BPCE - Risk Report - Pillar III 2020

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

EU SEC4 – SECURITIZATION EXPOSURES AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS (INVESTOR 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% RW

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤20% RW

<1,250% RW

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

in millions of euros

Total exposures 4,130 1,573 630 163 Traditional securitization 4,130 1,573 630 163 o/w securitization 4,130 1,573 630 163

5

- 4,632 1,867

2

- 1,803 361

68

-

144

29

5

5 5

- 4,632 1,867

2 2

- 1,803 361

68 66

-

144 144

29 29

5 5

-

4,632 1,867

-

1,803 361

-

o/w retail underlying

3,070 1,501 526 112

- -

- -

4,380 829

- -

- -

1,509 200

3

- -

121

16

- -

o/w STS

548

-

-

-

526

22

53

2

-

4

-

o/w wholesale underlying

1,060

72 103

51

5

- -

253 1,038

2

- -

293 162

64

- -

23

13

5

o/w STS

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying

-

-

-

-

-

-

-

-

-

-

-

-

2

-

-

-

-

Synthetic securitization o/w securitization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w retail underlying

7

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying o/w resecuritization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

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% RW

(incl- uding IAA)

(incl- uding IAA)

(incl- uding IAA)

≤20% RW

1,250% RW

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

IRB SFA SA/SSFA 1,250%

in millions of euros

Total exposures 2,954 991 569 Traditional securitization 2,954 991 569 o/w securitization 2,954 991 569

4 135 437

- 4,081 135

49

- 1,563 481

4

-

125

38

4 135 437 2 135 437

- 4,081 135

49 49

- 1,563 481

4 4

-

125 124

38 38

-

4,078 135

-

1,547 481

-

o/w retail underlying

2,882 795 543

2

29 392

-

3,829

29

42

-

1,431 324

3

-

115

26

o/w wholesale underlying o/w resecuritization o/w non-senior Synthetic securitization o/w securitization o/w senior

73 196

26

0 106

45

-

249 106

7

-

115 157

1

-

9

13

- - -

- - -

- - -

3 3

0 0 0

- - -

- - -

3 3

0 0 0

- - -

- - -

17 17

0 0 0

- - -

- - -

1 1

0 0 0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w retail underlying

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

o/w wholesale underlying o/w resecuritization

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

- - -

o/w senior

o/w non-senior

171

RISK REPORT PILLAR III 2020 | GROUPE BPCE