2018 Registration document and annual fi nancial report - BNP PARIBAS380

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Securitisation in the banking book

■ in all other cases, Regulation (EU) No. 575/2013 stipulates either a weighting of 1,250% or the deduction of CET1 capital. Since 31 December 2017, the Group has opted for the capital deduction.

At 31 December 2018, the IRB Approach is used for positions held by CIB, French Retail Banking, BNL bc and BNP Paribas Fortis scope.

For rated securitisation positions, the Group uses external ratings from the Standard & Poor s, Moody s, Fitch, and DBRS rating agencies. The

correspondence between these ratings and equivalent credit quality levels as required by the regulation framework is in accordance with the instructions issued by the supervisor.

The following tables show all the securitisation positions held or acquired by the Bank, except those deducted from CET 1 capital.

➤ TABLE 57: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BY APPROACH

In millions of euros 31 December 2018 1 January 2018 Variation

Calculation approach

Securitisation positions held or

acquired (EAD) RWAs

Securitisation positions held or

acquired (EAD) RWAs

Securitisation positions held or

acquired (EAD) RWAs

IRBA 41,534 5,976 24,398 2,602 17,135 3,374

Standardised 2,075 1,064 1,535 776 539 288

TOTAL 43,608 7,040 25,934 3,378 17,674 3,663

Risk-weighted assets corresponding to securitisation positions held or acquired by the Group amounted to EUR 7 billion at 31 December 2018, or 1.1% of BNP Paribas total risk-weighted assets, compared with EUR 3.4 billion at 1 January 2018 (0.5% of Group total risk-weighted assets).

➤ TABLE 58: SECURITISATION RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER

RWAs In millions of euros

1 January 2018

Key driver

Total variation

31 December 2018Asset size Asset quality

Model updates

Methodology and policy

Acquisitions and disposals Currency Other

Securitisation 3,378 565 535 2,560 - 5 63 (64) 3,663 7,040

The increase in risk-weighted assets from securitisation in the banking book is mainly related to model updates applied to the ABCP Matchpoint and Starbird conduits.