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410 2019 Universal registration document and annual financial report - BNP PARIBAS

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 TotalSecuriti sation 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 - - - 928 - 928 - 40 40

➤ TABLE 85: BREAKDOWN OF TRADING BOOK SECURITISATION POSITIONS AND CAPITAL REQUIREMENTS CORRELATION BOOK BY RISK WEIGHT

In millions of euros 31 December 2018

Risk weight

Securitisation positions Capital requirements

Short positions Long positions Short

positions Long

positions TotalSecuriti sation Re-securitisation Total Securitisation Re-securitisation Total

7% - 10% 596 596 4 4

12% - 18% 168 168 2 2

20% - 35% 91 91 2 2

40% - 75% 31 31 2 2

100% 22 22 2 2

250% 1 1

425% 3 3 1 1

650% 42 42 23 23

TOTAL - - - 953 - 953 - 35 35

Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and annual financial report 2019Universal registration document and 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Powered by Fluidbook