2018 Registration document and annual fi nancial report - BNP PARIBAS 383

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Securitisation in the banking book

➤ Standardised approach

In millions of euros 31 December 2018

Risk weight

EAD RWAs

Securitisation positions

Re-securitisation positions

Securitisation positions

Re-securitisation positions

20% 53 11

40%

50% 36 18

100% 2 2

225%

350% 1 3

External ratings based method 92 34

Weighted average method 1,983 1,031

TOTAL 2,075 - 1,064 -

In millions of euros 1 Januray 2018

Risk weight

EAD RWAs

Securitisation positions

Re-securitisation positions

Securitisation positions

Re-securitisation positions

20% 73 15

40%

50% 19 10

100% 24 24

225%

350% 1 3

External ratings based method 117 51

Weighted average method 1,418 725

TOTAL 1,535 - 776 -

Guarantees on securitisation positions amounted to EUR 1.1 billion as at 31 December 2018, compared with EUR 0.4 billion as at 1 January 2018.