BPCE - 2018 Risk report / Pillar III

7 SECURITIZATION TRANSACTIONS Detailed quantitative disclosures

TABLE 62 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (INVESTOR 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-

> 20% to 50% RW

> 50% to 100% RW

> 100% to < 1,250% RW

≤ 20% RW

1,250% 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%

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

3,799 1,600 565

24 137 2,023

- 3,965 137 246

- 1,755 543 20

-

140 43

3,799 1,600 565 3,799 1,600 565

24 137 2,023 24 136 2,023

- 3,965 137 246 - 3,965 136 246

- 1,755 543 20 - 1,755 542 20

-

140 43 140 43

-

o/w retail underlying

3,519 1,502 557

4 33 1,639

- 3,941 33 143

- 1,655 369 11

-

132 30

o/w wholesale underlying

280 98

8

20 103 384

-

23 103 103

- -

99 173

8

-

8 14

o/w re-securitization

-

-

-

-

0

-

-

-

0

-

-

1

-

-

-

0

o/w senior

- -

- -

- -

- -

0 0

- -

- -

- -

0 0

- -

- -

- -

1 0

- -

- -

- -

0 0

o/w non-senior

Synthetic securitization o/w securitization

- -

- -

- -

- -

- -

- -

- -

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w senior

- -

- -

- -

- -

- -

- -

- -

- -

- -

-

-

-

-

-

-

-

-

o/w non-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% RW

≤ 20% RW

1,250% RW

ding IAA)

IRB SFA

SA/ SSFA 1250%

ding IAA)

IRB SFA

SA/ SSFA 1250%

ding IAA)

IRB SFA

SA/ SSFA 1250%

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

3,769 2,336 668 102 172 1,936

- 4,940 172 232

- 2,333 953 19

-

187 76

3,769 2,336 668 102 172 1,936 3,769 2,335 668 102 172 1,936

- 4,940 172 232 - 4,939 171 232

- 2,333 953 19 - 2,333 938 19

-

187 76 187 75

-

o/w retail underlying

2,973 2,278 613

45 124 1,466

- 4,443 124 183

- 2,144 470 15

-

172 38

o/w wholesale underlying

796 56 55

57 48 470

-

496 48 49

-

189 468

4

-

15 37

o/w re-securitization

-

1

-

-

1

-

-

1

1

-

-

0 14

-

-

0

1

o/w senior

- -

-

- -

- -

1 1

- -

- -

1

-

-

-

8

-

-

-

1

o/w non-senior

1

1

1

-

-

0

7

-

-

0

1

Synthetic securitization o/w securitization

- -

- -

- -

- -

- -

- -

- -

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w senior

- -

- -

- -

- -

- -

- -

- -

- -

- -

-

-

-

-

-

-

-

-

o/w non-senior

-

-

-

-

160

Risk Report Pillar III 2018