Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS324

5 risks and CaPital adequaCy Pillar 3

Capital management and capital adequacy

RWAs In millions of euros

31 December 2019

Retail Banking & Services Corporate & Institutional Banking

Corporate Centre Total

Domestic Markets

International Financial Services

Corporate Banking

Global Markets

Securities Services

Credit risk 202,639 190,938 98,619 7,106 2,261 22,668 524,231

of which standardised approach 50,910 139,964 6,836 1,528 631 10,621 210,490

of which advanced IRB approach 142,169 19,095 90,682 4,425 1,527 1,655 259,552 of which equity positions under the simple weighting method 9,559 31,879 1,102 1,153 103 10,393 54,189

Counterparty credit risk 2,626 575 425 24,221 1,553 121 29,520

of which mark-to-market method 323 505 24 986 838 6 2,682

of which internal model method (IMM) 2,204 6 199 20,136 677 - 23,221

of which CCP default fund contributions - - 83 1,099 34 107 1,323

of which CVA 100 65 119 2,000 4 7 2,294

Settlement risk - - - 3 - - 3

Securitisation exposures in the banking book 2,337 291 5,317 2,433 - 133 10,510

of which internal ratings-based approach (SEC-IRBA) 1,423 66 2,347 488 - - 4,324

of which standardised approach (SEC-SA) 230 7 270 750 - - 1,257

of which external ratings-based approach (SEC-ERBA) 13 89 55 20 - - 177

of which IRB approach 5 106 301 237 - 133 781

of which IRB supervisory formula approach (SFA) 627 - 2,015 930 - - 3,571

of which standardised approach 39 22 330 9 - - 400

Market risk 38 353 699 17,562 639 5 19,296

of which standardised approach 38 225 666 808 35 5 1,776

of which internal model approach (IMA) - 129 34 16,754 604 - 17,521

Operational risk 20,969 18,413 10,433 15,033 3,498 544 68,891

of which basic indicator approach 650 2,689 232 232 408 160 4,371

of which standardised approach 1,382 6,948 1,146 500 115 153 10,243

of which advanced measurement approach (AMA) 18,937 8,777 9,055 14,302 2,975 231 54,278

Amounts below the thresholds for deduction (subject to 250% risk weight) 1,133 6,157 14 540 55 8,476 16,376

TOTAL 229,741 216,727 115,507 66,899 8,006 31,947 668,828

The breakdown of risk-weighted assets by domain reflects the Group s diversified business mix, with 64% devoted to Retail Banking & Services (including 34% for the Domestic Markets and 30% for International Financial Services), 31% to Corporate & Institutional Banking and 5% to Corporate Centre.

The increase in the Group s risk-weighted assets was EUR 27 billion over 2020, with a EUR 28 billion increase in Corporate & Institutional Banking, including EUR 20 billion in Global Markets. Domestic Markets risk-weighted assets rose by EUR 4 billion with an increase on French Retail Banking and BNL partly offset by a decrease on Belgian Retail Banking and Arval. The EUR 7 billion decrease in risk-weighted assets on International Financial Services is mainly driven by BancWest, Personal Finance and Europe-Mediterranean

TRANSITIONAL ARRANGEMENTS RELATING TO RISK-WEIGHTED ASSETS Since 31 March 2020, the Group applies the provisions of Regulation (EU) No. 2017/2395 on transitional measures relating to the introduction of IFRS 9 for the calculation of risk-weighted assets for credit risk. Since 30 June 2020, the Group has also applied the provisions of Regulation (EU) No. 2020/875 supplementing these transitional measures (see Table 17: Effect of the application of the transitional provisions for IFRS 9 accounting standard).