BPCE - 2019 RISK REPORT Pillar III

7

SECURITIZATION TRANSACTIONS

QUANTITATIVE DISCLOSURES

TABLE 63 – BREAKDOWN OF INVESTOR AND SPONSOR SECURITIZATION EXPOSURES IN THE TRADING BOOK

12/31/2019

12/31/2018

Equivalent rating

Equivalent rating

Standard & Poor’s

Standard & Poor’s

Banking book

Banking book

as a %

AAA AA+

71%

AAA AA+

80%

5%

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

AA

11%

AA

AA-

6% 1% 3% 0% 0% 1% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%

AA-

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

Not rated

Default TOTAL

D

D

100%

100%

158

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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