3852019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Securitisation in the banking book

➤ TABLE 62: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BNP PARIBAS ACTING AS INVESTOR (EU SEC4)

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 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

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 3,803 1,476 59 129 4,055 1,412 802 564

Securitisation 3,803 1,476 59 129 4,055 1,412 802 564

Retail underlying 2,071 1,440 58 50 2,230 1,390 430 532

of which STS

Corporate underlying 1,732 36 1 79 1,825 23 372 32

of which STS

Re-securitisation - - - - - - - -

Synthetic securitisation - - - - - - - -

Securitisation - - - - - - - -

Retail underlying - - - - - - - -

Corporate underlying - - - - - - - -

Re-securitisation - - - - - - - -

TOTAL 3,803 1,476 59 129 4,055 1,412 802 564

Guarantees on securitisation positions amounted to EUR 1.1 billion as at 31 December 2019, stable compared to 31 December 2018.