Universal registration document and annual financial report 2019

462 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

Appendix 5: List of tables and figures

Page

Table 70 CVA risk exposure at default and risk-weighted assets (EU CCR2) 395

Table 71 Composition of collateral posted and received (EU CCR5-B) 395

Table 72 Credit derivative exposures (EU CCR6) 396

Table 73 Counterparty credit risk capital requirement and risk-weighted assets 397

Table 74 Counterparty credit risk-weighted assets movements by key driver (EU CCR7) 397

5.7 MARKET RISK 398

Table 75 Market risk capital requirement and risk-weighted assets 398

Table 76 Market risk under the internal model approach (EU MR2-A) 399

Table 77 Market risk under the standardised approach (EU MR1) 399

Table 78 Market risk-weighted assets movements by key driver (EU MR2-B) 400

Table 79 Value at Risk (1-day, 99%) 404

Figure 10 Comparison between VaR (1-day, 99%) and daily trading revenue (EU MR4) 405

Figure 11 Quarterly change in VaR (1-day, 99%) 405

Figure 12 Distribution of daily trading revenue 406

Table 80 Value at Risk (10-day, 99%) 406

Table 81 Stressed Value at Risk (1-day, 99%) 407

Table 82 Internal model approach values for trading portfolios (EU MR3) 408

Table 83 Breakdown of trading book securitisation positions outside correlation book by asset type 409

Table 84 Quality of trading book securitisation positions outside correlation book 409

Table 85 Breakdown of trading book securitisation positions and capital requirement outside correlation book by risk weight 410

Table 86 Sensitivity of revenues to global interest rate risk based on a 50 basis point increase or decrease in the interest rates 414

Table 87 Hedged cash flows 415

5.8 LIQUIDITY RISK 416

Table 88 Breakdown of the Group wholesale funding by currency 418

Table 89 Breakdown of the Group s medium- and long-term (MLT) wholesale funding 419

Table 90 Trends in Group MLT wholesale funding 419

Table 91 MLT secured wholesale funding 420

Table 92 Breakdown of global liquidity reserve (counterbalancing capacity) 421

Table 93 Short-term liquidity ratio (LCR) Itemised 422

Table 94 Contractual maturities of the prudential balance sheet 424

Table 95 Contractual maturities of capital instruments and medium -and long-term debt securities in the prudential perimeter (EU TLAC2) 426

Table 96 Economic maturities of capital instruments (prudential perimeter) 427

Table 97 Encumbered and unencumbered assets and collateral received 428

5.9 OPERATIONAL RISK 430

Figure 13 Reputation risk management framework 433

Figure 14 Operational losses Breakdown by event type (average 2011-2019) 436

Table 98 Operational risk capital requirement and risk-weighted assets 437

5.10 INSURANCE RISKS 438

Table 99 Breakdown of BNP Paribas Cardif goup investments (excluding investments in unit-linked contracts) 439

Table 100 Bond exposure by issuer and by rating (excluding investments in unit-linked contracts and Eurocroissance contracts) 440

Table 101 Exposure to government bond and similar by country (excluding investments in unit-linked contracts and Eurocroissance contracts) 440

Table 102 Financial assets meeting the SPPI criterion 440

Table 103 Non-investment grade financial assets meeting the SPPI criterion 441

Table 104 Average redemption rates for BNP Paribas Cardif general funds 441