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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