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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