2020 Universal registration document and annual financial report - BNP PARIBAS 411
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
➤ TABLE 63: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BY APPROACH
In millions of euros
31 December 2020 31 December 2019 Variation
Securitisation positions held
or acquired (EAD)
Risk-weigted assets
Securitisation positions held
or acquired (EAD)
Risk-weigted assets
Securitisation positions held
or acquired (EAD)
Risk-weigted assets
Internal ratings-based approach (SEC-IRBA) 60,800 12,279 21,170 4,324 39,630 7,955
Standardised approach (SEC-SA) 4,144 923 5,195 1,257 (1,051) (335)
External ratings-based approach (SEC-ERBA) 1,514 1,270 324 177 1,191 1,093
IRBA approach 33,644 4,352 (33,644) (4,352)
Standardised approach 944 400 (944) (400)
TOTAL 66,458 14,472 61,276 10,510 5,182 3,961
Risk-weighted assets corresponding to securitisation positions held or acquired by the Group amounted to EUR 14.5 billion at 31 December 2020, or 2.1% of BNP Paribas total risk-weighted assets, compared with EUR 10.5 billion at 31 December 2019 (1.6% of Group total risk-weighted assets).
➤ TABLE 64: SECURITISATION RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER
RWAs In millions of euros
31 December 2019
Key driver
Total variation
31 December 2020Asset size Asset quality
Model updates
Methodology and policy
Acquisitions and
disposals Currency Other
Securitisation 10,510 (14) 83 - 3,954 - (148) 85 3,961 14,472
The change in risk-weighted assets in 2020 is due to the new regulatory framework relating to securitisation, applicable since 1 January 2020 to programmes launched before 31 December 2018.
