2018 Registration document and annual fi nancial report - BNP PARIBAS404

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Market risk

Distribution of daily income [Audited]

The following histogram presents the distribution of the actual daily trading revenue of BNP Paribas, including intra-day revenues, fees and commissions. It indicates the numbers of trading days during which the revenue reached each of the levels marked on the x axis, in millions of euro.

➤ FIGURE 12: DISTRIBUTION OF DAILY TRADING REVENUE [Audited]

0

10

20

30

40

50

60

70

80

90

In trading days

In millions of euros

Frequency

More than 90

80 to 9070 to 8060 to 7050 to 6040 to 5030 to 4020 to 3010 to 200 to 10-10 to 0-20 to -10-30 to -20Less than -30

Trading activities generated an actual positive result for 91 % of the trading days in 2018 (versus 98 % in 2017).

Evolution of the VaR (10-day, 99%) [Audited]

The VaR set out below are calculated from an internal model, which uses parameters that comply with the method recommended by the Basel Committee for determining estimated V alue at R isk. They correspond to measurments taken into account within the framework of monitoring market limits. These are based on a ten-day time horizon and a 99% confi dence

interval, extrapolated from 1-day VaR amounts with the same confi dence interval, by multiplying by a factor equal to the square root of ten .

In 2018, total average VaR (10-day, 99%) for BNP Paribas is EUR 79 million (with a minimum of EUR 56 million and a maximum of EUR 118 million), after taking into account the -EUR 94 million netting effect between the different types of risks. These amounts break down as follows:

➤ TABLE 77 : VALUE AT RISK (10-DAY, 99%) [Audited]

In millions of euros

Year to 31 Dec. 2018 Year to 31 Dec. 2017

Minimum(**) Average Maximum(**) Last measure Average Last measure

Interest rate risk 40 55 89 64 54 51

Credit risk 28 35 62 30 40 35

Foreign exchange risk 11 21 39 29 31 20

Equity price risk 29 48 98 54 42 38

Commodity price risk 7 12 28 18 12 9

Netting effect(*) (94) (101) (98) (89)

TOTAL VALUE AT RISK 56 79 118 94 81 64

(*) Note that the minimum and maximum fi gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant.

(**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type.