BPCE - 2018 Risk report / Pillar III
3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Detailed quantitative disclosures
TABLE 19 – 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 CRR Article429(10).
12/31/2018
12/31/2017
in millionsof euros
On-balancesheet exposure 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)
1,016,905
1,004,979
(5,672)
(6,499)
1,011,233
998,480
Derivativeexposures
Replacement costassociatedwith allderivativestransactions( i.e.
net of eligiblecash variation margin
4
and/or bilateral netting)
7,752
8,333
5 Add-on amountsfor PFE associated with all derivatives transactions
23,087
22,868
6 Gross-up for derivativescollateralprovidedwhere deductedfrom thebalancesheet assets pursuantto the operative accounting framework 7 (Deductions ofreceivablesassets for cashvariationmargin providedin derivativestransactions)
(12,940)
(13,037)
8 (Exempted CCP legof client-cleared trade exposures) 9 Adjusted effective notional amount ofwritten credit derivatives
-
11,253 (8,766) 20,387
16,209
10 (Adjusted effectivenotional offsets and add-on deductions for writtencredit derivatives)
(14,213)
11 Total derivative exposures
20,160
Securities financing transaction exposures 12 GrossSFT assets (with no recognitionof netting), after adjusting for sale accountingtransactions
94,908 (24,155)
98,875
13 (Nettedamounts of cash payables and cashreceivablesof gross SFT assets) 14 Securitiesfinancingtransactions:CCRexposure for SFTassets 15 Agent transactionexposures pursuant toArticle 429b (6) of the CRR 16 Total securities financing transaction exposures
(19,761)
6,983
6,361
77,736
85,475
Otheroff-balance sheet items 17 Off-balance sheetexposure atgross notional amount 18 (Adjustmentsfor conversion tocredit equivalent amounts)
167,636 (93,581) 74,055
161,421 (88,293)
19 Off-balance sheet items Capital andtotal exposures 20 Tier 1 capital
73,128
62,522
59,490
21 TOTALEXPOSURES(SUM OF LINES3, 11, 16 AND 19)
1,183,411
1,177,243
Leverage ratio 22 Basel IIIleverage ratio
5.28%
5.05%
62
Risk Report Pillar III 2018
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