BPCE_PILLAR_III_2017
CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Regulatory capital requirements and risk-weighted assets
Regulatory capital requirements and 3.4 risk-weighted assets
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the Advanced IRB approach – banks use all their internal - 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 insection5 “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 the counterparty’s credit quality. Capital requirements for the CVA (Credit Valuation Adjustment) are determinedusing 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 weightingsaccordingto Basel categoriesof exposure; 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 RWA ➡ The table below complies with the CRR format, presentingcapital requirementsfor credit and counterpartyrisks, before the CVA and after the application of risk mitigation techniques.
12/31/2017
12/31/2016
Capital requirements
RWA amounts
RWA
in millions of euros
Credit risk (excludingcounterpartycredit risk) (CCR)
313,064 126,916 51,357 94,978
25,045 10,153
305,239 121,639 45,343 99,866
o/w standardizedapproach (SA) - o/w internal ratings-based (IRB) approach - o/w advancedmeasurement approach -
4,109 7,598
o/w equityIRB under the simplerisk-weightapproachor the internalmodels - approach
39,813 10,281
3,185
38,391 14,518
Counterpartycredit risk o/w Marked-to-market - o/w Originalexposure -
822 648
8,096
9,224
0 0 0
0 0 0
0 0 0
o/w standardizedapproach for counterparty credit risk - CCR o/w internal modelmethod(IMM) - o/w riskexposureamount for contributions to the default fundof a CCP -
337
27
339
o/w CVA -
1,848
148
4,955
Settlement risk
10
1
27
Securitization exposures in bankingbook o/w internal ratings-based approach (RBA) - o/w IRBSupervisory FormulaApproach (SFA) - o/w standardizedapproach (SA) -
5,310 1,392
425 111
9,320 1,980
0
0
3,918
313 856 518 338
7,340
Market risk
10,700
12,205
o/w standardizedapproach (SA) - o/w internal model approaches (IM) -
6,471 4,229
6,768 5,437
Operational risk
38,055
3,044
37,669
o/w Basic IndicatorApproach - o/w Standardized Approach -
0
0
38,055
3,044
37,669
o/w AdvancedMeasurement Approach -
0
0
Amountsbelowthe thresholdsfor deduction(subjectto 250%risk weight)
8,911
713
12,003
Floor adjustment
0
0
TOTAL 390,981 Note: risk-weightedassets (RWA) and capital requirementsfor counterpartyrisk are presentedaccordingto themodelrecommended bythe EBA in its final report datedDecember 14,2016 (counterparty risk apart and including CVA and risk linked to thecontributionto thedefaultfund.) 386,331 30,906
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Risk Report Pillar III 2017
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