2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYMarket risk5The model used is an internally validated and market standard model that prices the value of the bespoke CDO using market CDS spread and impliedcorrelation levels of the observed Index CDO tranches.➤ TABLE 39: COMPREHENSIVE RISK MEASURE CAPITAL REQUIREMENTSYear to 31 Dec. 201231 December 2011In millions of eurosMinimum Average Maximum 31 December 2012Average4 th quarter 2011 ( * )Comprehensive Risk Measure 161 238 305 161 325 290(*) The first CRD 3 application date was 31 December 2011.Securitisation positions in trading book outsideCorrelation portfolioFor the positions of securitisation treated as financial assets at fair valuethrough profit and loss for accounting purposes, the variations of marketvalues, except accrued interest of the fixed income securities, are storedas “net gain on financial instruments at fair value by P/L” of the profitand loss account.ABS in the trading book are subject to limits as defined by the DebtTrading Risk Policy (DTRP). The DTRP defines a global envelope along withconcentration limits. Limits are monitored daily and Trading is notifiedof any breaches.For Trading Book ABS positions outside the correlation book, thestandardised capital charge applies (as per the standard method forbanking books). The capital requirements are hence calculated as aweighting of the Risk- Weighted Assets (RWA), which is determined basedon the rating of the asset. Capital calculations are based on the secondworst rating of the three rating agencies.➤ TABLE 40: BREAKDOWN OF TRADING BOOK SECURITISATION POSITIONS OUTSIDE CORRELATION BOOKBY ASSET TYPEIn millions of eurosAsset categorySecuritisation positions held or acquired (EAD)31 December 2012 31 December 2011S hort positions L ong positions S hort positions L ong positionsResidential mortgages - 372 - 208Consumer loans - 20 - 23Credit card receivables - 13Loans to corporates - 78 - 141Commercial real-estate properties - 1 - 5Finance leases - 36 - 28Other assets - 9 - 0TOTAL BALANCE SHEET - 516 - 417Other assets 131 1 514 20TOTAL OFF-BALANCE SHEET 131 1 514 20TOTAL 131 517 514 43752012 Registration document and annual financial report - BNP PARIBAS 291