BPCE - 2018 Registration document

RISK REPORT Securitization transactions

The various relevant portfolios are specially monitored by the entities and subsidiaries, and by the central institution. Depending on the scope involved, special management or steering committees regularly review the main positions and management strategies. The central institution’s DRCCP regularly reviews securitization exposures (quarterly mapping), changes in portfolio structure, risk-weighted assets and potential losses. Regular assessments of potential losses are discussed by the Umbrella Committee, as are disposal opportunities. At the same time, special purpose surveys are conducted by the teams on potential losses and changes in risk-weighted assets through internal stress scenarios (risk-weighted assets and loss on completion).

Risk-weighted assets are monitored according to changes in ratings and impacts associated with methodology adjustments made by the rating agencies. In addition, performance is also monitored with the aim of anticipating rating changes and credit risk. RWA is calculated on the basis of ratings issued by authorized agencies, which rate the transactions in which the Group invests. Finally, the DRCCP controls risks associated with at-risk securitization positions by identifying ratings downgrades and monitoring changes in exposures (valuation, detailed analysis). Major exposures are systematically submitted to the Group Watchlist and Provisions Committee, which meets quarterly to determine the appropriate level of provisioning.

6.7.3

Quantitative disclosures

BREAKDOWN OF EXPOSURES AND RISK-WEIGHTED ASSETS BREAKDOWN OF EXPOSURES BY TYPE OF SECURITIZATION ➡

12/31/2018

12/31/2017

Exposures

EAD

Exposures

EAD

in millions of euros Banking book

15,055 12,307

14,886 12,289

15,710 13,388

14,180 11,984

Traditional securitization Synthetic securitization

2,748

2,597

2,322

2,195

Trading book

603

603

663

663

TOTAL

15,658

15,489

16,373

14,843

Note: Post-guarantee exposures.

BREAKDOWN OF EAD AND RWA BY TYPE OF PORTFOLIO ➡

6

12/31/2018

12/31/2017

Change

EAD

RWAs 5,135 2,545

EAD

RWAs 5,310 3,485

EAD 706

RWAs (175) (940)

in millions of euros Banking book

14,886

14,180

Investor

6,124 2,928 5,833

7,048 2,421 4,711

(924)

Originator Sponsor

620

324

507

296 469

1,970

1,501

1,122

Trading book

603 603

254 254

663 663

259 259

(60) (60)

(5) (5)

Investor Sponsor TOTAL

0

0

0

0

0

0

15,489

5,389

14,843

5,569

646

(180)

Note: Post-guarantee exposures.

663

Registration document 2018