BPCE - 2018 Registration document

RISK REPORT Securitization transactions

BREAKDOWN OF INVESTOR AND SPONSOR SECURITIZATION EXPOSURES IN THE TRADING BOOK ➡

12/31/2018

12/31/2017

Equivalent rating

Equivalent rating

Standard & Poor’s

Banking book Standard & Poor’s

Banking book

as a %

AAA AA+

80%

AAA AA+

64%

5% 3% 1% 1% 3% 1% 0% 2% 0% 0% 3% 1% 0% 0% 0% 0% 0% 0% 0% 0%

4%

AA

AA

17%

AA-

AA-

1% 2% 1% 1% 2% 3% 1% 1% 2% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%

A+

A+

A

A

A-

A-

BBB+ BBB BBB-

BBB+ BBB BBB-

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

0% Not rated

Default TOTAL

D

0%

D

100%

100%

6

665

Registration document 2018

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