BPCE - 2019 RISK REPORT Pillar III

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

Detailed quantitative disclosures 7.4

Banking book

TABLE 64 – SECURITIZATION EXPOSURES (EAD)

12/31/2019

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

in millions of euros Retail (total)… of which

85 85

-

85 85

1,479

-

1,479

4,844 2,715 2,129

-

4,844 2,715 2,129

RMBS

- - - -

306

- - - -

306

- - - -

Consumer ABS

- - -

- - -

1,173

1,173

Other ABS

- -

- -

- -

- -

Re-securitization

Wholesale (total)… of which

269

2,680 2,680

2,948 2,680

2,003

-

4,931

403

-

919

Corporate loans

0

- -

- - - - -

- -

0

- - - - -

0

CMBS

312

- - - -

312

62

62

7

CDO/CLO

25

25

2,4711

2,711 2,220

617 237

617 237

Other wholesale Re-securitization

- -

- -

2,220

-

-

3

3

12/31/2018

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

in millions of euros Retail (total)… of which

55 32 23

-

55 32 23

636 411 225

-

636 411 225

5,614 3,262 2,353

-

5,614 3,262 2,353

RMBS

- - - -

- - - -

- - - -

Consumer ABS

Other ABS

- -

- -

- -

- -

- -

- -

Re-securitization

Wholesale (total)… of which

277

2,597 2,376

2,873 2,380

5,197

-

5,197

510

-

510

Corporate loans

4

- -

- - - - -

- -

-

- - - - -

-

CMBS

215

-

215 278

30

30

CDO/CLO

57

220

3,342 1,855

3,342 1,855

373 107

373 107

Other wholesale Re-securitization

- -

- -

- -

-

-

0

0

159

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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