408 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Market risk

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

➤ TABLE 82: INTERNAL MODEL APPROACH VALUES FOR TRADING PORTFOLIOS (EU MR3)

In millions of euros Year to 31

December 2019 Year to 31

December 2018

VaR (10-day, 99%)

1 Maximum 106 118

2 Average 75 79

3 Minimum 52 56

4 Last measure 75 94

SVaR (10-day, 99%)

5 Maximum 268 247

6 Average 198 151

7 Minimum 150 94

8 Last measure 201 201

IRC(*) (99.9%)

9 Maximum 397 367

10 Average 205 190

11 Minimum 100 92

12 Last measure 155 135

CRM(**) (99.9%)

13 Maximum 56 63

14 Average 37 44

15 Minimum 18 27

16 Last measure 35 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 are 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 2019, securitisation positions in the trading book deducted from CET1 capital amounted to EUR 7 million.