BPCE - 2020 Universal Registration Document

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY RISK FACTORS & RISK MANAGEMENT

OVERVIEW OF RISK-WEIGHTED ASSETS 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.

12/31/2020

12/31/2019

Capital requirements

RWAs

RWAs

in millions of euros

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

350,196 137,115 62,138 106,585 44,358 12,052

28,016 10,969

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

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

4,971 8,527 3,549

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

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

964 786

9,829

8,638

- - -

- - -

- - -

o/w standardized approach •

o/w internal model method (IMM) •

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

253

20

399

o/w CVA •

1,969

158

1,650

Settlement risk

6

-

35

Securitization exposures in banking book (after the cap) o/w securisation approach based on internal ratings (SEC-IRBA) • o/w externail rating-based approach to sécurisation (SEC-ERBA) •

4,880

390

4,526 1,350

788

63

2,885 1,206

231

-

o/w standardized approach (SEC-SA) •

97

3,176

Market risks

14,439

1,155

12,888

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

7,292 7,147

583 572

7,062 5,826

Operational risk

38,318

3,065

39,298

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

-

-

252

38,318

3,065

39,046

o/w advanced measurement approach •

-

-

-

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

11,333

907

10,618

Floor adjustment

-

-

-

TOTAL 421,599 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 the contribution to the default fund) 431,222 34,498

6

RWAS BY TYPE OF RISK AND BY BUSINESS LINE

Basel III phased-in

Operational risk

Credit risk*

CVA

Market risks

Total

in millions of euros

December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 DECEMBER 31, 2020

258,345 265,889

66 27

1,584 1,209

23,961 24,517

283,957 291,643 13,922 14,010 62,051 69,134 61,669 56,435 421,599 431,222

Retail Banking

9,277 9,404

-

-

4,644 4,425 6,879 6,232 3,813 3,144

Asset & Wealth Management

-

181

45,183 51,062 54,957 50,141 367,762 376,496

1,335 1,822

8,654

Corporate & Investment Banking

10,018

249 119

2,650 3,031

Other

1,650 1,969

12,888 14,439

39,298 38,318

TOTAL RISK-WEIGHTED ASSETS

*

Including settlement-delivery risk.

627

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE