Universal registration document and annual financial report 2019

384 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

Securitisation in the banking book

➤ TABLE 61: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BNP PARIBAS ACTING AS ORIGINATOR OR AS SPONSOR (EU SEC3)

In millions of euros

31 December 2019

Securitisation positions (EAD) by risk weight Securitisation positions (EAD) by approach 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 - - - - 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

In millions of euros

31 December 2018

Securitisation positions (EAD) by risk weight Securitisation positions (EAD) by approach 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 18,214 367 1,959 62 19,939 662 3,448 500

Securitisation 18,214 367 1,959 62 19,939 662 3,448 500

Retail underlying 7,491 54 816 38 7,756 643 952 475

of which STS

Corporate underlying 10,723 313 1,143 23 12,183 20 2,496 25

of which STS

Re-securitisation - - - - - - - -

Synthetic securitisation 17,487 - - 52 17,539 - 1,726 -

Securitisation 17,487 - - 52 17,539 - 1,726 -

Retail underlying 2,216 - - - 2,216 - 155 -

Corporate underlying 15,271 - - 52 15,323 - 1,571 -

Re-securitisation - - - - - - - -

TOTAL 35,701 367 1,959 114 37,479 662 5,174 500