2018 Registration document and annual fi nancial report - BNP PARIBAS 379
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Securitisation in the banking book
In millions of euros
1 January 2018
EAD
EAD in default
Stage 3 provisions
Standardised approach
IRB approach Total
Europe 11,236 1 0 1 0
North America 14,267 0 14 14 5
Asia Pacifi c 244 0 0 0 0
Rest of the world 187 0 0 0 0
TOTAL 25,934 1 14 15 5
(*) This breakdown is based on the predominant underlying asset of the securitisation.
Stage 1 and stage 2 p rovisions totalled EUR 48 million at 31 December 2018, compared with EUR 40 million at 1 January 2018.
➤ TABLE 56: BANKING BOOK SECURITISATION POSITION QUALITY
In millions of euros Securitisation positions held or acquired (EAD)
Tranche quality 31 December 2018 1 January 2018
Senior tranche 43,042 25,292
Mezzanine tranche 442 502
First-loss tranche 124 139
TOTAL 43,608 25,934
At 31 December 2018, 99% of the securitisation positions held or acquired by the Group were senior tranches, stable compared with 1 January 2018, refl ecting the high quality of the Group s portfolio. The corresponding risk weights are given in the following tables.
RISK-WEIGHTED ASSETS
Under the standardised approach, risk-weighted assets are calculated by multiplying exposure at default by a risk weight based on an external rating of the securitisation position, as required by article 251 of Regulation (EU) No. 575/2013. In a small number of cases, a look-through approach may be applied. For positions having a rating of B+ or lower, or with no external rating, the regulations provide for either a weighting at 1,250%, or the deduction of Common Equity Tier 1 (CET1) capital. Since 31 December 2017 , the Group has opted for the capital deduction. The standardised approach is used for securitisation investments made by BancWest and the Asset Management Division.
Under the IRB Approach, risk-weighted assets are calculated according to one of the following methods:
■ for exposures with an external rating, the positions risk weight is determined using the so-called ratings-based method , whereby the position s risk weight is determined directly according to its rating, from a correspondence table provided by the banking supervisor;
■ for exposures that do not have an external rating, and if BNP Paribas is the originator or sponsor, the Group uses the Supervisory Formula Approach (SFA) when the necessary conditions according to article 259 1) b. of EU Regulation No. 575/2013 are fulfi lled. In this approach, the risk weight is calculated from a formula provided by the banking supervisor that factors in the internal credit rating of the underlying asset portfolio, as well as the structure of the transaction (most notably the level of credit enhancement subscribed out by the Group);
■ the Internal Assessment Approach (IAA) was applied until 30 September 2018 for liquidity facilities in the ABCP programmes of the BNP Paribas Fortis portfolio for which there are no external ratings;
