BPCE - 2018 Risk report / Pillar III
CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Regulatory capital requirements and risk-weighted assets
Regulatory capital requirements 3.4 and risk-weighted assets
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the Advanced IRB approach – - componentestimatesfor this approach, i.e. probabilityof default, loss given default,exposureat default and maturity. The methodology applied for IRB approaches is described in greater detail insection3.5 “Creditrisk”. In addition to requirements related to counterparty risk in market transactions, the Directive 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 CVA (Credit Valuation Adjustment)are determined using the Standardized Approach. banks use all their internal
In accordancewith 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 weightingsaccordingto Basel exposureclasses; the “internal ratings based” (IRB) approach, based on the financial ● institution’s internal ratings system, broken down into two categories: the FoundationIRB approach– banks use only their probabilityof - default estimates forthis approach,
TABLE 7 – OVERVIEW OF RWAS ➡ The table below complies with the CRR format, presentingcapital requirementsfor credit and counterpartyrisks, before the CVA and after the application of risk mitigation techniques.
12/31/2018
12/31/2017
RWA amounts Capital requirements
RWA amounts
in millions of euros
Credit risk (excludingcounterpartycredit risk)
318,497 134,949 48,135 97,055 38,357 10,803
25,480 10,796
313,064 126,916 51,357 94,978 39,813 10,281
o/w standardizedapproach (SA) - o/w foundationIRB (F-IRB) approach - o/w advancedIRB (A-IRB)approach - Counterpartycredit risk o/w mark-to-market - o/w original exposure - o/w standardizedapproach - o/w internal model method (IMM) -
3,851 7,764 3,069
o/w equityIRB under the simplerisk-weighted approach or the IMA -
864 646
8,075
8,096
- - -
- - -
- - -
o/w riskexposureamount for contributions to the default fundof a CCP -
411
33
337
o/w CVA -
2,317
185
1,848
Settlement risk
6
-
10
Securitization exposures in the banking book
5,134 1,695
411 136
5,310 1,392
o/w IRBapproach -
o/w IRBsupervisory formula approach (SFA) - o/w standardizedapproach (SA) -
-
-
-
3,439
275 848 493 356
3,918
Market risk
10,604
10,700
o/w standardizedapproach (SA) -
6,159 4,444
6,471 4,229
o/w IMA -
Operational risk
38,057
3,045
38,055
o/w basicindicator approach - o/w standardizedapproach -
-
-
-
38,057
3,045
38,055
o/w advancedmeasurement approach -
-
-
-
Amountsbelowthe thresholdsfor deduction(subjectto 250%risk weight)
9,319
746
8,911
Floor adjustment
-
-
-
TOTAL 386,331 Note: risk-weightedassets (RWAs)and capital requirements for counterparty risk are presented according tothe model recommended by the EBA in its finalreportdatedDecember 14,2016 (excluding counterparty credit risk apart and including CVA andrisk linkedto the contribution tothe default fund). 392,420 31,394
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Risk Report Pillar III 2018
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