BPCE - 2018 Risk report / Pillar III
7 SECURITIZATION TRANSACTIONS Quantitative disclosures
Breakdown by rating TABLE 58 – BREAKDOWN OF INVESTOR SECURITIZATION EXPOSURES IN THE BANKING BOOK BY RATING ➡
12/31/2018
12/31/2017
Equivalent rating
Equivalent rating
Standard & Poor’s
Banking book
Standard & Poor’s
Banking book
as a %
AAA AA+
29%
AAA AA+
19%
6%
2%
AA
18%
AA
22%
AA-
7%
AA-
8%
A+
10%
A+
11% 11% 13%
A
8% 8% 8% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
A
A-
A-
BBB+ BBB BBB-
BBB+ BBB BBB-
9% 0% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 4% 0%
InvestmentGrade
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
6% Not rated
Default TOTAL
D
0%
D
100%
100%
156
Risk Report Pillar III 2018
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