BPCE - 2019 RISK REPORT Pillar III

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CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

TABLE 21 – LEVERAGE RATIO The leverage ratio is determined by dividing Tier 1 capital by on- and off-balance sheet exposures calculated quarterly using a prudential approach. Derivatives and repurchase agreements are specifically restated. A conversion factor is applied to commitments given, in accordance with CRR Article 429(10).

12/31/2019

12/31/2018

in millions of euros

On-balance sheet exposure 1

On-balance sheet items (excluding derivatives and SFTs) (Asset amounts deducted in determining Basel III Tier 1 capital) Total on-balance sheet exposures (excluding derivatives and SFTs)

1,075,767

1,016,905

2 3

(6,722)

(5,672)

1,069,045

1,011,233

Derivative exposures

4 Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting)

8,224

7,752

5

Add-on amounts for PFE associated with all derivatives transactions

22,017

23,087

6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions)

-

-

(15,581)

(12,940)

8 9

(Exempted CCP leg of client-cleared trade exposures)

-

-

Adjusted effective notional amount of written credit derivatives

13,176 (9,010) 18,825

11,253 (8,766) 20,387

10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives)

11 Total derivative exposures

Securities financing transaction exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions

92,519 (22,150)

94,908 (24,155)

13 (Netted amounts of cash payables and cash receivables of gross SFT assets) 14 Securities financing transactions: CCR exposure for SFT assets 15 Agent transaction exposures pursuant to Article 429 ter (6) of the CRR

7,079

6,983

-

-

16 Total securities financing transaction exposures Other off-balance sheet items 17 Off-balance sheet exposure at gross notional amount 18 (Adjustments for conversion to credit equivalent amounts)

77,448

77,736

182,953 (103,123)

167,636 (93,581) 74,055

19 Other off-balance sheet items

79,830

Capital and total exposures 20 Tier 1 capital

66,015

62,522

21 Total exposures (sum of lines 3, 11, 16 and 19)

1,245,148

1,183,411

Leverage ratio 22 Basel III leverage ratio

5.30%

5.28%

74

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com

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