2020 Universal registration document and annual financial report - BNP PARIBAS 413

5risks and CaPital adequaCy Pillar 3

5

Securitisation in the banking book

➤ TABLE 66: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BNP PARIBAS ACTING AS INVESTOR (EU SEC4)

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 7,624 1,124 131 108 7,326 842 819 1,349 230 534

Securitisation 7,624 1,124 131 108 7,326 842 819 1,349 230 534

Retail underlying 3,667 669 105 86 2,994 778 755 604 120 507

of which STS 12 - - - - 12 - - 2 -

Corporate underlying 3,957 455 26 22 4,332 64 63 745 109 26

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

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

Synthetic securitisation - - - - - - - - - -

Securitisation - - - - - - - - - -

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

Corporate underlying - - - - - - - - - -

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

TOTAL 7,624 1,124 131 108 7,326 842 819 1,349 230 534

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 6,607 2,193 41 73 4,322 77 55 3,578 883 855 15 10 536 355

Securitisation 6,607 2,193 41 73 4,322 77 55 3,578 883 855 15 10 536 355

Retail underlying 2,472 1,258 41 14 954 77 - 1,893 861 191 15 - 338 330

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

Corporate underlying 4,135 936 - 59 3,368 - 55 1,685 21 665 - 10 199 26

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

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

Synthetic securitisation - - - - - - - - - - - - - -

Securitisation - - - - - - - - - - - - - -

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

Corporate underlying - - - - - - - - - - - - - -

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

TOTAL 6,607 2,193 41 73 4,322 77 55 3,578 883 855 15 10 536 355

Guarantees on securitisation positions amounted to EUR 2.2 billion as at 31 December 2020, compared with EUR 1.1 billion at 31 December 2019.