsecurities backed by a poolof assetswhich canbe eitherbankloans - (mortgages)or corporatebonds. Interest and principal payments may be subject to subordination ( i.e. throughthecreation of tranches); CLOs– Collateralized Loan Obligations, i.e. credit derivatives backed by a homogeneous pool of commercial loans; - CMBS– Commercial Mortgage-Backed Securities; - RMBS – ResidentialMortgage-Backed Securities, i.e. debtsecuritiesbackedby a pool of assets consisting of residential - mortgage loans; Bankactingas originator: thesecuritization exposures are theretained positions, even wherenot eligible for the - securitization framework due to theabsence of significant andeffectiverisktransfer; Bankactingas investor: investmentpositions purchased in third-party deals; - Bankactingas 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 liquidityand/orcredit enhancements. Theprogram may include, forexample, asset-backed commercial paper (ABCP) conduitprograms and structured investment vehicles. The securitization exposures include exposures to ABCPconduits towhichthebankprovides program-wide enhancements, liquidityand otherfacilities Ratioof totalcapital (Tier 1 and 2) torisk-weighted assets (RWA). Risks of losses or penalties due to failedinternal procedures or systems, human erroror externalevents

Pillar III

Common Equity Tier 1 ratio

Leverage ratio

Capital or total capital adequacy ratio

Resecuritization

Credit and counterparty risk

Market risk

Operational risk

Structural interest rateand exchange rate risk

Liquidity risk

Swap

Securitization

Net values

Total gross value lessallowances/impairments

A measurement of themagnitudeof an asset’s price fluctuation andthus a measurement of its risk. Volatilitycorresponds to thestandarddeviationof theasset’simmediate returnsovera givenperiod

Volatility

622

Registration document 2017