BPCE_REGISTRATION_DOCUMENT_2017
RISK REPORT Securitization transactions
BREAKDOWN BY RATING
BREAKDOWN OF INVESTOR SECURITIZATION EXPOSURES IN THE BANKING BOOK BY RATING ➡
12/31/2017
12/31/2016
Equivalent rating
Equivalent rating
Standard & Poor’s
Banking book Standard & Poor’s
Banking book
as a %
AAA AA+
19%
AAA AA+
16%
2%
7%
3
AA
22%
AA
29%
AA-
8%
AA-
3% 5%
A+
11% 11% 13%
A+
A
A
11%
A-
A-
7% 6% 5% 1% 1% 4% 0% 0% 0% 0% 0% 1% 0% 0% 0% 3% 0%
BBB+ BBB BBB-
9% 0% 0% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0%
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
4% Not rated
Default TOTAL
D
0%
D
100%
100%
175
Registration document 2017
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