Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS 323

5risks and CaPital adequaCy Pillar 3

Capital management and capital adequacy

BREAKDOWN OF RISK-WEIGHTED ASSETS BY BUSINESS LINE

➤ TABLE 20: RISK-WEIGHTED ASSETS BY RISK TYPE AND BUSINESS

RWAs In millions of euros

31 December 2020

Retail Banking & Services Corporate & Institutional Banking

Corporate Centre Total

Domestic Markets

International Financial Services

Corporate Banking

Global Markets

Securities Services

Credit risk 204,707 181,755 104,037 8,026 2,812 25,853 527,189

of which standardised approach 48,306 129,541 6,938 2,226 886 6,009 193,906

of which advanced IRB approach 145,652 20,052 96,047 4,694 1,840 9,915 278,202

of which equity positions under the simple weighting method 10,749 32,162 1,051 1,105 85 9,929 55,081

Counterparty credit risk 3,353 893 373 34,580 1,603 158 40,961

of which mark-to-market method 490 728 4 1,316 703 30 3,272

of which internal model method (IMM) 2,802 10 236 29,419 696 0 33,164

of which CCP default fund contributions - - 74 1,329 199 113 1,716

of which CVA 60 154 59 2,516 5 16 2,810

Settlement risk - - - 4 - - 4

Securitisation exposures in the banking book 3,468 370 6,632 3,483 2 517 14,472

of which internal ratings-based approach (SEC-IRBA) 3,288 197 5,929 2,844 2 20 12,279

of which standardised approach (SEC-SA) 136 4 424 336 - 22 923

of which external ratings-based approach (SEC-ERBA) 44 170 279 303 - 475 1,270

Market risk 56 320 445 24,072 279 38 25,210

of which standardised approach 56 138 431 1,392 41 38 2,096

of which internal model approach (IMA) - 182 14 22,680 238 - 23,114

Operational risk 19,640 19,737 10,321 16,188 4,332 408 70,626

of which basic indicator approach 701 1,951 268 228 429 47 3,623

of which standardised approach 1,225 7,830 1,224 564 126 233 11,203

of which advanced measurement approach (AMA) 17,714 9,955 8,829 15,396 3,777 128 55,800

Amounts below the thresholds for deduction (subject to 250% risk weight) 2,265 6,392 11 525 609 7,260 17,061

TOTAL 233,489 209,467 121,819 86,878 9,636 34,234 695,523