BPCE - Risk Report - Pillar III 2020

7

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

EU SEC3 – SECURITIZATION EXPOSURES AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS (ORIGINATOR & SPONSOR POSITIONS)

12/31/2020

Exposure values (by RW band)

Exposure values (by regulatory approach)

RWAS (by regulatory approach)

Capital requirement after cap

IRB RBA

IRB RBA

IRB RBA

>20% to 50% RW

>50% to 100% RW

> 100% to <1,250%

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤20% RW

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

in millions of euros

RW 1,250%

exposures 1,815

22 851

51 8,798 2,525 445 8,542

25 823 283 1,233 309

66

23

99

25

Traditional securitization o/w securitization

289 289

22 22

5 5

51 8,798 153 445 8,542 51 8,798 153 445 8,542

25 25

34 283 1,233 309 34 283 1,233 309

3 3

23 23

99 99

25 25

o/w retail underlying

74

9

- -

0

0

(0)

(0)

83

(0)

- -

0 0

5

0

- -

0 0

0

0

o/w STS

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

215

12

5

51 8,798 153 445 8,459

25

34 283 1,228 308

3

23

98

25

o/w STS

-

-

-

-

927

-

-

927

-

-

-

86

-

-

-

7

-

o/w wholesale underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Synthetic securitization

1,526

-

846 846

-

0 2,372 0 2,372

-

-

0 789 0 789

-

-

0 0

63 63

-

-

0 0

o/w securitization 1,526

-

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying o/w resecuritization

1,526

-

846

-

0 2,372

-

-

0 789

-

-

0

63

-

-

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

12/31/2019

Exposure values (by RW band)

Exposure values (by regulatory approach)

RWAS (by regulatory approach)

Capital requirement after cap

IRB RBA

IRB RBA

IRB RBA

>20% to 50% RW

>50% to 100% RW

> 100% to <1,250%

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤20% RW

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

in millions of euros

RW 1,250%

Total exposures 3,358 1,439 267

17 137 1,376 2,719 985 137 239 518 326 372

19

41

26

30

Traditional securitization

1,854 376 153

17 137 1,376 17 137 1,376

39 985 137 239 39 985 137 239

22 326 372 22 326 372

19 19

2 2

26 26

30 30

o/w securitization 1,854 376 153

o/w retail underlying

182

16

-

-

69 182

-

16

69

16

-

6

6

1

-

0

0

o/w wholesale underlying o/w resecuritization

1,672 360 153

17

69 1,194

39 969

69 222

22 320 366

18

2

26

29

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

o/w senior

o/w non-senior

Synthetic securitization

1,504 1,062 114

-

0 0

- 2,680

-

0 0

-

497 497

-

0 0

-

40 40

-

0 0

o/w securitization 1,504 1,062 114

-

-

2,680

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

1,504 1,062 114

- - -

0

- - -

2,680

- - -

0

- - -

497

- - -

0

- - -

40

- - -

0

o/w resecuritization

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

o/w senior

170

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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