3832019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
In millions of euros 31 December
2018
Key driver
Total variation
31 December 2019
Asset size
Asset quality
Model updates
Methodology and policy
Acquisitions and
disposals Currency Other
RWAs - Securitisation 7,040 3,571 (103) - - 15 164 (177) 3,470 10,510
The change in risk-weighted assets in 2019 can be explained mainly by the implementation of three synthetic securitisation transactions recognised as efficient in the loan portfolios of French Retail Banking, Belgian Retail Banking and BNL (see the paragraph on Proprietary securitisation (originator)).
➤ TABLE 59: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BY APPROACH
In millions of euros
31 December 2019 31 December 2018 Variation
Securitisation positions held
or acquired (EAD)
Risk-weighted assets
Securitisation positions held
or acquired (EAD)
Risk-weighted assets
Securitisation positions held
or acquired (EAD)
Risk-weighted assets
Internal ratings-based approach (SEC-IRBA) 21,170 4,324 - - 21,170 4,324
Standardised approach (SEC-SA) 324 1,257 - - 324 1,257
External ratings-based approach (SEC-ERBA) 5,195 177 - - 5,195 177
IRBA approach 33,644 4,352 41,534 5,976 (7,890) (1,624)
Standardised approach 944 400 2,075 1,064 (1,131) (664)
TOTAL 61,276 10,510 43,608 7,040 17,668 3,470
Risk-weighted assets corresponding to securitisation positions held or acquired by the Group amounted to EUR 10.5 billion at 31 December 2019, or 1.6% of BNP Paribas total risk-weighted assets, compared with EUR 7.0 billion at 31 December 2018 (1.1% of Group total risk-weighted assets).
➤ TABLE 60: SECURITISATION RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER