2018 Registration document and annual fi nancial report - BNP PARIBAS408

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Market risk

➤ TABLE 82 : 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 TotalSecuritisation 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 0 0

425% 3 3 1 1

650% 42 42 23 23

External ratings based method 953 953 35 35

TOTAL - - - 953 - 953 - 35 35

In millions of euros 31 December 2017

Risk weight

Securitisation positions Capital requirements

Short positions Long positions Short

positions Long

positions TotalSecuritisation Re-securitisation Total Securitisation Re-securitisation Total

7% - 10% 688 688 6 6

12% - 18% 80 80 1 1

20% - 35% 56 56 2 2

40% - 75% 90 90 7 7

100% 8 8 1 1

250% - - - -

425% 46 46 18 18

650% 33 33 18 18

External ratings based method 1,002 1,002 53 53

TOTAL - - - 1,002 - 1,002 53 53