BPCE - 2018 Risk report / Pillar III
SECURITIZATION TRANSACTIONS Quantitative disclosures
TABLE 59 – BREAKDOWN OF INVESTOR AND SPONSOR SECURITIZATION EXPOSURES IN THE TRADING BOOK ➡
12/31/2018
12/31/2017
Equivalent rating
Equivalent rating
Standard & Poor’s
Banking book Standard & Poor’s
Banking book
as a %
AAA AA+
80%
AAA AA+
64%
5% 3% 1% 1% 3% 1% 0% 2% 0% 0% 3% 1% 0% 0% 0% 0% 0% 0% 0% 0%
4%
AA
AA
17%
AA-
AA-
1% 2% 1% 1% 2% 3% 1% 1% 2% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
A+
A+
A
A
A-
A-
BBB+ BBB BBB-
BBB+ BBB BBB-
InvestmentGrade
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%
157
Risk Report Pillar III 2018
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