BPCE - 2018 Risk report / Pillar III

SECURITIZATION TRANSACTIONS Detailed quantitative disclosures

TABLE 63 – BREAKDOWN OF SECURITIZATION EXPOSURES ➡

12/31/2018

12/31/2017

SecuritizationRe-securitizationSecuritizationRe-securitization

SecuritizationRe-securitization SecuritizationRe-securitization

EAD

EAD

RWAs 2,545 2,464

EAD

EAD

EAD

RWAs 3,504 3,370

RWAs

in millions of euros Investor positions

6,124

0 0 0

0 0

7,046 6,787

2 2

15 15

On-balance sheetexposure Off-balance sheetexposure

5,613

511

80

- - - - - - -

259

- - - - - -

134 290 290

- - - - - -

Originator positions

2,928

- - - - - -

620 609

2,421 2,421

On-balance sheetexposure Off-balance sheetexposure

2,899

29

10

Sponsor positions

5,833

1,970

4,711

1,501

On-balance sheetexposure Off-balance sheetexposure

1,506 4,327

338

873

147

1,632 5,135

3,838

1,354 5,295

TOTAL

14,886

0

0

14,178

2

15

Note: Post-guaranteeEADs,excluding derivatives.

Trading book TABLE 64 – SECURITIZATION EXPOSURES (EAD) ➡

12/31/2018

7

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total Traditional

Synthetic Sub-total Traditional

Synthetic Sub-total

in millions of euros

Retail (total)…ofwhich

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

405 206 200

- - - - - - - - - - - - - - - - - - - - - -

405 206 200

RMBS

ConsumerABS

- -

- -

Other ABS

Re-securitization

Wholesale(total)…of which

198

198

-

-

Corporate loans

0

0

CMBS

196

196

CDO/CLO

0 1

0 1

Other wholesale Re-securitization

12/31/2017

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

in millions of euros

Retail (total)…ofwhich

560 135 307 118

560 135 307 118

RMBS

ConsumerABS

Other ABS

-

-

Re-securitization

Wholesale(total)…of which

102

102

- -

- -

Corporate loans

CMBS

46 54

46 54

CDO/CLO

Other wholesale Re-securitization

1

1

161

Risk Report Pillar III 2018