BPCE - Risk Report - Pillar III 2020

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

Detailed quantitative disclosures 7.4

Banking book

EU SEC1 – SECURITIZATION EXPOSURES (EAD)

12/31/2020

Originator

Sponsor

Investor

Traditional

Traditional

Traditional

o/w non STS

o/w non STS

o/w STS

o/w STS

o/w non STS

o/w STS

Synthetic Sub-total

Synthetic Sub-total

Synthetic Sub-total

in millions of euros

Retail (total) …of which

-

83 83

-

83 83

-

-

-

-

548 321 228

4,661 2,690 1,971

-

5,209 3,011 2,198

RMBS

- - - -

- - - -

- - - -

- - - -

- - - -

- - - -

- - - -

Consumer ABS

- - -

- - -

Other ABS

- -

- -

- -

Resecuritization

Wholesale (total)…of which

7

-

315

2,372 2,372

2,687 2,390

927

7,839 5,061

-

8,766 5,061

-

1,292

0

1,292

Corporate loans

- - - - -

18

- -

- - - - -

- - - - -

626

- -

626

CMBS

297

- - - -

297

- -

-

52

52

CDO/CLO

- - -

- - -

250 677

250

413 201

0

413 201

Other wholesale Resecuritization

2,778

3,456

- -

-

-

-

0

0

12/31/2019

Originator

Sponsor

Investor

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

Traditional

Synthetic Sub-total

in millions of euros

Retail (total) …of which

85 85

-

85 85

1,479

-

1,479

4,844 2,715 2,129

-

4,844 2,715 2,129

RMBS

- - - -

306

- - - -

306

- - - -

Consumer ABS

- - -

- - -

1,173

1,173

Other ABS

- -

- -

- -

- -

Resecuritization

Wholesale (total)…of which

336

2,680 2,680

3,016 2,680

4,931

-

4,931

919

-

919

Corporate loans

0

- -

- - - - -

- -

0

- - - - -

0

CMBS

312

- - - -

312

62

62

CDO/CLO

25

25

2,711 2,220

2,711 2,220

617 237

617 237

Other wholesale Resecuritization

- -

- -

-

-

3

3

169

RISK REPORT PILLAR III 2020 | GROUPE BPCE