2018 Registration document and annual fi nancial report - BNP PARIBAS406

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Market risk

Summary of measures taken into account within the framework of monitoring market limits

➤ TABLE 79 : INTERNAL MODEL APPROACH VALUES FOR TRADING PORTFOLIOS (EU MR3)

In millions of euros Year to 31 Dec. 2018 Year to 31 Dec. 2017

VaR (10-day, 99%)

1 Maximum 118 121

2 Average 79 81

3 Minimum 56 58

4 Last measure 94 64

SVaR (10-day, 99%)

5 Maximum 247 221

6 Average 151 133

7 Minimum 94 81

8 Last measure 201 120

IRC(*) (99.9%)

9 Maximum 367 374

10 Average 190 226

11 Minimum 92 135

12 Last measure 135 188

CRM(**) (99.9%)

13 Maximum 63 104

14 Average 44 59

15 Minimum 27 37

16 Last measure 35 47

(*) Incremental Risk Charge. (**) Comprehensive Risk Measure.

Securitisation positions in trading book outside correlation portfolio

For securitisation positions treated as fi nancial assets at fair value for accounting purposes, changes in market value, except accrued interest on fi xed income securities, are recognised in the profi t and loss account under Net gain/loss on fi nancial instruments at fair value through profi t or loss .

For ABS positions outside the correlation book, the standardised capital charge applies (as per the standard method for banking books). The capital requirements are therefore calculated by applying a weighting to the risk- weighted assets (RWA), which is determined on the basis of the asset s

external rating. The capital calculation are based on the second worst rating of the three rating agencies.

Trading book securitisation positions deducted from CET1 capital since 31 December 2017 are excluded from the calculation of risk-weighted assets with respect to market risk. They are therefore not included in the following tables. At 31 December 2018, securitisation positions in the trading book deducted from CET1 capital amounted to EUR 38 million.