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.

160

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com

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