Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS490

5 risks and CaPital adequaCy Pillar 3

Appendix 5: List of tables and figures

Page

Table 74 CVA risk exposure at default and risk-weighted assets (EU CCR2) 423

Table 75 Composition of collateral posted and received (EU CCR5-B) 423

Table 76 Credit derivative exposures (EU CCR6) 424

Table 77 Counterparty credit risk capital requirement and risk-weighted assets 425

Table 78 Counterparty credit risk-weighted assets movements by key driver (EU CCR7) 425

5.7 MARKET RISK 426

Table 79 Market risk capital requirement and risk-weighted assets 426

Table 80 Market risk under the internal model approach (EU MR2-A) 427

Table 81 Market risk under the standardised approach (EU MR1) 427

Table 82 Market risk-weighted assets movements by key driver (EU MR2-B) 428

Table 83 Value at Risk (1-day, 99%) 432

Figure 11 Comparison between VaR (1-day, 99%) and daily trading revenue (EU MR4) 433

Figure 12 Quarterly change in VaR (1-day, 99%) 433

Figure 13 Distribution of daily trading revenue 434

Table 84 Value at Risk (10-day, 99%) 434

Table 85 Stressed Value at Risk (1-day, 99%) 435

Table 86 Internal model approach values for trading portfolios (EU MR3) 436

Table 87 Breakdown of trading book securitisation positions outside correlation book by asset type 437

Table 88 Quality of trading book securitisation positions outside correlation book 437

Table 89 Breakdown of trading book securitisation positions and capital requirement outside correlation book by risk weight 438

Table 90 Sensitivity of revenues to global interest rate risk based on a 50 basis point increase or decrease in the interest rates 442

Table 91 Hedged cash flows 443

5.8 LIQUIDITY RISK 444

Table 92 Breakdown of the Group wholesale funding by currency 446

Table 93 Breakdown of the Group s medium- and long-term (MLT) wholesale funding 447

Table 94 Trends in Group MLT wholesale funding 447

Table 95 MLT secured wholesale funding 448

Table 96 Breakdown of global liquidity reserve (counterbalancing capacity) 449

Table 97 Short-term liquidity ratio (LCR) Itemised 450

Table 98 Contractual maturities of the prudential balance sheet 452

Table 99 Contractual maturities of capital instruments and medium -and long-term debt securities in the prudential perimeter 454

Table 100 Economic maturities of capital instruments (prudential perimeter) 455

Table 101 Encumbrance of assets and collateral received 456

5.9 OPERATIONAL RISK 458

Figure 14 Operational losses Breakdown by event type (average 2012-2020) 463

Table 102 Operational risk capital requirement and risk-weighted assets 465

5.10 INSURANCE RISKS 466

Table 103 Breakdown of BNP Paribas Cardif group investments (excluding investments in unit-linked contracts) 467

Table 104 Bond exposure by issuer and by rating (excluding investments in unit-linked contracts and Eurocroissance contracts) 468

Table 105 Exposure to government bonds and similar by country (excluding investments in unit-linked contracts and Eurocroissance contracts) 468

Table 106 Financial assets meeting the SPPI criterion in accordance with IFRS 9 468

Table 107 Non-Investment Grade financial assets meeting the SPPI criterion in accordance with IFRS 9 469

Table 108 Average redemption rates for BNP Paribas Cardif general funds 469