BPCE - 2018 Risk report / Pillar III
SECURITIZATION TRANSACTIONS Detailed quantitative disclosures
TABLE 61 – SECURITIZATION EXPOSURES AND ASSOCIATED CAPITAL REQUIREMENTS (ORIGINATOR AND SPONSOR ➡ POSITIONS)
12/31/2018
Exposure values (by regulatory approach)
Exposure values (by RW bands)
RWAs (by regulatory approach) Capital requirement after cap
IRB RBA (inclu-
IRB RBA (inclu-
IRB RBA (inclu-
> 50% to 100% RW
> 100% to < 1,250%
> 20% to 50% RW
≤ 20% RW
ding IAA)
IRB SFA
SA/ SSFA 1,250%
ding IAA)
IRB SFA
SA/ SSFA 1,250%
ding IAA)
IRB SFA
SA/ SSFA 1,250%
RW 1,250%
in millions of euros Total exposures Traditional securitization o/w securitization
5,070 2,767 767
16 142 2,889 2,622 3,108 142 636 224 1,465 265 51 18 117 21
2,473 2,767 767 2,473 2,767 767
16 142 2,889 26 3,108 142 636 25 1,465 265 51 16 142 2,889 26 3,108 142 636 25 1,465 265 51
2 117 21 2 117 21
o/w retail underlying
279 137 309
3
2 234 15 440
2 42
9 298 22
3
1 24
2
o/w wholesale underlying
2,194 2,630 457
14 140 2,655 10 2,668 140 594 16 1,167 243 48
1 93 19
o/w re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
o/w senior
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
o/w non-senior
Synthetic securitization o/w securitization
2,597 2,597
-
-
-
0
- 2,597 - 2,597
-
0
-
199 199
-
0
-
16 16
-
0
-
-
-
0
-
0
-
-
0
-
-
0
o/w retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
o/w wholesale underlying
2,597
-
-
-
0
- 2,597
-
0
-
199
-
0
-
16
-
0
o/w re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
o/w senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Post-guarantee EADs. RBA: Ratings-Based Approach. IAA: InternalAssessmentApproach. SFA: Supervisory Formula Approach.
12/31/2017
Exposure values (by regulatory approach)
Exposure values (by RW bands)
RWAs (by regulatory approach)
Capital requirement after cap
IRB RBA (inclu-
IRB RBA (inclu-
IRB RBA (inclu-
> 20% to 50% RW
> 50% to 100% RW
> 100% to < 1,250%
≤ 20% RW
ding IAA)
IRB SFA
SA/ SSFA 1,250%
ding IAA)
IRB SFA
SA/ SSFA 1,250%
ding IAA)
IRB SFA
SA/ SSFA 1,250%
RW 1,250%
in millions of euros Total exposures Traditional securitization o/w securitization
4,423 1,890 601
3 214 2,124 2,206 2,587 214 381 221 1,168 19 31 18 93 2
2,228 1,890 601 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 2 1,168 19 31
0 93 0 93
2
2
o/w retail underlying
258 748 172
-
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
-
-
-
-
-
-
-
-
-
Synthetic securitization o/w securitization
2,195 2,195
-
-
-
0
- 2,195 - 2,195
-
0
-
219 219
-
0
-
18 18
-
0
-
-
-
0
-
0
-
-
0
-
-
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
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
159
Risk Report Pillar III 2018
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