BPCE - 2019 RISK REPORT Pillar III

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SECURITIZATION TRANSACTIONS

REGULATORY FRAMEWORK AND ACCOUNTING METHODS

Terminology

Traditional securitization: the economic transfer to investors of financial assets such as loans or receivables, transforming these loans into financial securities issued on the capital market via SSPEs (securitization special purpose entities). Synthetic securitization: in a synthetic transaction, ownership of the asset is not transferred but the risk is transferred through a financial instrument, i.e. the credit derivative. Resecuritization: a securitization in which the credit risk associated with a portfolio of underlying assets is divided into tranches and for which at least one of the underlying asset exposures is a securitization position. Tranche: a contractually established segment of the credit risk associated with an exposure or number of exposures. Securitization position: an exposure to a securitization.

Liquidity facility: the securitization position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors. Originator: either an entity which, on its own or through affiliates, was directly or indirectly involved in the original agreement which created the obligations (or contingent obligations) of the obligor, giving rise to the securitization transaction or arrangement; or an entity that purchases a third party’s on-balance sheet exposures and then securitizes them. Sponsor: an institution other than an originator institution that establishes and manages an asset-backed commercial paper program or other securitization scheme that purchases exposures from third-party entities. Investor: the Group’s position when it holds securitization positions in which it has invested, but in which it does not act as originator or sponsor. These are mainly tranches acquired in programs initiated or managed by external banks.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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