2018 Registration document and annual fi nancial report - BNP PARIBAS306
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 refl ects 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 11: 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 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 depreciation 390,713 9,762
Credit risk depreciation 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 profi ts and signifi cant participations in fi nancial 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 measurement.
In millions of euros
1 January 2018
Credit risk framework
Counterparty credit risk
framework Securitisation
framework Market risk framework
ASSETS NET CARRYING VALUE 1,096,709 478,621 21,268 506,261
Liabilities net carrying value (455,644)
Off-balance-sheet amounts net of depreciation 383,416 4,615
C redit risk depreciation amounts 28,733 51
Amounts below the thresholds for deduction (subject to 250% risk-weight)(*) (6,842)
Differences in valuations due to the use of internal models(**) 133,835
Other adjustments 2,886
EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES 1,504,902 156,812 25,934
(*) Includes deferred tax assets depending on future profi ts and signifi cant participations in fi nancial 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 measurement.
