BPCE - Risk Report - Pillar III 2020

REGULATORY CAPITAL REQUIREMENTS AND RISK-WEIGHTED ASSETS CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

Regulatory capital requirements 4.4 and risk-weighted assets

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 weightings according to Basel exposure classes; the “internal ratings based” (IRB) approach, based on the • financial institution’s internal ratings system, broken down into two categories: the Foundation IRB approach – banks use only their – probability of default estimates for this approach,

the Advanced IRB approach – banks use all their internal – component estimates for this approach, i.e. probability of default, loss given default, exposure at default and maturity. The methodology applied for IRB approaches is described in greater detail in section 5 “Credit risk.” In addition to requirements related to counterparty risk in market transactions, the regulation of June 26, 2013 provides for the calculation of an additional charge to hedge against the risk of loss associated with counterparty credit risk (CCR). Capital requirements for the Credit Valuation Adjustment (CVA) are determined using the Standardized Approach.

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EU OV1 – OVERVIEW OF RISK-WEIGHTED ASSETS The table below complies with the CRR format, presenting capital requirements for credit and counterparty risks, before the CVA and after the application of risk mitigation techniques.

12/31/2020

12/31/2019

Capital requirements

RWAs

RWAs

in millions of euros

Credit risk (excl. counterparty credit risk) (CCR)

350,196 137,115 62,138 106,585 44,358 12,052

28,016 10,969

343,548 139,762 57,854 103,511 42,420 10,687

o/w standardized approach (SA) • o/w foundation IRB (F-IRB) approach • o/w advanced IRB (A-IRB) approach •

4,971 8,527 3,549

o/w equity IRB under the simple risk-weighted approach •

Counterparty risk o/w mark-to-market • o/w original exposure •

964 786

9,829

8,638

- - -

- - -

- - -

o/w standardized approach •

o/w internal model method (IMM) •

o/w risk exposure amount for contributions to the default fund of a CCP •

253

20

399

o/w CVA •

1,969

158

1,650

Settlement risk

6

-

35

Securitization exposures in banking book (after the cap) o/w securisation approach based on internal ratings (SEC-IRBA) • o/w externail rating-based approach to sécurisation (SEC-ERBA) •

4,880

390

4,526 1,350

788

63

2,885 1,206

231

-

o/w standardized approach (SEC-SA) •

97

3,176

Market risks

14,439

1,155

12,888

o/w standardized approach (SA) • o/w internal models approach (IMA) •

7,292 7,147

583 572

7,062 5,826

Operational risk

38,318

3,065

39,298

o/w basic indicator approach • o/w standardized approach •

-

-

252

38,318

3,065

39,046

o/w advanced measurement approach •

-

-

-

Amounts below the thresholds for deduction (subject to 250% risk weight)

11,333

907

10,618

Floor adjustment

-

-

-

TOTAL 421,599 Note: risk-weighted assets and capital requirements for counterparty credit risk are presented in accordance with the template recommended by the EBA in its final report dated December 14, 2016 (counterparty credit risk aside and including CVA and risk associated with the contribution to the default fund) 431,222 34,498

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RISK REPORT PILLAR III 2020 | GROUPE BPCE