2020 Universal registration document and annual financial report - BNP PARIBAS382
5 risks and CaPital adequaCy Pillar 3
5
Credit risk
➤ TABLE 41: EQUITY POSITIONS UNDER THE SIMPLE WEIGHTING METHOD (EU CR10)
In millions of euros
31 December 2020
On-balance- sheet gross
exposure
Off-balance- sheet gross
exposure Total gross
exposure EAD Risk weight RWAs Capital
requirement
Private equity exposures in diversified portfolios 2,037 990 3,027 2,532 190% 4,811 385
Listed equity exposures 1,167 85 1,252 1,210 290% 3,508 281
Other equity exposures 12,554 169 12,723 12,638 370% 46,762 3,741
TOTAL 15,758 1,243 17,002 16,380 55,081 4,406
In millions of euros
31 December 2019
On-balance- sheet gross
exposure
Off-balance- sheet gross
exposure Total gross
exposure EAD Risk weight RWAs Capital
requirement
Private equity exposures in diversified portfolios 2,271 956 3,227 2,749 190% 5,224 418
Listed equity exposures 1,260 60 1,320 1,290 290% 3,741 299
Other equity exposures 12,106 234 12,339 12,223 370% 45,224 3,618
TOTAL 15,637 1,249 16,887 16,262 54,189 4,335
As at 31 December 2020, the Group does not use the simple weighting method for specialised lending portfolios.
➤ TABLE 42: INSURANCE UNDERTAKINGS (EU INS1)
In millions of euros 31 December 2020 31 December 2019
Holdings in insurance companies(*) (before 370% risk weight) 8,184 8,041
TOTAL RISK-WEIGHTED ASSETS 30,280 29,753
(*) Significant financial holdings in insurance companies consolidated by the equity method within the prudential scope, benefiting from the provisions of Article 49 of Regulation (EU) No. 575/2013 on exemptions from deduction from regulatory capital of holdings in an insurance company. Under the provisions of Article 48 of Regulation (EU) No. 575/2013, a potential deduction from regulatory capital would have a limited impact with a decrease of around 10 basis points in the CET1 ratio.
➤ TABLE 43: EQUITY UNDER THE SIMPLE WEIGHTING METHOD RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER
In millions of euros
31 December
2019
Key driver
Total variation
31 December
2020 Asset
size Asset
quality Model
updates Methodology
and policy Acquisitions
and disposals Currency Other
RWAs 54,189 1,413 - - - (499) - (23) 892 55,081
The change in risk-weighted assets in 2020 is mainly due to the increase in the carrying amount of entities in the long-term leasing sector consolidated using the equity method.
