2020 Universal registration document and annual financial report - BNP PARIBAS 483
5risks and CaPital adequaCy Pillar 3
5
Appendix 4: Capital requirements of significant subsidiaries
BNL GROUP
In millions of euros
RWAs Capital
requirements
31 December 2020 31 December 2019 31 December 2020
1 Credit risk 38,809 38,373 3,105
2 Of which standardised approach 5,682 6,864 455
4 Of which advanced IRB approach 31,266 29,861 2,501
5 Of which equity positions under the simple risk-weighted approach 1,860 1,649 149
6 Counterparty credit risk 522 397 42
7 Of which mark-to-market 465 298 37
12 Of which CVA 57 99 5
14 Securitisation exposures in the banking book 591 461 47
14a Of which internal ratings-based approach (SEC-IRBA) 455 39 36
14b Of which standardised approach (SEC-SA) 136 222 11
15 Of which IRB approach (IRB) 5
16 Of which IRB supervisory formula approach (SFA) 156
18 Of which standardised approach 39
19 Market risk 1 2 0
20 Of which standardised approach 1 2 0
23 Operational risk 3,878 3,798 310
24 Of which basic indicator approach 121 142 10
25 Of which standardised approach 144 136 12
26 Of which advanced measurement approach (AMA) 3,613 3,520 289
27 Amounts below the thresholds for deduction (subject to 250% risk weight) 50 79 4
29 TOTAL 43,851 43,110 3,508
