2012 Registration document and annual financial report - BNP Paribas

5RISKSAND CAPITAL ADEQUACYMarket risk➤ TABLE 41: QUALITY OF TRADING BOOK SECURITISATION POSITIONS OUTSIDE CORRELATION BOOKIn millions of eurosSecuritisation positions held or acquired (EAD)31 December 2012 31 December 2011Tranche qualityS hort positions L ong positions S hort positions L ong positionsSenior tranche - 490 - 404Mezzanine tranche 21 393 13First-loss tranche 131 6 121 21TOTAL 131 517 514 437Capital requirement for market riskThe market risk calculated using the standardised approach covers themarket risk of some entities of the Group that are not covered by internalmodels.The standardised approach is used to calculate foreign exchange riskfor banking book.(See section 5.7: “Market risk related to banking activities”.)➤ TABLE 42: CAPITAL REQUIREMENT FOR MARKET RISKCalculation approach Type of risk 31 December 2012 31 December 2011 VariationVaR 435 659 ( 223)Stressed VaR 894 1,328 ( 434 )5IRC 274 515 ( 242 )Correlation portfolio 208 325 ( 118 )TOTAL INTERNAL MODEL 1,811 2,827 ( 1,016 )Commodity risk - - -Interest rate risk 4 13 (8)Equity position risk 1 - 1Foreign exchange risk 207 178 29TOTAL STANDARDISED APPROACH 212 191 21TRADING BOOK SECURITISATION POSITIONS 21 62 (41)TOTAL 2,044 3,080 ( 1,036 )A reduction in market risk capital requirement of EUR 1 billion(-EUR 13 billion of RWA) between 2011 and 2012 is observed acrossall market risk capital measures. This reduction mainly corresponds tothe active de-risking of CIB metiers over 2012 and to the decrease ofsensitivities to market parameters.2922012 Registration document and annual financial report - BNP PARIBAS