298 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

The following table shows the main differences between the amounts of accounting exposure on the balance sheet (see previous table) and the amounts of exposure used for regulatory purposes, based on the different types of risk, except market risk. Indeed, for the latter, the main regulatory measure used by the Group is Value at Risk (VaR), which reflects the sensitivity of the Bank s trading book to the different market parameters (see section 5.7, Market risk exposure). Therefore the VaR amount does not relate directly to the net book value of the assets and liabilities subject to market risk.

➤ TABLE 12: RECONCILIATION BETWEEN NET CARRYING VALUES UNDER THE PRUDENTIAL SCOPE AND THE EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES (EU LI2)

In millions of euros

31 December 2019

Credit risk framework

Counterparty credit risk

framework Securitisation

framework Market risk framework

ASSETS NET CARRYING VALUE 1,158,901 565,668 50,755 574,996

Liabilities net carrying value (528,308)

Off-balance-sheet amounts net of impairment 417,997 10,489

Credit risk impairment amounts 22,338 32

Amounts below the thresholds for deduction (subject to 250% risk-weight)(*) (6,549)

Differences in valuations due to the use of internal models(**) 129,717

Other adjustments 5,452

EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES 1,598,139 167,077 61,276

(*) Includes deferred tax assets depending on future profits and significant participations in financial sector entities, subject to 250% risk-weight. (**) The main regulatory measure used by the Group for counterparty risk is the EEPE (Effective Expected Positive Exposure). The features of the valuation

model are described in section 5.6 in the paragraph Counterparty risk calculation.

In millions of euros

31 December 2018

Credit risk framework

Counterparty credit risk

framework Securitisation

framework Market risk framework

ASSETS NET CARRYING VALUE 1,129,224 521,173 33,767 541,633

Liabilities net carrying value (490,639)

Off-balance-sheet amounts net of impairment 390,713 9,762

Credit risk impairment amounts 25,490 78

Amounts below the thresholds for deduction (subject to 250% risk-weight)(*) (6,627)

Differences in valuations due to the use of internal models(**) 114,825

Other adjustments 4,720

EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES 1,543,521 145,360 43,608

(*) Includes deferred tax assets depending on future profits and significant participations in financial sector entities, subject to 250% risk-weight. (**) The main regulatory measure used by the Group for counterparty risk is the EEPE (Effective Expected Positive Exposure). The features of the valuation

model are described in section 5.6 in the paragraph Counterparty risk calculation.