BPCE - 2018 Registration document

6 RISK REPORT

Securitization transactions

BREAKDOWN BY RATING BREAKDOWN OF INVESTOR SECURITIZATION EXPOSURES IN THE BANKING BOOK BY RATING ➡

12/31/2018

12/31/2017

Equivalent rating

Equivalent rating

Standard & Poor’s

Banking book

Standard & Poor’s

Banking book

as a %

AAA AA+

29%

AAA AA+

19%

6%

2%

AA

18%

AA

22%

AA-

7%

AA-

8%

A+

10%

A+

11% 11% 13%

A

8% 8% 8% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%

A

A-

A-

BBB+ BBB BBB-

BBB+ BBB BBB-

9% 0% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 4% 0%

Investment Grade

BB+

BB+

BB

BB

BB-

BB-

B+

B+

B

B

B-

B-

CCC+ CCC CCC-

CCC+ CCC CCC-

CC

CC

Non-Investment Grade

C

C

Not rated

Not rated

6% Not rated

Default TOTAL

D

0%

D

100%

100%

664

Registration document 2018