2020 Universal registration document and annual financial report - BNP PARIBAS 433
5risks and CaPital adequaCy Pillar 3
5
Market risk
➤ FIGURE 11: COMPARISON BETWEEN VAR (1-DAY, 99%) AND DAILY TRADING REVENUE (EU MR4)
In millions of euros
VaR (1 -day, 99%) Daily hypothetical trading revenues Daily trading revenues
- 250
- 200
- 150
- 100
-50
0
50
100
150
200
January 2020
March 2020
April 2020
June 2020
February 2020
May 2020
July 2020
August 2020
September 2020
October 2020
December 2020
November 2020
During the first half of 2020, 11 backtesting events were observed in a context of exceptional market conditions marked by high volatility. Following the vote of the European Parliament allowing institutions to exclude backtesting events that do not result from internal model deficiency and which occurred between 1 January 2020 and 31 December 2021, the Group is authorised to exclude those backtesting events from market risk-weighted asset calculation.
Quarterly change in VaR
➤ FIGURE 12: QUARTERLY CHANGE IN VAR (1-DAY, 99%)
Commodities Currencies Equities Interest rates Credit products Netting
141414 Q4Q3Q2
15151515 Q4Q3Q2Q1
16161616 Q4Q3Q2Q1
131313 Q4Q3Q2
14 Q1
17171717 Q4Q3Q2Q1
18181818 Q4Q3Q2Q1
19191919 Q4Q3Q2Q1
20202020 Q4Q3Q2Q1
-41 -50
-40 -40 -40 -40 -39 -42 -47 -50 -51 -51 -45 -44 -42
-35 -30 -28 -30 -30 -28 -29 -32
-26 -23 -28 -30 -33
-59 -52 -53
1719 14 16 17 17 15 16 18 21 19 19 17 14 14 11 13 13 14 11 12 10 12 9 9 13 12 14
33 24 20
4
3
4 3 4 4
9 11
8
6 6 6
6 7 5
4
4
4 3 4
4 3
5
4 2
4 5
4
5
5 9
36 3335
35
42
29 28 31
37 43 43 43
34 28 31
31 27
22 22 25 24 23
27
23 20
25 26
35
54
46 45
18
14
15 13 14 14
10 14
19
14 20 24
15
16 17 15
9 7 8
8 6 6 7
8 6
8 7
8
15
13 13
26 31
23 20 21 22 19 18 23
30 32 25 27
23 24 19 18 16 15 16 16 19 19 17 16
20 23 24
36
32 30
12
24
21 22 17 11 14 15
17
21 17 20
13
12 12 16 14
11 12 16 14 13 17
11 9
8 10
19
24
24 26
