BPCE - 2018 Risk report / Pillar III

SECURITIZATION TRANSACTIONS Detailed quantitative disclosures

TABLE 61 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (ORIGINATOR AND SPONSOR ➡ POSITIONS)

12/31/2018

Exposure values (by regulatory approach)

Exposure values (by RW bands)

RWAs (by regulatory approach) Capital requirement after cap

IRB RBA (inclu-

IRB RBA (inclu-

IRB RBA (inclu-

> 50% to 100% RW

> 100% to < 1,250%

> 20% to 50% RW

≤ 20% RW

ding IAA)

IRB SFA

SA/ SSFA 1,250%

ding IAA)

IRB SFA

SA/ SSFA 1,250%

ding IAA)

IRB SFA

SA/ SSFA 1,250%

RW 1,250%

in millions of euros Total exposures Traditional securitization o/w securitization

5,070 2,767 767

16 142 2,889 2,622 3,108 142 636 224 1,465 265 51 18 117 21

2,473 2,767 767 2,473 2,767 767

16 142 2,889 26 3,108 142 636 25 1,465 265 51 16 142 2,889 26 3,108 142 636 25 1,465 265 51

2 117 21 2 117 21

o/w retail underlying

279 137 309

3

2 234 15 440

2 42

9 298 22

3

1 24

2

o/w wholesale underlying

2,194 2,630 457

14 140 2,655 10 2,668 140 594 16 1,167 243 48

1 93 19

o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w senior

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

o/w non-senior

Synthetic securitization o/w securitization

2,597 2,597

-

-

-

0

- 2,597 - 2,597

-

0

-

199 199

-

0

-

16 16

-

0

-

-

-

0

-

0

-

-

0

-

-

0

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

7

o/w wholesale underlying

2,597

-

-

-

0

- 2,597

-

0

-

199

-

0

-

16

-

0

o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w senior

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Post-guarantee EADs. RBA: Ratings-Based Approach. IAA: InternalAssessmentApproach. SFA: Supervisory Formula Approach.

12/31/2017

Exposure values (by regulatory approach)

Exposure values (by RW bands)

RWAs (by regulatory approach)

Capital requirement after cap

IRB RBA (inclu-

IRB RBA (inclu-

IRB RBA (inclu-

> 20% to 50% RW

> 50% to 100% RW

> 100% to < 1,250%

≤ 20% RW

ding IAA)

IRB SFA

SA/ SSFA 1,250%

ding IAA)

IRB SFA

SA/ SSFA 1,250%

ding IAA)

IRB SFA

SA/ SSFA 1,250%

RW 1,250%

in millions of euros Total exposures Traditional securitization o/w securitization

4,423 1,890 601

3 214 2,124 2,206 2,587 214 381 221 1,168 19 31 18 93 2

2,228 1,890 601 2,228 1,890 601

3 214 2,124 11 2,587 214 381 3 214 2,124 11 2,587 214 381

2 1,168 19 31 2 1,168 19 31

0 93 0 93

2

2

o/w retail underlying

258 748 172

-

0 347

-

831

0 104

-

431

2

8

-

34

0

o/w wholesale underlying

1,970 1,142 429

3 214 1,778 11 1,755 214 277

2 737 17 22

0 59

1

o/w re-securitization

-

-

-

-

-

-

-

-

- -

- -

- -

-

-

-

-

-

o/w senior

- -

- -

- -

- -

- -

- -

- -

- -

-

-

-

-

o/w non-senior

-

-

-

-

-

-

-

-

-

Synthetic securitization o/w securitization

2,195 2,195

-

-

-

0

- 2,195 - 2,195

-

0

-

219 219

-

0

-

18 18

-

0

-

-

-

0

-

0

-

-

0

-

-

0

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

2,195

-

-

-

0

- 2,195

-

0

-

219

-

0

-

18

-

0

o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w senior

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

159

Risk Report Pillar III 2018