2020 Universal registration document and annual financial report - BNP PARIBAS436

5 risks and CaPital adequaCy Pillar 3

5

Market risk

Summary of measures taken into account within the framework of monitoring market limits

➤ TABLE 86: INTERNAL MODEL APPROACH VALUES FOR TRADING PORTFOLIOS (EU MR3)

In millions of euros Year to 31 Dec. 2020 Year to 31 Dec. 2019

VaR (10-day, 99%)

1 Maximum 226 106

2 Average 142 75

3 Minimum 68 52

4 Last measure 148 75

SVaR (10-day, 99%)

5 Maximum 379 268

6 Average 277 198

7 Minimum 201 150

8 Last measure 264 201

IRC(*) (99.9%)

9 Maximum 307 397

10 Average 199 205

11 Minimum 102 100

12 Last measure 192 155

CRM(**) (99.9%)

13 Maximum 91 56

14 Average 48 37

15 Minimum 12 18

16 Last measure 44 35

(*) Incremental Risk Charge. (**) Comprehensive Risk Measure.

Securitisation positions in trading book outside correlation portfolio

For securitisation positions treated as financial assets at fair value for accounting purposes, changes in market value, except accrued interest on fixed income securities, are recognised in the profit and loss account under Net gain/loss on financial instruments at fair value through profit or loss .

For ABS positions outside the correlation book, the standardised capital charge applies (as per the standard method for banking books). The

capital requirements are therefore calculated by applying a weighting to the risk-weighted assets (RWA), which is determined on the basis of the asset s external rating. The capital calculation is based on the second- worst rating of the three rating agencies.

Trading book securitisation positions deducted from CET1 capital are excluded from the calculation of risk-weighted assets with respect to market risk. They are therefore not included in the following tables. At 31 December 2020, securitisation positions in the trading book deducted from CET1 capital amounted to EUR 5 million.