Société Générale / Risk report 2021 - Pillar 3 2020

17 APPENDICES GLOSSARY | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 239 GLOSSARY 17.4 ABBREVIATIONS TABLE Abbreviation Definition Glossary ABS Asset-Backed Securities Securitisation CCF Credit Conversion Factor CCF CDS Credit Default Swap Securitisation CDO Collaterallised Debt Obligation Securitisation CLO Collateralised Loan Obligation Securitisation CMBS Commercial Mortgage-Backed Securities Securitisation CRD Capital Requirement Directive CRR/CRD4 CRM (credit risk) Credit Risk Mitigation Credit Risk Mitigation CRM (market risk) Comprehensive Risk Measure Comprehensive Risk Measurement CRR Capital Requirement Regulation CRR/CRD4 CVaR Credit Value at Risk Credit Value at Risk (CVaR) EAD Exposure At Default Exposure At Default (EAD) EL Expected Loss Expected Loss (EL) IMM Internal Model Method IMM AIRB Internal ratings-based approach - Advanced AIRB FIRB Internal ratings-based approach - Foundation FIRB IRC Incremental Risk Charge IRC G-SIB Global Systemically Important Banks (see SIFI) SIFI LCR Liquidity Coverage Ratio Liquidity Coverage Ratio (LCR) LGD Loss Given Default Loss Given Default (LGD) NSFR Net Stable Funding Ratio Net Stable Funding Ratio (NSFR) PD Probability of Default Probability of Default (PD) RMBS Residential Mortgage-Backed Securities Securitisation RW Risk Weight RWA - Risk-Weighted Assets RWA Risk-Weighted Assets RWA - Risk-Weighted Assets SVaR Stressed Value at Risk Stressed Value at Risk (SVaR) VaR Value at Risk Value at Risk (VaR) Asset-Backed Securities (ABS): see “Securitisation”. Basel 1 (Accords) : prudential framework established in 1988 by the Basel Committee to ensure solvency and stability in the international banking system by setting an international minimum and standardised limit on banks’ capital bases. It notably establishes a minimum capital ratio—a proportion of the total risks taken on by banks—which must be greater than 8%. (Source: Bank of France Glossary - Documents et Débats - No. 4 - May 2012) Basel 2 (Accords) : prudential framework used to better assess and limit banks’ risks. It is focused on banks’ credit, market and operational risks. (Source: Bank of France Glossary - Documents et Débats - No. 4 – May 2012) Basel 3 (Accords) : further changes to prudential standards which included lessons from the 2007-2008 financial crisis. They supplement the Basel 2 Accords by improving the quality and quantity of banks’ required capital. They also implement minimum requirements in terms of liquidity risk management (quantitative ratios), define measures to limit the financial system’s procyclicality (capital buffers that vary according to the economic cycle) and even strengthen requirements related to systemically significant banks (Source: Bank of France Glossary - Documents et Débats - No. 4 - May 2012). The Basel 3 Accords are defined in Europe in Directive 2013/36/EU (“CRD4”) and Regulation 575/2013 (“CRR”) that have been in force since 1 January 2014.