BPCE_PILLAR_III_2017
SECURITIZATION TRANSACTIONS Detailed quantitative disclosures
TABLE 57 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (ORIGINATOR AND SPONSOR ➡ POSITIONS)
12/31/2017
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
Capital requirement after cap
IRB RBA
IRB RBA
IRB RBA
> 50% to 100% RW
> 100% to <1,250%1,250%
> 20% to 50% RW
(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 Total exposures
4,423 1,890 601
3 214 2,124 2,206 2,587 214 381 221 1,168 19 31 18 93 2
Conventional securitization 2,228 1,890 601
3 214 2,124 11 2,587 214 381 3 214 2,124 11 2,587 214 381
2 1,168 19 31
0 93
2
o/w securitization
2,228 1,890 601 258 748 172
2 1,168 19 31
0 93
2
o/w retail underlying
-
0 347
-
831
0 104
-
431
2
8
-
34
0
o/w wholesale underlying 1,970 1,142 429
3 214 1,778 11 1,755 214 277
2 737 17 22
0 59
1
o/w re-securitization
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- -
- -
- -
-
-
-
-
-
o/w senior
-
-
-
-
o/w non-senior
-
-
-
-
-
-
-
-
-
Syntheticsecuritization
2,195
-
-
-
0
- 2,195
-
0
- 219
-
0
-
18
-
0
o/w securitization
2,195
-
-
-
0
- 2,195
-
0
-
219
-
0
-
18
-
0
o/w retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
o/w wholesale underlying 2,195
-
-
-
0
- 2,195
-
0
-
219
-
0
-
18
-
0
o/w re-securitization
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
o/w senior
Note: EAD afterguarantees. RBA: Ratings-Based Approach. IAA: InternalAssessmentApproach. SFA: Supervisory Formula Approach.
7
12/31/2016
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
Capital requirement after cap
IRB RBA
IRB RBA
IRB RBA
> 50% to 100% RW
> 20% to 50% RW
> 100% to <1,250% 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
Total exposures
5,781 247 313
1
0 4,006 1,728 608
1 479 154 223
5 38 12 18
0
Conventional securitization 4,170 247 313
1
0 4,006 117 608
1 479
8 223
5 38
1 18
0
o/w securitization
4,170 247 313
1
0 4,006 117 608
0 479
8 223
5 38
1 18
0
o/w retail underlying
1,147 93
6
-
- 1,098
-
148
-
144
-
33
-
11
-
3
-
o/w wholesale underlying 3,024 154 307
1
0 2,908 117 460
0 335
8 189
5 27
1 15
0
o/w re-securitization
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
0 0
- - -
- - -
- - -
-
-
-
-
-
o/w senior
-
-
-
-
o/w non-senior
-
-
-
-
-
-
Syntheticsecuritization
1,610
-
-
-
-
- 1,610
-
-
- 146
-
-
-
12
-
-
o/w securitization
1,610
-
-
-
-
- 1,610
-
-
-
146
-
-
-
12
-
-
o/w retail underlying
- -
-
-
-
-
-
- -
- -
- -
-
-
-
o/w wholesale underlying 1,610
-
1,610
- - - -
- - - -
146
12
-
-
o/w re-securitization
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
- - -
o/w senior
o/w non-senior
151
Risk Report Pillar III 2017
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