2020 Universal registration document and annual financial report - BNP PARIBAS484

5 risks and CaPital adequaCy Pillar 3

5

Appendix 4: Capital requirements of significant subsidiaries

BNP PARIBAS USA INC. GROUP

In millions of euros

RWAs Capital

requirements

31 December 2020 31 December 2019 31 December 2020

1 Credit risk 40,900 46,798 3,272

2 Of which standardised approach 40,552 45,888 3,244

4 Of which advanced IRB approach 66 365 5

5 Of which equity positions under the simple risk-weighted approach 282 545 23

6 Counterparty credit risk 1,233 1,034 99

7 Of which mark-to-market 702 659 56

10 Of which internal model method (IMM) 367 192 29

11 Of which CCP - default fund contributions 70 174 6

12 Of which CVA 93 9 7

14 Securitisation exposures in the banking book 9 9 1

14b Of which standardised approach (SEC-SA) 4 - 0

14c Of which external ratings-based approach (SEC-ERBA) 5 6 0

18 Of which standardised approach 3

19 Market risk 2 - 0

20 Of which standardised approach 2 - 0

23 Operational risk 4,902 4,540 392

24 Of which basic indicator approach 42 41 3

25 Of which standardised approach 3,560 3,511 285

26 Of which advanced measurement approach (AMA) 1,301 988 104

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 675 726 54

29 TOTAL 47,721 53,107 3,818