Resecuritization The securitization of an exposure that is already securitized where the risk associated with is a securitization position. an underlying pool of exposures is tranched and at least one of the underlying exposures
Risk appetite The degree of risk, by type and by business, that the institution is prepared to take on quantitative or qualitative criteria. in the pursuit of its strategic objectives. Risk appetite can be expressed through either
on capital. by shareholders’ equity (restated for hybrid securities), used to measure the profit generated Net income (excluding returns on hybrid securities recognized as equity instruments) divided
RWA Risk Weighted Assets, or risk-weighted EAD (see Basel terms: maturity, probability of default and loss given default).
Securitization transactions are subordinated through the creation of tranches. (physical securitization) or the transfer of risks only (credit derivatives). Some securitization through the issuance of negotiable securities. This may involve the transfer of receivables A transaction whereby credit risk on loan receivables is transferred to investors by an entity
SFEF to refinance French banks during the financial crisis). Société de Financement de l’Economie Française (SPV set up by the French government
Share of any profits or net assets as well as a voting right at the General Shareholders’ Meeting. and conferring on its possessor (the “shareholder”) proportional rights in the distribution An equity security issued by a corporation, representing a certificate of ownership
Evaluation) SREP (Supervisory Review and funding. The supervisor sends the bank the SREP decisions at the end of the process and sets business model, governance and risk management, risk to capital, and risk to liquidity and authorities a set of harmonized tools to analyze a bank’s risk profile from four different angles: Methodology for assessing and measuring the risks for each bank. SREP gives the prudential key objectives. The bank must then “correct” these within a specific time.
of the pillars of the European Banking Union and consists of an EU-level resolution authority non-viable banks with a minimal impact on taxpayers and the real economy. The SRM is one Single Resolution Mechanism: An EU-level system to ensure an orderly resolution of
(Single Resolution Fund – SRF). (Single Resolution Board - SRB) and a common resolution fund financed by the banking sector
Stress test to assess whether the bank’s (or banks’) capital reserves are sufficient to absorb such a shock. realistic economic scenarios (i.e. worsened prospects for growth, unemployment and inflation) A bank stress test simulates the behavior of a bank (or group of banks) under extreme but
Swap from different assets, until a given date. An agreement between two counterparties to exchange different assets, or revenues
SWWR Specific Wrong Way Risk institution (SIFI) Systemically important financial by the Basel Committee as outlined in "Global systemically important banks: Assessment (G-SIFIs) to the global financial system. These institutions meet the criteria established reduce the moral hazard and risks posed by global systemically important financial institutions The Financial Stability Board (FSB) coordinates the comprehensive measures intended to
Basel2 and Basel3 prudential accords. The ratio of Tier1 capital to risk-weighted assets is a solvency indicator used in the Basel1, to be the most solid. It includes its capital stock and retained earnings allocated to reserves. Tier 1 (T1) refers to the portion of a financial institution’s prudential capital that is considered
Tier 2 capital deductions. Supplementary capital mainly consisting of subordinated securities minus regulatory
Treasury stock per share, with the exception of securities held in association with a liquidity contract. Treasury stock does not bestow voting rights and is not included in the calculation of earnings The equity share held by the company, especially through the share buyback program.
Volatility a given period. its risk. Volatility corresponds to the standard deviation of the asset’s immediate returns over A measurement of the magnitude of an asset’s price fluctuation and thus a measurement of
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