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