2012 Registration document and annual financial report - BNP Paribas

5RISKSAND CAPITAL ADEQUACYMarket riskRisk factors selected for estimating equity holdings risk depend on thelevel of availability and usability of securities prices data:■ listed securities whose historical prices series are long enough aredirectly selected as risk factors;■ for other listed securities and for unlisted securities, each investmentline is attached to a systemic risk factor representative of the businesssector and geographic zone where the issuer operates, plus an equityspecificrisk factor;■ for equity holdings of companies operating outside the Euro zone, arisk factor corresponding to the exchange rate is added.This model was validated by the French banking supervisory authoritiesin the context of approval for the calculation of capital requirements forequity risk. Temporarily, pending method convergence, the approach usedfor BNP Paribas Fortis’s scope and BGL BNP Paribas is the one approvedby the Belgian regulator, the BNB.➤ TABLE 46: EQUITY RISK- WEIGHTED ASSETS5Risk-weighted assetsEquity riskIn millions of euros31 December 2012 31 December 2011 VariationInternal model 21,496 23,461 ( 1,965)Listed equities 7,734 8,670 ( 395)Other equity exposures 7,321 8,576 ( 1,796)Private equity exposures in diversified portfolios 6,441 6,215 226Simple weighting method 1,733 1,248 485Listed equities 21 14 7Other equity exposures 468 125 343Private equity exposures in diversified portfolios 1,244 1,109 135Standardised approach 1,148 1,066 82TOTAL EQUITY RISK 24,377 25,775 ( 1,398)The change in risk-weighted assets in 2012 stemmed primarily from thesale of listed equity interests, while the recovery in the equity markets inthe second half led furthermore to an increase in unrealised gains. Thepartial disposal of Klépierre led to a loss of control; t he residual interestis now accounted for by the equity method, which has offset much of thepositive impact of other disposals.Foreign exchange riskCalculation of risk-weighted assetsForeign exchange risk relates to all transactions part of the banking book.Group entities calculate their net position in each currency, includingthe euro. The net position is equal to the sum of all asset items less allliability items plus off-balance sheet items (including the net forwardcurrency position and the net delta-based equivalent of the currencyoption book), less structural, non-current assets (long-term equityinterests, property, plant and equipment, and intangible assets). Thesepositions are converted into euros at the exchange rate prevailing onthe reporting date and aggregated to give the Group’s overall net openposition in each currency. The net position in a given currency is longwhen assets exceed liabilities and short when liabilities exceed assets. Foreach Group entity, the net currency position is balanced in the relevantcurrency (i.e. its reporting currency) such that the sum of long positionsequals the sum of short positions.The rules for calculating the capital requirement for foreign exchangerisk are as follows:■ matched positions in currencies of Member States participating inthe European Monetary System are subject to a capital requirementof 1.6% of the value of the matched positions;■ CFA and CFP francs are matched with the euro, and are not subject toa capital requirement;■ positions in closely correlated currencies are subject to a capitalrequirement of 4% of the matched amount;■ other positions, including the balance of unmatched positions in thecurrencies mentioned above, are subject to a capital requirement of8% of their amount.2962012 Registration document and annual financial report - BNP PARIBAS