2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYMarket risk5➤ TABLE 43: BREAKDOWN OF TRADING BOOK SECURITISATION POSITIONS OUTSIDE CORRELATION BOOK BY TYPE,APPROACH AND RISK WEIGHTIn millions of euros 31 December 2012Calculation methodSecuritisationSecuritisation positions held or acquired (EAD)Short positionsLong positionsResecuritisationTotal SecuritisationTotalShortpositionsCapital requirementLongpositions7% – 10% - - 420 420 - 3 312% – 18% - - 38 38 -20% – 35% - - - 9 18 27 - 1 140% – 75% - - - 9 1 10 - 1 1100% - - - 1 1 2 - 0250% - - 1 1 -350% - - 4 4 - 1 1425% - - 0 -External ratingsbased method - - - 478 24 502 - 6 61,250% - 131 131 12 3 15 16 15 15TOTAL - 131 131 491 26 517 16 21 21TotalIn millions of euros 31 December 2011Calculation methodSecuritisationSecuritisation positions held or acquired (EAD)Short positionsLong positionsResecuritisationResecuritisationTotal SecuritisationResecuritisationTotalShortpositionsCapital requirementLongpositions7% – 10% - - - 399 - 399 - 3 -12% – 18% - - - 12 - 12 - -20% – 35% - - - - - -40% – 75% - - - 4 - 4 - -425% - - - 2 - 2 - 1 -External ratingsbased method - - - 417 - 417 - 3 -1,250% - 514 514 20 21 62 21 62TOTAL - 514 514 417 20 437 62 24 62Total5STRESS TESTINGMarket Risk stress testing frameworkA range of stress tests are performed to simulate the impact of extrememarket conditions on the value on the global trading books. Stress testscover all market activities applying a range of stressed market conditions.The fundamental approach of the current trading book stress testingframework combines “bottom up” and “top down” stress testing:■ Macro Scenarios or “top down”: which comprise the evaluation of a setof macro “top down” global level stress tests. These scenarios assessthe impact of severe market moves on BNPP trading positions relatedto large global or major regional market shock events. They can be basedon historical events or forward-looking hypothetical scenarios. Scenariosinclude events such as an emerging markets crisis, credit crunch and astock markets crash.The official macro stress tests scenarios currently comprise a range of8 different stress tests. The results of these scenarios are reviewed ateach Capital Markets Risk Committee.■■Scenario 1: unexpected rate hike by central banks, driving shorttermrates higher with a flattening of the interest rate curve.Scenario 2: stock market crash, with a flight to quality leading to adrop and a steepening of the interest rate curve.2012 Registration document and annual financial report - BNP PARIBAS 293