2020 Universal registration document and annual financial report - BNP PARIBAS486

5 risks and CaPital adequaCy Pillar 3

5

Appendix 4: Capital requirements of significant subsidiaries

BNP PARIBAS PERSONAL FINANCE GROUP

In millions of euros

RWAs Capital

requirements

31 December 2020 31 December 2019 31 December 2020

1 Credit risk 55,019 58,781 4,402

2 Of which standardised approach 41,904 45,842 3,352

4 Of which advanced IRB approach 13,017 12,837 1,041

5 Of which equity positions under the simple risk-weighted approach 97 101 8

6 Counterparty credit risk 21 8 2

7 Of which mark-to-market 6 1 0

12 Of which CVA 16 7 1

14 Securitisation exposures in the banking book 271 232 22

14a Of which internal ratings-based approach (SEC-IRBA) 196 66 16

14b Of which standardised approach (SEC-SA) - 7 -

14c Of which external ratings-based approach (SEC-ERBA) 75 58 6

15 Of which IRB approach 82

16 Of which IRB supervisory formula approach (SFA) -

18 Of which standardised approach 19

19 Market risk 23 4 2

20 Of which standardised approach 23 4 2

23 Operational risk 7,391 6,727 591

24 Of which basic indicator approach 138 904 11

25 Of which standardised approach 1,918 1,160 153

26 Of which advanced measurement approach (AMA) 5,334 4,663 427

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 1,482 1,788 119

29 TOTAL 64,207 67,540 5,137