2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS462

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

Appendix 5: List of tables and fi gures

Page

Table 65 Bilateral counterparty credit risk exposure at default by rating 391

Table 66 Exposure to central counterparties (CCP) (EU CCR8) 392

Table 67 CVA risk capital charge (EU CCR2) 393

Table 68 Composition of collateral (EU CCR5-B) 394

Table 69 Credit derivative exposures (EU CCR6) 394

Table 70 Counterparty credit risk capital requirement and risk-weighted assets 395

Table 71 Counterparty credit risk-weighted assets movements by key driver (EU CCR7) 395

5.7 MARKET RISK 396

Table 72 Market risk capital requirement and risk-weighted assets 396

Table 73 Market risk under the internal model approach (EU MR2-A) 397

Table 74 Market risk under the standardised approach (EU MR1) 397

Table 75 Market risk-weighted assets movements by key driver (EU MR2-B) 398

Table 76 Value at Risk (1-day, 99%) 402

Figure 10 Comparison between VaR (1-day, 99%) and daily trading revenue (EU MR4) 403

Figure 11 Quarterly change in VaR (1-day, 99%) 403

Figure 12 Distribution of daily trading revenue 404

Table 77 Value at Risk (10-day, 99%) 404

Table 78 Stressed Value at Risk (1-day, 99%) 405

Table 79 Internal model approach values for trading portfolios (EU MR3) 406

Table 80 Breakdown of trading book securitisation positions outside correlation book by asset type 407

Table 81 Quality of trading book securitisation positions outside correlation book 407

Table 82 Breakdown of trading book securitisation positions and capital requirement outside correlation book by risk weight 408

Table 83 Sensitivity of revenues to global interest rate risk based on a 50 basis point increase or decrease in the interest rates 412

Table 84 Hedged cash fl ows 413

5.8 LIQUIDITY RISK 414

Table 85 Breakdown of the Group wholesale funding by currency 416

Table 86 Breakdown of the Group s medium- and long- term (MLT) wholesale funding 417

Table 87 Trends in Group MLT wholesale funding 417

Table 88 MLT secured wholesale funding 418

Table 89 Breakdown of global liquidity reserve (counterbalancing capacity) 419

Table 90 Short-term liquidity ratio (LCR) Itemised 420

Table 91 Contractual maturities of the prudential balance sheet 422

Table 92 Contractual maturities of medium- and long- term debt (prudential perimeter) 424

Table 93 Economic maturities of medium- and long- term debt (prudential perimeter) 425

Table 94 Encumbered and unencumbered assets 426

5.9 OPERATIONAL RISK 428

Figure 13 Reputation risk management framework 431

Figure 14 Operational losses Breakdown by event type (average 2010 -2018 ) 434

Table 95 Operational risk capital requirement and risk-weighted assets 435

5.10 INSURANCE RISKS 436

Table 96 Breakdown of BNP Paribas Cardif goup investments (excluding investments in unit-linked contracts) 437

Table 97 Bond exposure by issuer (excluding investments in unit-linked contracts and Eurocroissance contracts) 438

Table 98 Government bond and similar by country (excluding investments in unit-linked contracts and Eurocroissance contracts) 438

Table 99 Investment grade fi nancial assets meeting the SPPI criterion 438

Table 100 Non-investment grade fi nancial assets meeting the SPPI criterion 439

Table 101 Average redemption rates for BNP Paribas Cardif general funds 439