Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS412

5 risks and CaPital adequaCy Pillar 3

Securitisation in the banking book

➤ TABLE 65: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BNP PARIBAS ACTING AS ORIGINATOR OR AS SPONSOR (EU SEC3)

In millions of euros

31 December 2020

Securitisation positions (EAD) Securitisation positions (EAD) Risk-weighted assets

≤ 20% > 20% ≤ 50%

> 50% ≤ 100%

> 100% < 1,250% SEC-IRBA SEC-SA SEC-ERBA

IRBA approach

Standar- dised

approach SEC-IRBA SEC-SA SEC-ERBA IRBA

approach

Standar- dised

approach

Traditional securitisation 19,151 3,033 1,221 295 19,702 3,302 696 4,888 693 736

Securitisation 19,151 3,033 1,221 295 19,702 3,302 696 4,888 693 736

Retail underlying 10,091 1,902 210 196 9,865 2,433 102 2,434 441 51

of which STS 1,189 5 3 20 718 413 86 185 82 46

Corporate underlying 9,059 1,130 1,011 99 9,837 869 594 2,453 253 686

of which STS 965 48 2 25 920 - 120 184 - 119

Re-securitisation - - - - - - - - - -

Synthetic securitisation 33,693 - - 79 33,772 - - 6,042 - -

Securitisation 33,693 - - 79 33,772 - - 6,042 - -

Retail underlying - - - - - - - - - -

Corporate underlying 33,693 - - 79 33,772 - - 6,042 - -

Re-securitisation - - - - - - - - - -

TOTAL 52,843 3,033 1,221 374 53,473 3,302 696 10,930 693 736

In millions of euros

31 December 2019

Securitisation positions (EAD) Securitisation positions (EAD) Risk-weighted assets

≤ 20% > 20% ≤ 50%

> 50% ≤ 100%

> 100% < 1,250% SEC-IRBA SEC-SA SEC-ERBA

IRBA approach

Standar- dised

approach SEC-IRBA SEC-SA SEC-ERBA IRBA

approach

Standar- dised

approach

Traditional securitisation 20,530 1,442 1,421 75 5,151 3,707 269 14,280 61 1,186 1,020 167 2,415 44

Securitisation 20,530 1,442 1,421 75 5,151 3,707 269 14,280 61 1,186 1,020 167 2,415 44

Retail underlying 11,419 969 236 21 2,816 2,467 193 7,121 48 665 457 82 864 29

of which STS 206 3 3 14 139 42 45 - - 66 4 24 - -

Corporate underlying 9,111 473 1,185 54 2,335 1,240 76 7,158 13 521 563 85 1,552 15

of which STS - - - - - - - - - - - - - -

Re-securitisation - - - - - - - - - - - - - -

Synthetic securitisation 28,830 - - 63 11,696 1,411 - 15,786 - 2,283 222 - 1,401 -

Securitisation 28,830 - - 63 11,696 1,411 - 15,786 - 2,283 222 - 1,401 -

Retail underlying 1,411 - - 0 - 1,411 - - - - 222 - - -

Corporate underlying 27,419 - - 63 11,696 - - 15,786 - 2,283 - - 1,401 -

Re-securitisation - - - - - - - - - - - - - -

TOTAL 49,360 1,442 1,421 138 16,848 5,118 269 30,065 61 3,469 1,242 167 3,816 44