2018 Registration document and annual fi nancial report - BNP PARIBAS 381

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Securitisation in the banking book

➤ TABLE 59: SECURITISATION POSITIONS AND RISK-WEIGHTED ASSETS BY RISK WEIGHT

➤ IRB approach

In millions of euros

31 December 2018

EAD RWAs

Risk weight Securitisation

positions Re-securitisation

positions Securitisation

positions Re-securitisation

positions

7% 10% 5,831 440

12% 18% 2,890 384

20% 35% 195 38

40% 75% 437 247

100% 180 110

150%

225%

250% 7 7

350%

425% 99 388

650% 9 60

850%

External ratings based method 9,647 1,675

Internal Assessment Approach (IAA) 0 0

[0 -7%] 20,473 1,404

]7% 100%] 11,362 2,520

]100% 350%] 0 0

]350% 1,250%] 52 376

Supervisory Formula Approach 31,887 4,301

TOTAL 41,534 - 5,976 -