2018 Registration document and annual fi nancial report - BNP PARIBAS382

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Securitisation in the banking book

In millions of euros

1 January 2018

EAD RWAs

Risk weight Securitisation

positions Re-securitisation

positions Securitisation

positions Re-securitisation

positions

7% 10% 2,558 225

12% 18% 123 49

20% 35% 185 92

40% 75% 16 16

100% 131 44

150%

225%

250% 4 11

350%

425% 55 265

500%

650% 4 11

850%

External ratings based method 3,076 712

Internal Assessment Approach (IAA) 741 66

[0 -7%] 12,610 862

]7% 100%] 7,955 1 759 0

]100% 350%]

]350% 1,250%] 16 202

Supervisory Formula Approach 20,581 1 1,823 0

TOTAL 24,398 1 2,601 0

Out of the EUR 9.6 billion of securitisation positions with an external rating:

■ 70% of EAD was rated above A+ at 31 December 2018, compared with 86% at 1 January 2018;

■ the vast majority (97% of EAD) was rated above BBB+ at 31 December 2018 (a slight increase compared with 94% at 1 January 2018).