BPCE_PILLAR_III_2017
SECURITIZATION TRANSACTIONS Quantitative disclosures
TABLE 55 – BREAKDOWN OF INVESTOR AND SPONSOR SECURITIZATION EXPOSURES IN THE TRADING BOOK ➡
12/31/2017
12/31/2016
Equivalent rating
Equivalent rating
Trading book Standard & Poor’s
Standard & Poor’s
Trading book
as a %
AAA AA+
64%
AAA AA+
44%
4%
6%
AA
17%
AA
23%
AA-
1% 2% 1% 1% 2% 3% 1% 1% 2% 0% 0% 0% 0% 0% 0% 0% 0% 0%
AA-
2% 1% 8% 3% 0% 1% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
A+
A+
A
A
A-
A-
12%
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-
7
CC
CC
Non-investment grade
C
C
Not rated
Not rated
0% Not rated
Default TOTAL
D
0%
D
100%
100%
149
Risk Report Pillar III 2017
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