BPCE - Risk Report - Pillar III 2020

7

SECURITIZATION TRANSACTIONS

QUANTITATIVE DISCLOSURES

BPCE29 – BREAKDOWN OF INVESTOR AND SPONSOR SECURITIZATION EXPOSURES IN THE TRADING 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+

77%

AAA AA+

71%

2% 4% 1% 2% 1% 0% 0% 0% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%

5%

AA

AA

11%

AA-

AA-

6% 1% 3% 0% 0% 1% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%

A+

A+

A

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

11%

Not rated

Default TOTAL

D

0%

D

100%

100%

168

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com