3812019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
➤ TABLE 57: SECURITISATION POSITIONS, EXPOSURE IN DEFAULT AND PROVISIONS BY UNDERLYING ASSET S GEOGRAPHIC REGION(*)
In millions of euros
31 December 2019
EAD
EAD in default
Stage 3 provisions
Standardised approach IRB approach Total
Europe 47,144 33 - 33 -
North America 13,088 - 12 12 (3)
Asia Pacific 986 - - - -
Rest of the world 58 - - - -
TOTAL 61,276 33 12 45 (3)
In millions of euros
31 December 2018 Proforma
EAD
EAD in default
Stage 3 provisions
Standardised approach IRB approach Total
Europe 31,272 24 - 24 (5)
North America 11,511 - 20 20 (5)
Asia Pacific 740 - - - -
Rest of the world 84 - - - -
TOTAL 43,608 24 20 44 (10)
(*) This breakdown is based on the predominant underlying asset of the securitisation.
➤ TABLE 58: BANKING BOOK SECURITISATION POSITION QUALITY
In millions of euros Securitisation positions
held or acquired (EAD)
Tranche quality 31 December 2019 31 December 2018
Senior tranche 60,520 43,042
Mezzanine tranche 720 442
First-loss tranche 35 124
TOTAL 61,276 43,608
At 31 December 2019, 99% of the securitisation positions held or acquired by the Group were senior tranches, stable compared with 31 December 2018, reflecting the high quality of the Group s portfolio.
