BPCE - 2018 Registration document
RISK REPORT Securitization transactions
The various relevant portfolios are specially monitored by the entities and subsidiaries, and by the central institution. Depending on the scope involved, special management or steering committees regularly review the main positions and management strategies. The central institution’s DRCCP regularly reviews securitization exposures (quarterly mapping), changes in portfolio structure, risk-weighted assets and potential losses. Regular assessments of potential losses are discussed by the Umbrella Committee, as are disposal opportunities. At the same time, special purpose surveys are conducted by the teams on potential losses and changes in risk-weighted assets through internal stress scenarios (risk-weighted assets and loss on completion).
Risk-weighted assets are monitored according to changes in ratings and impacts associated with methodology adjustments made by the rating agencies. In addition, performance is also monitored with the aim of anticipating rating changes and credit risk. RWA is calculated on the basis of ratings issued by authorized agencies, which rate the transactions in which the Group invests. Finally, the DRCCP controls risks associated with at-risk securitization positions by identifying ratings downgrades and monitoring changes in exposures (valuation, detailed analysis). Major exposures are systematically submitted to the Group Watchlist and Provisions Committee, which meets quarterly to determine the appropriate level of provisioning.
6.7.3
Quantitative disclosures
BREAKDOWN OF EXPOSURES AND RISK-WEIGHTED ASSETS BREAKDOWN OF EXPOSURES BY TYPE OF SECURITIZATION ➡
12/31/2018
12/31/2017
Exposures
EAD
Exposures
EAD
in millions of euros Banking book
15,055 12,307
14,886 12,289
15,710 13,388
14,180 11,984
Traditional securitization Synthetic securitization
2,748
2,597
2,322
2,195
Trading book
603
603
663
663
TOTAL
15,658
15,489
16,373
14,843
Note: Post-guarantee exposures.
BREAKDOWN OF EAD AND RWA BY TYPE OF PORTFOLIO ➡
6
12/31/2018
12/31/2017
Change
EAD
RWAs 5,135 2,545
EAD
RWAs 5,310 3,485
EAD 706
RWAs (175) (940)
in millions of euros Banking book
14,886
14,180
Investor
6,124 2,928 5,833
7,048 2,421 4,711
(924)
Originator Sponsor
620
324
507
296 469
1,970
1,501
1,122
Trading book
603 603
254 254
663 663
259 259
(60) (60)
(5) (5)
Investor Sponsor TOTAL
0
0
0
0
0
0
15,489
5,389
14,843
5,569
646
(180)
Note: Post-guarantee exposures.
663
Registration document 2018
Made with FlippingBook flipbook maker