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 <1250% RW

≤20% RW

1,250% RW

ding IAA)

IRB SFA SA/SSFA 1,250%

ding IAA)

IRB SFA SA/SSFA 1250%

ding IAA)

IRB SFA SA/SSFA 1,250%

in millions of euros

Total exposures 3,799 1,600 565 Traditional securitization 3,799 1,600 565 o/w securitization 3,799 1,600 565

24 137 2,023

-

3,965 137 246

-

1,755 543

20

-

140

43

24 137 2,023 24 136 2,023

-

3,965 137 246 3,965 136 246

-

1,755 543 1,755 542

20 20

- -

140 140

43 43

-

-

o/w retail underlying

3,519 1,502 557

4

33 1,639

-

3,941

33 143

-

1,655 369

11

-

132

30

o/w wholesale underlying o/w re-securitization

280

98

8

20 103 384

-

23 103 103

-

99 173

8

-

8

14

- - -

- - -

- - -

- - -

0 0 0

- - -

- - -

- - -

0 0 0

- - -

- - -

- - -

1 1 0

- - -

- - -

- - -

0 0 0

o/w senior

o/w non-senior Synthetic securitization o/w securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

7

o/w wholesale underlying o/w re-securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

o/w senior

o/w non-senior

163

RISK REPORT PILLAR III 2019 | GROUPE BPCE