BPCE - 2019 RISK REPORT Pillar III
SECURITIZATION TRANSACTIONS
QUANTITATIVE DISCLOSURES
Breakdown by rating
TABLE 62 – BREAKDOWN OF INVESTOR SECURITIZATION EXPOSURES IN THE BANKING BOOK BY RATING
12/31/2019
12/31/2018
Equivalent rating
Equivalent rating
Banking book
Standard & Poor’s
Banking book Standard & Poor’s
as a %
AAA AA+
47%
AAA AA+
29%
4% 9% 9% 8% 3% 4% 9% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 6% 0%
6%
AA
AA
18%
AA-
AA-
7%
A+
A+
10%
A
A
8% 8% 8% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 6% 0%
A-
A-
BBB+ BBB BBB-
BBB+ BBB BBB-
Investment grade
BB+
BB+
BB
BB
BB-
BB-
7
B+
B+
B
B
B-
B-
CCC+ CCC CCC-
CCC+ CCC CCC-
CC
CC
Non investment grade
C
C
Not rated
Not rated
Not rated
Default TOTAL
D
D
100%
100%
157
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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