BPCE - 2019 RISK REPORT Pillar III

REGULATORY CAPITAL REQUIREMENTS AND RISK-WEIGHTED ASSETS CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

Regulatory capital requirements 4.4 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 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 Credit Valuation Adjustment (CVA) 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,

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TABLE 7 – 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.

12/31/2019

12/31/2018

Capital requirements

RWA amount

RWA amount

in millions of euros

Credit risk (excl. counterparty credit risk) (CCR)

343,548 139,762 57,854 103,511 42,420 10,687

27,484 11,181

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

o/w standardized approach (SA) • o/w foundation IRB (F-IRB) approach • o/w advanced IRB (A-IRB) approach •

4,628 8,281 3,394

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

Counterparty risk o/w mark-to-market • o/w original exposure •

855 691

8,638

8,075

- - -

- - -

- - -

o/w standardized approach •

o/w internal model method (IMM) •

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

399

32

411

1,650

132

2,317

o/w CVA •

Settlement risk

35

3

6

Securitization exposures in banking book (after the cap)

4,526 1,350

362 108

5,134 1,695

o/w foundation IRB (F-IRB) approach • o/w IRB supervisory formula approach (SFA) •

-

-

-

o/w standardized approach (SA) •

3,176

254

3,439

Market risk

12,888

1,031

10,604

o/w standardized approach (SA) • o/w internal models approach (IMA) •

7,062 5,826

565 466

6,159 4,444

Operational risk

39,298

3,144

38,057

o/w basic indicator approach • o/w standardized approach •

252

20

-

39,046

3,124

38,057

o/w advanced measurement approach •

-

-

-

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

10,618

849

9,319

Floor adjustment

-

-

-

TOTAL 392,420 Note: risk-weighted assets and capital requirements for counterparty credit risk are presented in accordance with the template recommended by the EBA in its final report dated December 14, 2016 (counterparty credit risk aside and including CVA and risk associated with contributions to the default fund of a CCP). 421,599 33,728

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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