BPCE - 2018 Risk report / Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Regulatory capital requirements and risk-weighted assets

Regulatory capital requirements 3.4 and risk-weighted assets

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the Advanced IRB approach – - componentestimatesfor this approach, i.e. probabilityof default, loss given default,exposureat default and maturity. The methodology applied for IRB approaches is described in greater detail insection3.5 “Creditrisk”. 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. banks use all their internal

In accordancewith 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 weightingsaccordingto Basel exposureclasses; the “internal ratings based” (IRB) approach, based on the financial ● institution’s internal ratings system, broken down into two categories: the FoundationIRB approach– banks use only their probabilityof - default estimates forthis approach,

TABLE 7 – OVERVIEW OF RWAS ➡ The table below complies with the CRR format, presentingcapital requirementsfor credit and counterpartyrisks, 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 (excludingcounterpartycredit 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 standardizedapproach (SA) - o/w foundationIRB (F-IRB) approach - o/w advancedIRB (A-IRB)approach - Counterpartycredit risk o/w mark-to-market - o/w original exposure - o/w standardizedapproach - o/w internal model method (IMM) -

3,851 7,764 3,069

o/w equityIRB under the simplerisk-weighted approach or the IMA -

864 646

8,075

8,096

- - -

- - -

- - -

o/w riskexposureamount for contributions to the default fundof a CCP -

411

33

337

o/w CVA -

2,317

185

1,848

Settlement risk

6

-

10

Securitization exposures in the banking book

5,134 1,695

411 136

5,310 1,392

o/w IRBapproach -

o/w IRBsupervisory formula approach (SFA) - o/w standardizedapproach (SA) -

-

-

-

3,439

275 848 493 356

3,918

Market risk

10,604

10,700

o/w standardizedapproach (SA) -

6,159 4,444

6,471 4,229

o/w IMA -

Operational risk

38,057

3,045

38,055

o/w basicindicator approach - o/w standardizedapproach -

-

-

-

38,057

3,045

38,055

o/w advancedmeasurement approach -

-

-

-

Amountsbelowthe thresholdsfor deduction(subjectto 250%risk weight)

9,319

746

8,911

Floor adjustment

-

-

-

TOTAL 386,331 Note: risk-weightedassets (RWAs)and capital requirements for counterparty risk are presented according tothe model recommended by the EBA in its finalreportdatedDecember 14,2016 (excluding counterparty credit risk apart and including CVA andrisk linkedto the contribution tothe default fund). 392,420 31,394

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Risk Report Pillar III 2018