2018 Registration document and annual fi nancial report - BNP PARIBAS278

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

5.6 Counterparty credit risk 384 Counterparty credit risk valuation 384 Exposure to counterparty credit risk [Audited] 387 Bilateral counterparty credit risk 388 Counterparty credit risk for exposures to central counterparties associated with clearing activities 392 CVA risk 393 Counterparty credit risk management 393 Capital requirement and risk-weighted assets 395

5.7 Market risk 396 Capital requirement and risk-weighted assets for market risk 396 Market risk related to trading activities 398 Market risk related to banking activities 410

5.8 Liquidity risk 414 Liquidity risk management policy [Audited] 414 Liquidity risk management and supervision 415

5.9 Operational risk 428 Regulatory framework 428 Organisation and oversight mechanism [Audited] 428 Specifi c components linked to operational risk [Audited] 430 Operational risk exposure 434 Capital requirement calculation 434

5.10 Insurance risks 436 BNP Paribas Cardif Group Risk Management system 436 Market risk [Audited] 436 Insurance underwriting risk [Audited] 439

Appendix 1: Sovereign exposures [Audited] 441

Appendix 2: Regulatory capital Detail 444

Appendix 3: Countercyclical capital buffer 452

Appendix 4: Capital requirements of significant subsidiaries 454 BNP Paribas Fortis Group 454 BNL Group 455 BNP Paribas USA Inc. Group 456 BancWest Group 457 BNP Paribas Personal Finance Group 458 BGL BNP Paribas Group 459

Appendix 5: List of tables and figures 460

Appendix 6: Acronyms 463