BPCE_PILLAR_III_2017
7 SECURITIZATION TRANSACTIONS Detailed quantitative disclosures
TABLE 58 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (INVESTOR POSITIONS) ➡
12/31/2017
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA (by regulatory approach)
Capital requirement after cap
> 100% to <1,250% RW
IRB RBA
IRB RBA
IRB RBA
> 50% to 100% RW
> 20% to 50% RW
≤ 1,250% 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
3,769 2,336 668 102 172 1,936
- 4,940 172 232
- 2,333 953 19
- 187 76
Conventional securitization 3,769 2,336 668 102 172 1,936
- 4,940 172 232
- 2,333 953 19
- 187 76
o/w securitization
3,769 2,335 668 102 172 1,936 2,973 2,278 613 45 124 1,466
- 4,939 171 232 - 4,443 124 183
- 2,333 938 19 - 2,144 470 15
-
187 75 172 38
o/w retail underlying
-
o/w wholesale underlying 796 56 55 57 48 470
-
496 48 49
-
189 468
4
-
15 37
o/w re-securitization
- - - - - - - - - -
1
- - - - - - - - - -
- - - - - - - - - -
1 1 1
- - - - - - - - - -
- - - - - - - - - -
1
1
-
-
0 14
-
-
0
1
o/w senior
-
1
-
-
-
8
-
-
-
1
o/w non-senior
1
1
1
- -
- -
0
7
-
-
0
1
Syntheticsecuritization
- - - - - - -
- - - - - - -
- - - - - - -
- - - - - - -
-
-
-
-
-
-
o/w securitization
- - - - -
- - - - -
- - - - -
- - - - -
- - - - -
- - - - -
- - - - -
- - - - -
o/w retail underlying
o/w wholesale underlying
o/w re-securitization
o/w senior
o/w non-senior
-
-
-
-
Note: EAD afterguarantees. RBA: Ratings-Based Approach. IAA: internalassessment approach. SFA: supervisory formula approach.
152
Risk Report Pillar III 2017
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