2018 Registration document and annual fi nancial report - BNP PARIBAS364
5 RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Credit risk
CREDIT RISK: EQUITIES UNDER THE SIMPLE WEIGHTING METHOD
EXPOSURE [Audited] Exposures under the simple weighting method at 31 December 2018 amounted to EUR 13.0 billion, versus EUR 13.6 billion at 1 January 2018.
Scope
The shares held by the Group outside trading portfolios are securities conferring residual and subordinated rights on issuer s assets or income, or securities representing a similar economic nature. They encompass:
■ listed and unlisted shares, including shares in investment funds;
■ embedded options of convertible bonds, redeemable or exchangeable for shares;
■ equity options;
■ S uper S ubordinated S ecurities;
■ private funds commitments;
■ equity holdings hedge;
■ shares of consolidated entities using the equity method.
The scope of exposures benefi ting from the simple weighting method does not include the following items:
■ stakes higher than 10% in credit or financial institutions, mainly consolidated by the equity method or held as fi nancial assets at fair value through equity, are exempt from the equity deduction, being weighted at a fl at rate of 250% (exposure of EUR 3.3 billion at 31 December 2018);
■ asset value guarantees given to UCI TS unit holders are weighted using the standardised approach (exposure of EUR 1.3 billion at 31 December 2018).
Accounting principles and valuation methods
Accounting principles and valuation methods are set out in note 1.e to the consolidated fi nancial statements Financial assets and liabilities.
Total gains and losses
Total unrealised gains and losses recorded in shareholders equity are set out in note 5.c. to the consolidated fi nancial statements Financial assets at fair value through equity.
RISK-WEIGHTED ASSETS Equity risk is calculated according to the simple weighting method, which gives the following weightings:
■ 190% for investments held for medium/long-term valuation purposes within the framework of the Principal Investments business, as well as private equity exposures in diversifi ed portfolios in line with the Bank s business line activities;
■ 290% for exposures in the form of listed securities, including primarily investments related to the Bank s business line activities. In addition, some exposures relating to Principal Investments are also included in this category;
■ 370% for all other exposures in the form of equities, primarily including entities consolidated using the equity method (including the Group s insurance entities in the prudential scope that are included in the Table 40: I nsurance undertakings). Furthermore, this weighting is also applied to unlisted investments in non-diversifi ed portfolios.
➤ TABLE 39: EQUITY POSITIONS UNDER THE SIMPLE WEIGHTING METHOD (EU CR10) [Audited]
In millions of euros
31 December 2018
Gross exposure
EAD Risk
weight RWAs Capital
requirement On-balance-
sheet amount Off-balance-
sheet amount Total
Private equit y exposures in diversifi ed portfolios 1,983 648 2,630 2,306 190% 4,382 351
Listed equity exposures 1,193 213 1,405 1,349 290% 3,912 313
Other equity exposures 8,834 89 8,923 8,879 370% 32,851 2,628
TOTAL 12,010 949 12,959 12,534 41,146 3,292
