2020 Universal registration document and annual financial report - BNP PARIBAS 427
5risks and CaPital adequaCy Pillar 3
5
Market risk
➤ TABLE 80: MARKET RISK UNDER THE INTERNAL MODEL APPROACH (EU MR2-A)
In millions of euros
31 December 2020 31 December 2019
RWAs Capital
requirements RWAs Capital
requirements
1 VaR(*) (higher of values 1.a and 1.b) 6,974 558 4,644 371
1.a Previous day s VaR 172 100
1.b Average of the daily VaR on each of the preceding sixty business days x multiplication factor 558 371
2 SVaR(*) (higher of values 2.a and 2.b) 12,198 976 9,999 800
2.a Latest SVaR 289 233
2.b Average of the SVaR during the preceding sixty business days x multiplication factor 976 800
3 IRC(*)(**) (higher of values 3.a and 3.b) 3,268 261 2,384 191
3.a Most recent IRC value 238 191
3.b Average of the IRC number over the preceding twelve weeks 261 165
4 CRM(***) (higher of values 4.a, 4.b and 4.c) 675 54 494 40
4.a Most recent risk number for the correlation trading portfolio 44 35
4.b Average of the risk number for the correlation trading portfolio over the preceding twelve weeks 54 35
4.c 8% of the own funds requirement in the standardised approach on the most recent risk number for the correlation trading portfolio 35 40
6 TOTAL 23,114 1,849 17,521 1,402
(*) VaR, SVaR and IRC values include all the components taken into account in the calculation of risk-weighted assets. (**) Incremental Risk Charge. (***) Comprehensive Risk Measure.
The market risk calculated using the standardised approach covers the market risk of some entities of the Group that are not covered by internal models. The standardised approach is used to calculate foreign exchange
risk for the banking book (See section 5.7 Market risk related to banking activities).
➤ TABLE 81: MARKET RISK UNDER THE STANDARDISED APPROACH (EU MR1)
In millions of euros
31 December 2020 31 December 2019
RWAs Capital
requirements RWAs Capital
requirements
Outright products
1 Interest rate risk (general and specific) 337 27 308 25
2 Equity risk (general and specific) 0 0 0 -
3 Foreign exchange risk 675 54 968 77
Options
7 Scenario approach 30 2 2
8 Securitisation (specific risk) 1,054 84 498 40
9 TOTAL 2,096 168 1,776 142
