2020 Universal registration document and annual financial report - BNP PARIBAS438
5 risks and CaPital adequaCy Pillar 3
5
Market risk
In millions of euros 31 December 2019
Risk weight
Securitisation positions Capital requirements
Short positions Long positions
Short positions
Long positions TotalSecuritisation
Re- securitisation Total Securitisation
Re- securitisation Total
7% - 10% - - - 249 - 249 - 2 2
12% - 18% - - - 137 - 137 - 2 2
20% - 35% - - - 426 - 426 - 10 10
40% - 75% - - - 0 - 0 - 0 0
100% - - - 78 - 78 - 9 9
250% - - - 20 - 20 - 7 7
425% - - - 0 - 0 - 0 0
650% - - - 18 - 18 - 11 11
TOTAL 0 0 0 928 - 928 - 40 40
In millions of euros 31 December 2020
Risk weight
Securitisation positions Capital requirements
Short positions Long positions
Short positions
Long positions TotalSecuritisation
Re- securitisation Total Securitisation
Re- securitisation Total
7% - 10% - - - 49 - 49 - 0 0
12% - 18% - - - 349 - 349 - 5 5
20% - 35% - - - 255 - 255 - 8 8
40% - 75% - - - - - - - - -
100% - - - 121 - 121 - 17 17
250% - - - 55 - 55 - 15 15
425% - - - 16 - 16 - 8 8
650% - - - 42 - 42 - 31 31
TOTAL - 0 - 887 - 887 - 84 84
➤ TABLE 89: BREAKDOWN OF TRADING BOOK SECURITISATION POSITIONS AND CAPITAL REQUIREMENTS OUTSIDE CORRELATION BOOK BY RISK WEIGHT
