BPCE - 2019 RISK REPORT Pillar III

7

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

TABLE 67 – BREAKDOWN OF SECURITIZATION EXPOSURES

12/31/2019

12/31/2018

Securiti- zation

Resecuriti- zation

Securiti- zation

Resecuriti- zation

Securiti- zation

Resecuriti- zation

Securiti- zation

Resecuriti- zation

EAD

EAD

RWAs 2,260 2,177

RWAs

EAD

EAD

RWAs 2,544 2,464

RWAs

in millions ofeuros

Investor positions

5,761 5,195

3 3

17 17

6,124 5,613

0 0 0

0 0

On-balance sheet exposure Off-balance sheet exposure

565

-

82

-

511

80

-

Originator positions

3,101 3,058

-

1,132 1,126

-

2,928 2,899

-

620 609

-

On-balance sheet exposure Off-balance sheet exposure

- -

- -

- -

- -

16

6

29

10

Sponsor positions

6,409 1,656 4,753

-

1,117

-

5,833 1,506 4,327

-

1,970

-

On-balance sheet exposure Off-balance sheet exposure

- -

212 905

- -

- -

338

- -

1,632 5,135

TOTAL

15,271

3

4,509

17

14,886

0

0

Trading book

TABLE 68 – SECURITIZATION EXPOSURES (EAD)

12/31/2019

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

in millions of euros Retail (total)… of which

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - - -

694 185 509

- - - - - - - - - - -

694 185 509

RMBS

Consumer ABS

Other ABS

-

-

Re-securitization

1

1

Wholesale (total)… of which

237

237

Corporate loans

- -

- -

CMBS

CDO/CLO

209

209

Other wholesale Re-securitization

26

26

1

1

164

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com