BPCE - Risk Report - Pillar III 2020

7

DETAILED QUANTITATIVE DISCLOSURES SECURITIZATION TRANSACTIONS

BPCE30 – BREAKDOWN OF SECURITIZATION EXPOSURES

12/31/2020

12/31/2019

Securitization Resecuritization Securitization Resecuritization Securitization Resecuritization Securitization Resecuritization

EAD

EAD

RWAs 2,230 2,005

RWAs

EAD

EAD

RWAs 2,260 2,177

RWAs

in millions of euros

Investor positions

6,501 5,267

0 0

2 1

5,761 5,195

3 3

17 17

On-balance sheet exposure Off-balance sheet exposure and derivatives On-balance sheet exposure Off-balance sheet exposure and derivatives On-balance sheet exposure Off-balance sheet exposure and derivatives Originator positions Sponsor positions

1,234 2,771 2,762

0

225

1

565

-

82

-

-

1,265 1,260

-

3,101 3,085

-

1,132 1,126

-

-

-

-

-

9

-

5

-

16

-

6

-

8,766

-

1,382

-

6,409 1,656

-

1,117

-

0

-

0

-

-

212

-

8,766

-

1,382 4,878

-

4,753

-

905

-

TOTAL

18,038

0

2

15,271

3

4,509

17

Trading book

EU SEC2 – SECURITIZATION EXPOSURES (EAD)

12/31/2020

Originator

Sponsor

Investor

in millions of euros

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Retail (total)…of which

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

- - - - - - - - - - - - - - - - - - - - - -

540 294 246

- - - - - - - - - - - - - - - - - - - - - -

540 294 246

RMBS

Consumer ABS

Other ABS

- -

- -

Resecuritization

Wholesale (total)…of which

155

155

Corporate loans

86

86

CMBS

- - -

- - -

CDO/CLO

Other wholesale Resecuritization

1

1

12/31/2019

Originator

Sponsor

Investor

in millions of euros

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Retail (total)…of which

694 185 509

694 185 509

RMBS

Consumer ABS

Other ABS

-

-

Resecuritization

1

1

Wholesale (total)…of which

237

237

Corporate loans

- -

- -

CMBS

CDO/CLO

209

209

Other wholesale Resecuritization

26

26

1

1

172

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com