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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