BPCE_PILLAR_III_2017

SECURITIZATION TRANSACTIONS Detailed quantitative disclosures

TABLE 57 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (ORIGINATOR AND SPONSOR ➡ POSITIONS)

12/31/2017

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Capital requirement after cap

IRB RBA

IRB RBA

IRB RBA

> 50% to 100% RW

> 100% to <1,250%1,250%

> 20% to 50% RW

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤ 20% RW

IRB SFA

SA/ SSFA 1,250%

IRB SFA

SA/ SSFA 1,250%

IRB SFA

SA/ SSFA 1,250%

in millions of euros Total exposures

4,423 1,890 601

3 214 2,124 2,206 2,587 214 381 221 1,168 19 31 18 93 2

Conventional securitization 2,228 1,890 601

3 214 2,124 11 2,587 214 381 3 214 2,124 11 2,587 214 381

2 1,168 19 31

0 93

2

o/w securitization

2,228 1,890 601 258 748 172

2 1,168 19 31

0 93

2

o/w retail underlying

-

0 347

-

831

0 104

-

431

2

8

-

34

0

o/w wholesale underlying 1,970 1,142 429

3 214 1,778 11 1,755 214 277

2 737 17 22

0 59

1

o/w re-securitization

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- -

- -

- -

-

-

-

-

-

o/w senior

-

-

-

-

o/w non-senior

-

-

-

-

-

-

-

-

-

Syntheticsecuritization

2,195

-

-

-

0

- 2,195

-

0

- 219

-

0

-

18

-

0

o/w securitization

2,195

-

-

-

0

- 2,195

-

0

-

219

-

0

-

18

-

0

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying 2,195

-

-

-

0

- 2,195

-

0

-

219

-

0

-

18

-

0

o/w re-securitization

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

o/w senior

Note: EAD afterguarantees. RBA: Ratings-Based Approach. IAA: InternalAssessmentApproach. SFA: Supervisory Formula Approach.

7

12/31/2016

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Capital requirement after cap

IRB RBA

IRB RBA

IRB RBA

> 50% to 100% RW

> 20% to 50% RW

> 100% to <1,250% 1,250%

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤ 20% RW

IRB SFA

SA/ SSFA 1,250%

IRB SFA

SA/ SSFA 1,250%

IRB SFA

SA/ SSFA 1,250%

in millions of euros 

Total exposures

5,781 247 313

1

0 4,006 1,728 608

1 479 154 223

5 38 12 18

0

Conventional securitization 4,170 247 313

1

0 4,006 117 608

1 479

8 223

5 38

1 18

0

o/w securitization

4,170 247 313

1

0 4,006 117 608

0 479

8 223

5 38

1 18

0

o/w retail underlying

1,147 93

6

-

- 1,098

-

148

-

144

-

33

-

11

-

3

-

o/w wholesale underlying 3,024 154 307

1

0 2,908 117 460

0 335

8 189

5 27

1 15

0

o/w re-securitization

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

0 0

- - -

- - -

- - -

-

-

-

-

-

o/w senior

-

-

-

-

o/w non-senior

-

-

-

-

-

-

Syntheticsecuritization

1,610

-

-

-

-

- 1,610

-

-

- 146

-

-

-

12

-

-

o/w securitization

1,610

-

-

-

-

- 1,610

-

-

-

146

-

-

-

12

-

-

o/w retail underlying

- -

-

-

-

-

-

- -

- -

- -

-

-

-

o/w wholesale underlying 1,610

-

1,610

- - - -

- - - -

146

12

-

-

o/w re-securitization

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

o/w senior

o/w non-senior

151

Risk Report Pillar III 2017

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