BPCE_REGISTRATION_DOCUMENT_2017
3 RISK REPORT
Securitization transactions
At the same time, special purposesurveysare conductedby the teams on potential losses and changes in risk-weighted assets through internal stress scenarios (risk-weighted assets and loss at completion). Risk-weightedassets are monitored according to changes in ratings and impacts associated with methodologyadjustmentsmade by the rating agencies. In addition, performanceis also monitored with the aim of anticipatingrating changes and credit risk. RWA is calculated
on the basis of ratings issued by authorizedagencies, which rate the transactions inwhich the Group invests. Finally, the DRCCP controlsrisks associatedwith at-risk securitization positions by identifying ratings downgradesand monitoring changes in exposures (valuation, detailed analysis). Major exposures are systematically submitted to the quarterly Group Watchlist and Provisions Committee to determine the appropriate level of provisioning.
3.7.3
Quantitative disclosures
BREAKDOWN OF EXPOSURES AND RISK-WEIGHTED ASSETS
BREAKDOWN OF EXPOSURES BY TYPE OF SECURITIZATION ➡
12/31/2017
12/31/2016
Outstandings
EAD
Outstandings
EAD
in millions of euros Bankingbook
15,710 13,388
14,180 11,984
18,563 16,865
18,443 16,833
Conventionalsecuritization Syntheticsecuritization
2,322
2,195
1,698
1,610
Trading book
663
663
248
248
TOTAL
16,373
14,843
18,811
18,690
Note:exposuresbeforeguarantees. BREAKDOWN OF EAD AND RWA BY TYPE OF PORTFOLIO ➡
12/31/2017
12/31/2016
Change
EAD
RWA
EAD
RWA
EAD
RWA
in millions of euros Bankingbook
14,180
5,310 3,485
18,443 12,102
9,604 8,743
(4,263) (5,054)
(4,294) (5,258)
Investor
7,048 2,421 4,711
Originator Sponsor
324
1,787 4,554
192 669
634 157 415 415
132 832 180 180
1,501
Trading book
663 663
259 259
248 248
79 79
Investor Sponsor TOTAL
0
0
0
0
(0)
(0)
14,843
5,569
18,691
9,683
(3,848)
(4,114)
Note:exposuresbeforeguarantees.
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Registration document 2017
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