2020 Universal registration document and annual financial report - BNP PARIBAS 279

RISKS AND CAPITAL ADEQUACY PILLAR 35 5.1 Annual risk survey 282

Key figures 282 Top and emerging risks 285 Risk factors 290

5.2 Capital management and capital adequacy 304 Scope of application 304 Regulatory capital 315 Capital requirement and risk-weighted assets 321 Capital adequacy and capital planning 325 Capital management 334

5.3 Risk management 336 Governance 336 Risk management organisation 337 Risk culture 338 Risk Appetite 339 Stress testing 341

5.4 Credit risk 344 Exposure to credit risk 344 Credit risk management policy 346 Credit risk diversification 350 Risk-weighted assets 361 Credit risk: Internal Ratings-Based Approach (IRBA) 362 Credit risk: standardised approach 375 Credit risk: equities under the simple weighting method 381 Exposures, provisions and cost of risk 383 Restructured loans 396 Exposures subject to moratoria and public guarantee schemes 397 Credit risk mitigation techniques 400

5.5 Securitisation in the banking book 403 BNP Paribas securitisation activities 403 Accounting methods 406 Securitisation risk management 407 Securitisation positions 408 Risk-weighted assets 410