BPCE - 2019 RISK REPORT Pillar III
7
DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS
TABLE 66 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (INVESTOR 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 24 <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 2,954 991 569 Traditional securitization 2,954 991 569 o/w securitization 2,954 991 569
4 135 437
-
4,081 135
49
-
1,563 481
4
-
125
38
4 135 437 2 135 437
-
4,081 135 4,078 135
49 49
-
1,563 481 1,547 481
4 4
-
125 124
38 38
-
-
-
o/w retail underlying
2,882 795 543
2
29 392
-
3,829
29
42
-
1,431 324
3
-
115
26
o/w wholesale underlying o/w re-securitization o/w non-senior Synthetic securitization o/w securitization o/w senior
73 196
26
0 106
45
-
249 106
7
-
115 157
1
-
9
13
- - -
- - -
- - -
3 3
0 0 0
- - -
- - -
3 3
0 0 0
- - -
- - -
17 17
0 0 0
- - -
- - -
1 1
0 0 0
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
o/w retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
o/w wholesale underlying o/w re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
o/w senior
o/w non-senior
Post-guarantee EADs. RBA: Ratings-Based Approach. IAA: Internal Assessment Approach. SFA: Supervisory Formula Approach.
162
RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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