RISK REPORT Capital management and capital adequacy
the capped or excluded share of non-controlling interests has - been gradually deducted from each capital tier in 20% increments every year since 2014, therefore totaling 80% in 2017, deferred tax assets dependenton future profits and linked to tax - loss carryforwards have been gradually deducted in 10% increments since 2015. In accordance with Article 19 of ECB regulation(EU) No. 2016/445datedMarch 14, 2016, deferredtax assets were deducted at a rate of 60% in 2017 and will be fully deducted in2019, deferred tax assets depending on future taxable income and - related to temporarydifferenceshave been graduallydeductedin 20% increments since 2014 (80% in 2017) for the share exceeding the common allowance for equity interests of more than 10%. In 2017, the remaining20%was still accountedfor in accordance with CRD III; the items covered by the allowance were weightedat 250%, Common Equity Tier 1 instruments held in equity interests of - more than 10% are gradually deducted: the residual amount of the share exceedingthe allowance,applicableto DTAs as referred to in the previous point, is deducted using the same methods as in the point above. In 2017, the remaining 20% was still accounted for in accordance with CRD III (50% deducted from
Tier 1 and 50% from Tier 2); the items covered by the allowance were weightedat 250%, hybrid debt instruments eligible to be included in capital under - Basel II, and which are no longer eligible under the new regulation, may under certain conditions be eligible for the grandfatheringclause. In accordance with this clause, they are gradually excluded over an eight-year period, with a 10% decrease each year. In 2017, 50% of all such instruments reported at December 31, 2013 were recognized, 40% will be recognized in 2018 and so forth in subsequent years. The unrecognized share may be included in the lower equity tier if it meets therelevant criteria. Credit institutionsmust comply with prudential requirements,which are based onthree pillars that form an indivisible whole: PILLAR I Pillar I sets minimumrequirementsfor capital. It aims to ensure that banking institutions hold sufficient capital to provide a minimum level of coveragefor their credit risk, market risk and operationalrisk. The bank can use standardizedor advancedmethods to calculate its capital requirement.
REVIEW OF MINIMUM CAPITAL REQUIREMENTS UNDER PILLAR I ➡
Minimum regulatory capitalrequirements CommonEquity Tier 1 (CET1)
4.0% 4.5% 4.5% 4.5% 4.5% 5.5% 6.0% 6.0% 6.0% 6.0% 8.0% 8.0% 8.0% 8.0% 8.0%
4.5% 6.0% 8.0% 2.5% 1.0% 2.5%
Total Tier 1capital (T1 = CET1 + AT1)
Regulatory capital (T1+ T2) Additionalrequirements Capitalconservation buffer
0.625% 1.250% 1.875% 0.25% 0.50% 0.75% 0.625% 1.250% 1.875%
G-SIB buffer applicable to Groupe BPCE (1)
Maximum countercyclicalbuffer applicableto GroupeBPCE (2) Maximumtotal capital requirements for Groupe BPCE Common Equity Tier 1 (CET1)
4.0% 4.5% 6.0% 7.5% 9.0% 5.5% 6.0% 7.5% 9.0% 10.5% 8.0% 8.0% 9.5% 11.0% 12.5%
10.5% 12.0% 14.0%
Total Tier 1capital (T1 = CET1 + AT1)
Regulatory capital (T1+ T2)
G-SIBbuffer:buffer for globalsystemicallyimportantbanks,G-SIBbuffermaintainedfollowingGroupeBPCE’sremovalfrom the G-SIB list at end-2017.Consequently,GroupeBPCEwill (1) no longerbe subjectto the G-SIBbufferas fromJanuary 1,2019,but will continueto observean equivalentD-SIBbuffer. The countercyclicalbuffer is calculatedquarterly.It was virtuallynil in 2017,as GroupeBPCE’sactivitiesare mainlycarriedout in Franceor in countrieswhichhaveset this bufferat 0%. (2)
PILLAR II Pillar II establishes a process of prudential supervision that complements and strengthens Pillar I. It consistsof: an analysis by the bank of all of its risks, including those already ● covered by Pillar I; an estimateby the bank of the capital requirement for these risks; ● comparison by the banking supervisor of its own analysis of the ● bank’s risk profile with the analysis conductedby the bank, in order to adapt its choice of prudentialmeasureswhere applicable,which may take the form of capital requirementsexceedingthe minimum requirements or any other appropriate technique.
For fiscal year 2017, the total capital ratio in force for Groupe BPCE under Pillar II was 9.5%, excluding the capital conservation buffer and the G-SIB buffer. This ratio remains unchangedfor 2018.
PILLAR III The purpose of Pillar III is to establish market discipline through a series of reporting requirements. These requirements – both qualitative and quantitative – are intended to improve financial transparency in the assessment of risk exposure, risk assessment procedures and capital adequacy.
Registration document 2017
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