BPCE_PILLAR_III_2017

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Management of capital adequacy

Management of capital adequacy 3.5

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The methods used by Groupe BPCE to calculate risk-weighted assets are described in section

3.4 “Regulatory capital requirements and

risk-weighted assets”.

Regulatory capitaland capitalratios

TABLE 9 – REGULATORY CAPITAL AND PHASED-IN BASEL III CAPITAL RATIOS ➡

12/31/2017 Basel III phased-in

12/31/2016 Basel III phased-in

in millionsof euros

CommonEquity Tier 1 (CET1) Additional Tier 1(AT1) capital TOTALTIER 1(T1) CAPITAL

59,042

55,303

448

1,304

59,490 14,557 74,047 335,718

56,607 15,693 72,300 336,125

Tier 2 (T2)capital

TOTALREGULATORYCAPITAL

Credit riskexposure

Settlement/deliveryrisk exposure

10

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CVA risk exposure Marketrisk exposure

1,848

4,955

10,700 38,055 386,331

12,205 37,669 390,981

Operational riskexposure TOTALRISKEXPOSURE Capital adequacy ratios CommonEquity Tier 1ratio

15.3% 15.4% 19.2%

14.1% 14.5% 18.5%

Tier 1 ratio

Total capital ratio

CHANGES IN GROUPE BPCE’S CAPITAL ADEQUACY IN 2017 Groupe BPCE’s capital adequacy was strengthenedduring 2017: the Common Equity Tier 1 ratio, which takes into account phase-in measures set out in CRR/CRD IV, was 15.3% at December 31, 2017, improving onthe ratio of 14.1% at December 31, 2016. The CommonEquity Tier 1 ratio improvedby 120 basis points in 2017, on the backof: the € 3.7 billion rise in Common Equity Tier 1, driven by retained ● earnings; the strict management of risk-weighted assets, which totaled ● € 386 billion at December 31, 2017, down € 4.6 billion compared with December31, 2016. In addition, acquisitions carried out by Natixis had a limited impact on the Group’s ratio in 2017, with an impact of around -4 basis points on the Common Equity Tier 1 ratio for the acquisition of Investors Mutual Limited and around -3 basis points for the acquisition of 60% of Dalenys. At December 31, 2017, the Tier 1 ratio stood at 15.4%, representing an increase compared with December 31, 2016.

Finally, the total capital ratio stood at 19.2% at December as no Tier 2 issues were carried out during the fiscal year. Excluding the CRR/CRD IV phase-in measures, the Common Equity Tier 1 ratio was 15.4% at December 31, 2017 versus 14.2% at December31, 2016. 31, 2017,

GROUPE BPCE CAPITAL ADEQUACY MANAGEMENT POLICY

Capital and total loss absorbing capacity (TLAC) objectives are determined according to Groupe BPCE’s target ratings, in line with prudential constraints. Capital adequacy management is therefore subject to a high management buffer which not only greatly exceeds prudential constraints on capital adequacy ratios, but is also well below the trigger for the MaximumDistribution Amount. Capital and TLAC management is thus less sensitive to prudential changes (e.g. not dependenton G-SIB classification).As a result, the Group very predominantlybuilds its total loss absorbingcapacityfrom CET1 and additionally from TLAC-eligibledebt (mainly Tier 2 capital and senior non-preferred debt). Moreover, taking a “single point of entry” (SPE) approach,BPCE issues this TLAC-eligible debt.

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Risk Report Pillar III 2017

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