BPCE - 2019 RISK REPORT Pillar III
7
DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS
TABLE 65 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (ORIGINATOR AND SPONSOR POSITIONS)
12/31/2019
Exposure values (by RW band)
Exposure values (by regulatory approach)
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 3,358 1,439 267 Traditional securitization 1,854 376 153 o/w securitization 1,854 376 153
17 137 1,376 2,719
985 137 239 518
326 372
19
41
26
30
17 137 1,376 17 137 1,376
39 39
985 137 239 985 137 239
22 22
326 372 326 372
19 19
2 2
26 26
30 30
o/w retail underlying
182
16
-
-
69 182
-
16
69
16
-
6
6
1
-
0
0
o/w wholesale underlying
1,672 360 153
17
69 1,194
39
969
69 222
22
320 366
18
2
26
29
o/w re-securitization
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
o/w senior
o/w non-senior
Synthetic securitization 1,504 1,062 114 o/w securitization 1,504 1,062 114
- -
0 0
- 2,680 - 2,680
- -
0 0
-
497 497
- -
0 0
- -
40 40
-
0 0
-
-
o/w retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
o/w wholesale underlying
1,504 1,062 114
-
0
- 2,680
-
0
-
497
-
0
-
40
-
0
o/w re-securitization
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
o/w senior
Post-guarantee EADs. RBA: Ratings-Based Approach. IAA: Internal Assessment Approach. SFA: Supervisory Formula Approach.
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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