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