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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