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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

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