BPCE_PILLAR_III_2017

7 SECURITIZATION TRANSACTIONS Quantitative disclosures

Breakdown by rating

TABLE 54 – BREAKDOWN OF INVESTOR SECURITIZATION EXPOSURES IN THE BANKING BOOK BY RATING ➡

12/31/2017

12/31/2016

Equivalent rating

Equivalent rating

Standard & Poor’s

Banking book Standard & Poor’s

Banking book

as a %

AAA AA+

19%

AAA AA+

16%

2%

7%

AA

22%

AA

29%

AA-

8%

AA-

3% 5%

A+

11% 11% 13%

A+

A

A

11%

A-

A-

7% 6% 5% 1% 1% 4% 0% 0% 0% 0% 0% 1% 0% 0% 0% 3% 0%

BBB+ BBB BBB-

9% 0% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%

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

4% Not rated

Default TOTAL

D

0%

D

100%

100%

148

Risk Report Pillar III 2017