2020 Universal registration document and annual financial report - BNP PARIBAS 321

5risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS

The table below shows risk-weighted assets and capital requirement by risk type. Capital requirements make up 8% of risk-weighted assets.

➤ TABLE 18: RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENT (EU OV1)

In millions of euros

RWAs Capital

requirements

31 December 2020

31 December 2019

31 December 2020

1 Credit risk 527,189 524,231 42,175 See section 5.4

2 of which standardised approach 193,906 210,490 15,512

4 of which advanced IRB approach 278,202 259,552 22,256

5 of which equity positions under the simple weighting method 55,081 54,189 4,406

6 Counterparty credit risk 40,961 29,520 3,277 See section 5.6

7 of which mark-to-market method 3,272 2,682 262

10 of which internal model method (IMM) 33,164 23,221 2,653

11 of which CCP default fund contributions 1,716 1,323 137

12 of which CVA 2,810 2,294 225

13 Settlement risk 4 3 0

14 Securitisation exposures in the banking book 14,472 10,510 1,158 See section 5.5

14a of which internal ratings-based approach (SEC-IRBA) 12,279 4,324 982

14b of which standardised approach (SEC-SA) 923 1,257 74

14c of which external ratings-based approach (SEC-ERBA) 1,270 177 102

15 of which IRB approach 781

16 of which IRB supervisory formula approach (SFA) 3,571

18 of which standardised approach 400

19 Market risk 25,210 19,296 2,017 See section 5.7

20 of which standardised approach 2,096 1,776 168

21 of which internal model approach (IMA) 23,114 17,521 1,849

23 Operational risk 70,626 68,891 5,650 See section 5.9

24 of which basic indicator approach 3,623 4,371 290

25 of which standardised approach 11,203 10,243 896

26 of which advanced measurement approach (AMA) 55,800 54,278 4,464

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 17,061 16,376 1,365

29 TOTAL 695,523 668,828 55,642

The Group s total risk-weighted assets amounted to EUR 695.5 billion at 31 December 2020 compared with EUR 668.8 billion at 31 December 2019. At 31 December 2020, risk-weighted assets calculated using the internal model represented 58% of the Group s risk-weighted assets.

The breakdown of risk-weighted assets by risk type is presented in the various appropriate sections.

Amounts below the thresholds for prudential capital deduction are assets weighted at 250% pursuant to article 48 of Regulation (EU) No. 575/2013. These mainly include:

■ credit or financial institutions consolidated under the equity method, except for insurance entities consolidated under the equity method in

the prudential scope, which are weighted using the simple weighting method;

■ significant financial interests in credit or financial institutions in which the Group holds a stake of more than 10%;

■ deferred tax assets that rely on future profitability and arise from temporary differences.

Settlement risk is defined in article 378 of Regulation (EU) No. 575/2013 as the risk of loss of value related to a delay in the settlement of securities transactions. As at 31 December 2020, the risk-weighted assets with respect to this risk are not significant for the Group at EUR 4 million.