BPCE - 2018 Risk report / Pillar III
COUNTERPARTY RISK Detailed quantitative disclosures
TABLE 50 – REGULATORY CAPITAL REQUIREMENTS FOR THE CREDIT VALUATION ADJUSTMENT ➡
12/31/2018
EAD post-CRM
RWAs 1,014
in millions of euros
Total portfoliossubject toadvancedmethod VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tostandardizedmethod
4,193
98
916
4,331 8,525
1,303 2,317
TOTALPORTFOLIOSSUBJECTTO CVAREQUIREMENT
12/31/2017
EAD post-CRM
RWAs
in millions of euros
Total portfoliossubject toadvancedmethod VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tostandardizedmethod
9,578 9,578
1,848 1,848
6
TOTALPORTFOLIOSSUBJECTTO CVAREQUIREMENT
141
Risk Report Pillar III 2018
Made with FlippingBook - Online magazine maker