BPCE_PILLAR_III_2017

7 SECURITIZATION TRANSACTIONS Detailed quantitative disclosures

TABLE 58 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (INVESTOR POSITIONS) ➡

12/31/2017

Exposure values (by RW bands)

Exposure values (by regulatory approach)

RWA (by regulatory approach)

Capital requirement after cap

> 100% to <1,250% RW

IRB RBA

IRB RBA

IRB RBA

> 50% to 100% RW

> 20% to 50% RW

≤ 1,250% 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

3,769 2,336 668 102 172 1,936

- 4,940 172 232

- 2,333 953 19

- 187 76

Conventional securitization 3,769 2,336 668 102 172 1,936

- 4,940 172 232

- 2,333 953 19

- 187 76

o/w securitization

3,769 2,335 668 102 172 1,936 2,973 2,278 613 45 124 1,466

- 4,939 171 232 - 4,443 124 183

- 2,333 938 19 - 2,144 470 15

-

187 75 172 38

o/w retail underlying

-

o/w wholesale underlying 796 56 55 57 48 470

-

496 48 49

-

189 468

4

-

15 37

o/w re-securitization

- - - - - - - - - -

1

- - - - - - - - - -

- - - - - - - - - -

1 1 1

- - - - - - - - - -

- - - - - - - - - -

1

1

-

-

0 14

-

-

0

1

o/w senior

-

1

-

-

-

8

-

-

-

1

o/w non-senior

1

1

1

- -

- -

0

7

-

-

0

1

Syntheticsecuritization

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

-

-

-

-

-

-

o/w securitization

- - - - -

- - - - -

- - - - -

- - - - -

- - - - -

- - - - -

- - - - -

- - - - -

o/w retail underlying

o/w wholesale underlying

o/w re-securitization

o/w senior

o/w non-senior

-

-

-

-

Note: EAD afterguarantees. RBA: Ratings-Based Approach. IAA: internalassessment approach. SFA: supervisory formula approach.

152

Risk Report Pillar III 2017

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