2018 Registration document and annual fi nancial report - BNP PARIBAS 397

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Market risk

➤ TABLE 73: MARKET RISK UNDER THE INTERNAL MODEL APPROACH (EU MR2-A)

In millions of euros

31 December 2018 31 December 2017

RWAs Capital

requirements RWAs Capital

requirements

1 VaR(*) (higher of values 1.a and 1.b) 5,488 439 4,335 347

1.a Previous day s VaR 124 79

1.b Average of the daily VaR on each of the preceding sixty business days x multiplication factor 439 347

2 SVaR(*) (higher of values 2.a and 2.b) 9,323 746 7,330 586

2.a Latest SVaR 212 132

2.b Average of the SVaR during the preceding sixty business days x multiplication factor 746 586

3 IRC(*)(**) (higher of values 3.a and 3.b) 2,436 195 2,597 208

3.a Most recent IRC value 177 207

3.b Average of the IRC number over the preceding twelve weeks 195 208

4 CRM(***) (higher of values 4.a, 4.b and 4.c) 479 38 590 47

4.a Most recent risk number for the correlation trading portfolio 35 47

4.b Average of the risk number for the correlation trading portfolio over the preceding twelve weeks 38 47

4.c 8% of the own funds requirement in the standardised approach on the most recent risk number for the correlation trading portfolio 30 27

6 TOTAL 17,726 1,418 14,852 1,188

(*) VaR, SVaR and IRC values include all the components taken into account in the calculation of risk-weighted assets. (**) Incremental Risk Charge. (***) Comprehensive Risk Measure.

The market risk calculated using the standardised approach covers the market risk of some entities of the Group that are not covered by internal models. The standardised approach is used to calculate foreign exchange

risk for banking book (See section 5.7 Market risk related to banking activities).

➤ TABLE 74: MARKET RISK UNDER THE STANDARDISED APPROACH (EU MR1)

31 December 2018 31 December 2017

RWAs Capital

requirements RWAs Capital

requirements

Outright products

1 Interest rate risk (general and specifi c) 260 21 172 14

2 Equity risk (general and specifi c) 0 0 0 0

3 Foreign exchange risk 1,513 121 975 78

Options

7 Scenario approach 7 1 - -

8 Securitisation (specifi c risk) 442 35 667 53

9 TOTAL 2,222 178 1,814 145