BPCE_PILLAR_III_2017
SECURITIZATION TRANSACTIONS Detailed quantitative disclosures
12/31/2016
Exposure values (by regulatory approach)
Exposure values (by RW bands)
RWA (by regulatory approach) Capital requirement after cap
> 100% to <1,250% RW
IRB RBA (incl- uding
IRB RBA (incl- uding
IRB RBA (incl- uding
> 20% to 50% RW
> 50% to 100% RW
≤ 1,250% RW
≤ 20% RW
SA/ SSFA 1,250%
SA/ SSFA 1,250%
SA/ SSFA 1,250%
in millions of euros
IAA) IRB SFA
IAA) IRB SFA
IAA) IRB SFA
Total exposures
5,584 2,344 1,421 543 367 3,930 20 5,944 367 552
1 4,652 3,254 44
0 372 260
Conventional securitization 5,584 2,344 1,421 543 367 3,930 20 5,944 367 552
1 4,652 3,254 44
0 372 260
o/w securitization
5,566 2,315 1,421 541 363 3,909 20 5,914 363 534
1 4,640 3,196 43 - 4,609 2,477 28 1 31 719 15
0 371 256
o/w retail underlying
4,418 1,939 1,415 541 296 2,538
- 5,774 296 345
-
369 198
o/w wholesale underlying 1,148 377
6
0 67 1,371 20 141 67 189
0
2 58
o/w re-securitization
19 29
-
2
4 21 3 19
-
29
4 18
-
12 58 3 37 9 21
1
-
1
5
o/w senior
19
7
- -
-
-
7
3
4
-
0
-
0
3
o/w non-senior
- - - - - - - -
22
2
2
2
-
22
2 14
-
1
-
1
2
Syntheticsecuritization
- - - - - - -
- - - - - - -
- - - - - - -
- - -
- - -
- - -
- - -
-
-
-
-
-
-
-
-
-
o/w securitization
- -
- -
- -
- -
- -
- -
- -
- -
- -
o/w retail underlying
o/w wholesale underlying
-
-
-
-
-
-
-
-
-
o/w re-securitization
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
o/w senior
o/w non-senior
7
TABLE 59 – BREAKDOWN OF SECURITIZATION EXPOSURES ➡
12/31/2017
12/31/2016
Secur- itization
Re-secur- itization
Secur- itization
Re-secur- itization
Secur- itization
Re-secur- itization
Secur- itization
Re-secur- itization
EAD
EAD
RWA
RWA
EAD
EAD
RWA
RWA
in millions of euros Investor positions
7,046 6,566
2 2
3,504 3,370
15 15
9,414 8,800
171 171
8,344 8,229
86 86
On-balance sheetexposure Off-balance sheetexposure
259
- - - - - -
134 290 290
- - - - - -
614
- - - - - -
115 159 159 669 125 544
- - - - - -
Originator positions
2,421 2,421
1,787 1,787
On-balance sheetexposure Off-balance sheetexposure Sponsor positions On-balance sheetexposure Off-balance sheetexposure
4,711
1,501
4,553 1,340 3,213
873
147
3,838
1,354 5,295
TOTAL
14,178
2
15
15,755
171
9,171
86
Note:EADbeforeguarantees,excludingderivatives.
153
Risk Report Pillar III 2017
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