2020 Universal registration document and annual financial report - BNP PARIBAS482
5 risks and CaPital adequaCy Pillar 3
5
Appendix 4: Capital requirements of significant subsidiaries
Appendix 4: Capital requirements of significant subsidiaries
The following tables give the capital requirements of significant subsidiaries (see paragraph Significant subsidiaries in section 5.2 Scope of application) by type of risk, as contribution to the Group s total capital requirement.
BNP PARIBAS FORTIS GROUP
In millions of euros
RWAs Capital
requirements
31 December 2020 31 December 2019 31 December 2020
1 Credit risk 125,378 129,205 10,030
2 Of which standardised approach 48,426 53,815 3,874
4 Of which advanced IRB approach 60,695 60,420 4,856
5 Of which equity positions under the simple risk-weighted approach 16,258 14,971 1,301
6 Counterparty credit risk 2,351 2,004 188
7 Of which mark-to-market 670 446 54
10 Of which internal model method (IMM) 1,537 1,378 123
11 Of which CCP - default fund contributions 73 84 6
12 Of which CVA 71 97 6
14 Securitisation exposures in the banking book 1,253 1,013 100
14a Of which internal ratings-based approach (SEC-IRBA) 650 816 52
14b Of which standardised approach (SEC-SA) 24 - 2
14c Of which external ratings-based approach (SEC-ERBA) 579 26 46
15 Of which IRB approach (IRB) 171
19 Market risk 459 533 37
20 Of which standardised approach 459 533 37
23 Operational risk 12,371 13,198 990
24 Of which basic indicator approach 1,790 1,941 143
25 Of which standardised approach 2,208 2,160 177
26 Of which advanced measurement approach (AMA) 8,373 9,097 670
27 Amounts below the thresholds for deduction (subject to 250% risk weight) 4,813 4,370 385
29 TOTAL 146,625 150,323 11,730
