BPCE - 2020 Universal Registration Document

6

RISK FACTORS & RISK MANAGEMENT

SECURITIZATION TRANSACTIONS

BREAKDOWN OF EAD AND RWA BY TYPE OF PORTFOLIO

12/31/2020

12/31/2019

Change

EAD

RWAs 4,880 2,232 1,265 1,382

EAD

RWAs 4,526 2,277 1,132 1,117

EAD

RWAs

in millions of euros Banking book

18,038

15,274

2,764

354 (45) 133 265 (93) (93)

Investor

6,501 2,771 8,766

5,763 3,101 6,410

738

Originator

(330) 2,356 (236) (236)

Sponsor

Trading book

695 695

187 187

931 931

280 280

Investor Sponsor TOTAL

-

-

-

-

-

-

18,734

5,067

16,205

4,806

2,529

261

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

12/31/2020

12/31/2019

Standard & Poor’s equivalent rating

Standard & Poor’s equivalent rating

Banking book

Banking book

as a %

AAA AA+

39%

AAA AA+

47%

8%

4% 9% 9% 8% 3% 4% 9% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 6% 0%

AA

11%

AA

AA-

3%

AA-

A+

10%

A+

A

4% 0% 7% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%

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

17%

Not rated

Default TOTAL

D

0%

D

100%

100%

666

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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