BPCE - Risk Report - Pillar III 2020

SECURITIZATION TRANSACTIONS

QUANTITATIVE DISCLOSURES

Breakdown by rating

BPCE28 – 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

7

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%

167

RISK REPORT PILLAR III 2020 | GROUPE BPCE