2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYMarket risk5➤ TABLE 44: BREAKDOWN OF RISK EXPOSURE BY INVESTMENT OBJECTIVEExposure (*)In millions of euros31 December 2012 31 December 2011Strategic objective 2,891 2,068Return on investment objective 5,249 4,798Equity investments related to business 6,075 5,849TOTAL 14,215 12,715(*) Fair value (balance sheet + off-balance sheet).Exposures at 31 December 2012 amounted to EUR 14.2 billion, versusEUR 12.7 billion at 31 December 2011. Off-balance sheet items amountedto EUR 4.5 billion at 31 December 2012, versus EUR 3.8 billion at31 December 2011. Guarantees given to UCITS shareholders amountedto EUR 3.3 billion.Exposure [Audited]ScopeThe shares held by the Group outside trading portfolios are securitiesconferring residual and subordinated rights on issuer’s assets or income,or securities representing a similar economic nature.They encompass:■ listed and unlisted shares, including shares in investment funds;➤ TABLE 45: EXPOSURE (*) TO EQUITY RISK■ embedded options of convertible bonds, redeemable or exchangeablefor shares;■ equity options;■ super-subordinated securities;■ private funds commitments;■ equity holdings hedge;■ consolidated entities using the equity method.Accounting principles and valuation methodsAccounting principles and valuation methods are set out in note 1 of thefinancial consolidated statement – Summary of significant accountingpolicies applied by the BNP Paribas Group - 1.c.9 Determination of marketvalue.5In millions of euros 31 December 2012 31 December 2011Internal model method 12,385 11,198Listed equities 3,813 3,111Other equity exposures 5,906 5,343Private equity in diversified portfolios 2,666 2,744Simple risk weight method 788 622Listed equities 7 5Other equity exposures 127 34Private equity in diversified portfolios 654 584Standardised approach 1,042 895TOTAL 14,215 12,715(*) Fair Value.Growth in equity risk exposures despite asset sales was mainly due toKlépierre being accounted for by the equity method as of March 2012,coupled with an increase in unrealised gains.Total gains and lossesTotal gains and unrealised losses recorded in shareholders’ equity areset out in note 5.c. of the financial consolidated statement – Availablefor-salefinancial assets.Risk-weighted assetsEquity Risk ModelOn the historical perimeter of BNP Paribas, the Group uses an internalmodel, derived from the one used for the calculation of daily Value-at-Risk of trading portfolios. However, the application of horizon parametersand confidence interval differ in accordance with article 59-1-c sectionii of the Decree on 20 February 2007 of the French Ministry of Economy,Finance and Industry. This model allows estimating on this perimeter thevalue at risk of the Group at a 99% confidence level on a 3 months horizon.2012 Registration document and annual financial report - BNP PARIBAS 295