BPCE - 2019 RISK REPORT Pillar III

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

12/31/2018

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 5,070 2,767 767 Traditional securitization 2,473 2,767 767 o/w securitization 2,473 2,767 767

16 142 2,889 2,622 3,108 142 636 224 1,465 265

51

18

117

21

16 142 2,889 16 142 2,889

26 3,108 142 636 26 3,108 142 636

25 1,465 265 25 1,465 265

51 51

2 2

117 117

21 21

o/w retail underlying

279 137 309

3

2 234

15

440

2

42

9

298

22

3

1

24

2

o/w wholesale underlying

2,194 2,630 457

14 140 2,655

10 2,668 140 594

16 1,167 243

48

1

93

19

o/w re-securitization

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

o/w senior

o/w non-senior

Synthetic securitization 2,597 o/w securitization 2,597

-

-

-

0 0

- 2,597 - 2,597

-

0 0

-

199 199

-

0 0

- -

16 16

-

0 0

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

7

o/w wholesale underlying

2,597

-

-

-

0

- 2,597

-

0

-

199

-

0

-

16

-

0

o/w re-securitization

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

o/w senior

161

RISK REPORT PILLAR III 2019 | GROUPE BPCE