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