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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