2020 Universal registration document and annual financial report - BNP PARIBAS 409
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
➤ TABLE 61: SECURITISATION POSITIONS, EXPOSURE IN DEFAULT AND PROVISIONS BY UNDERLYING ASSET S GEOGRAPHIC AREA(*)
In millions of euros
31 December 2020
EAD
EAD in default
Stage 3 provisions
Standardised approach(**)
SEC-IRBA approach Total
Europe 51,303 43 - 43 (21)
North America 13,553 8 - 8 (4)
Asia Pacific 1,583 - - - -
Rest of the world 19 - - - -
TOTAL 66,458 51 - 51 (25)
(*) This breakdown is based on the predominant underlying asset of the securitisation. (**) Securitisation positions under SEC-ERBA and SEC-SA approaches defined in Regulation (EU) No. 2017/2401.
In millions of euros
31 December 2019
EAD
EAD in default
Stage 3 provisions
Standardised approach(**)
IRB approach(***) Total
Europe 47,144 33 0 33 (17)
North America 13,088 - 12 12 (4)
Asia Pacific 986 - - - -
Rest of the world 58 - - - -
TOTAL 61,276 33 12 45 (20)
(*) This breakdown is based on the predominant underlying asset of the securitisation. (**) Securitisation positions under SEC-ERBA and SEC-SA approaches defined in Regulation (EU) No. 2017/2401, as well as standardised approach defined in
Regulation (EU) No. 575/2013 for programmes subject to transitional arrangements at 31 December 2019. (***) Securitisation positions under SEC-IRBA approach defined in Regulation (EU) No. 2017/2401, as well as IRBA approach defined in Regulation (EU) No. 575/2013
for programmes subject to transitional arrangements at 31 December 2019.
➤ TABLE 62: BANKING BOOK SECURITISATION POSITION QUALITY
In millions of euros Securitisation positions held
or acquired (EAD)
Tranche quality 31 December 2020 31 December 2019
Senior tranche 66,155 60,520
Mezzanine tranche 303 720
First-loss tranche - 35
TOTAL 66,458 61,276
At 31 December 2020, 99.5% of the securitisation positions held or acquired by the Group were senior tranches, compared with 98.8% at 31 December 2019, reflecting the high quality of the Group s portfolio.
