BPCE - 2018 Registration document

RISK REPORT Capital management and capital adequacy

6.3.4

Regulatory capital requirements and risk-weighted assets

the Advanced IRB approach – banks use all their internal - component estimates for this approach, i.e. Probability of Default, Loss Given Default, Exposure at Default and maturity. The methodology applied for IRB approaches is described in greater detail in section 3.5 “Credit risk”. In addition to requirements related to counterparty risk in market transactions, the Directive of June 26, 2013 provides for the calculation of an additional charge to hedge against the risk of loss associated with counterparty credit risk (CCR). Capital requirements for the CVA (Credit Valuation Adjustment) are determined using the Standardized Approach.

In accordance with Regulation No. 575/2013 (CRR) of the European Parliament, credit risk exposure can be measured using two approaches: the “standardized” approach, based on external credit ratings and ● specific risk weightings according to Basel exposure classes; the “internal ratings based” (IRB) approach, based on the financial ● institution’s internal ratings system, broken down into two categories: the Foundation IRB approach – banks use only their Probability of - Default estimates for this approach,

OVERVIEW OF RWAS ➡ The table below complies with the CRR format, presenting capital requirements for credit and counterparty risks, before the CVA and after the application of risk mitigation techniques.

12/31/2018

12/31/2017

RWA amounts Capital requirements

RWA amounts

in millions of euros

Credit risk (excluding Counterparty credit risk)

318,497 134,949 48,135 97,055 38,357 10,803

25,480 10,796

313,064 126,916 51,357 94,978 39,813 10,281

o/w standardized approach (SA) - o/w foundation IRB (F-IRB) approach - o/w advanced IRB (A-IRB) approach - Counterparty credit risk o/w mark-to-market - o/w original exposure - o/w standardized approach - o/w internal model method (IMM) -

3,851 7,764 3,069

o/w equity IRB under the simple risk-weighted approach or the IMA -

864 646

8,075

8,096

- - -

- - -

- - -

o/w risk exposure amount for contributions to the default fund of a CCP -

411

33

337

o/w CVA -

2,317

185

1,848

6

Settlement risk

6

-

10

Securitization exposures in the banking book

5,134 1,695

411 136

5,310 1,392

o/w IRB approach -

o/w IRB supervisory formula approach (SFA) - o/w standardized approach (SA) -

-

-

-

3,439

275 848 493 356

3,918

Market risk

10,604

10,700

o/w standardized approach (SA) -

6,159 4,444

6,471 4,229

o/w IMA -

Operational risk

38,057

3,045

38,055

o/w basic indicator approach - o/w standardized approach -

-

-

-

38,057

3,045

38,055

o/w advanced measurement approach -

-

-

-

Amounts below the thresholds for deduction (subject to 250% risk weight)

9,319

746

8,911

Floor adjustment

-

-

-

TOTAL 386,331 Note: risk-weighted assets (RWAs) and capital requirements for counterparty risk are presented according to the model recommended by the EBA in its final report dated December 14, 2016 (excluding counterparty credit risk apart and including CVA and risk linked to the contribution to the default fund). 392,420 31,394

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Registration document 2018