BPCE_PILLAR_III_2017

3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Detailed quantitative disclosures

TABLE 18 – 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. Derivativesand repurchaseagreementsare specificallyrestated. A conversionfactor is applied to commitmentsgiven, in accordance with Article 429, point 10, of theCRR.

12/31/2017

12/31/2016

in millionsof euros 

On-balancesheet exposures 1 On-balance sheet items (excluding derivatives and SFTs) 2 (Asset amounts deducted in determining Basel IIITier 1 capital) 3 Total on-balancesheet exposures (excluding derivatives and SFTs)

1,004,979

978,247

(6,499)

(7,520)

998,480

970,727

Derivativeexposures

4 Replacement costassociatedwith allderivativestransactions(where applicable netof eligible cash variation marginand/or with bilateral netting)

8,333

1,400

5 Add-on amountsfor PFE associated with all derivatives transactions

22,868

21,130

6 Gross-up for derivativescollateralprovidedwhere deductedfrom thebalancesheet assets pursuantto the operative accounting framework 7 (Deductions ofreceivablesassets for cashvariationmargin providedin derivativestransactions)

(13,037)

(15,582)

8 (Exempted CCP leg of client-cleared tradeexposures) 9 Adjusted effective notional amount ofwritten credit derivatives

16,209 (14,213) 20,160

25,731

10 (Adjusted effectivenotional offsets and add-on deductions for writtencredit derivatives)

(24,556)

11 Total derivative exposures

8,122

Securities financing transactions 12 GrossSFT assets (with no recognitionof netting), after adjusting for sale accountingtransactions

98,875 (19,761)

100,584 (15,076)

13 (Netted amountsof cash payables and cashreceivablesof gross SFT assets)

14 CCR exposurefor SFTassets

6,361

7,744

15 Agent transactionexposures pursuant toArticle 429 ter (6) of the CRR 16 Total securities financing transaction exposures

85,475

93,252

Otheroff-balance sheet items 17 Off-balance sheetexposure atgross notional amount 18 (Adjustmentsfor conversion tocredit equivalent amounts)

161,421 (88,293) 73,128

158,104 (84,094)

19 Otheroff-balance sheet items

74,010

Capital andtotal exposures 20 Tier 1 capital

59,490

56,607

21 TOTALEXPOSURES(SUM OF LINES3, 11, 16 AND 19)

1,177,243

1,146,111

Leverage ratio 22 Basel IIIleverage ratio

5.05%

4.94%

60

Risk Report Pillar III 2017

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