BPCE_REGISTRATION_DOCUMENT_2017
RISK REPORT Capital management and capital adequacy
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 -
3
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
137
Registration document 2017
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