2020 Universal registration document and annual financial report - BNP PARIBAS 487

5risks and CaPital adequaCy Pillar 3

5

Appendix 4: Capital requirements of significant subsidiaries

BGL BNP PARIBAS GROUP

In millions of euros

RWAs Capital

requirements

31 December 2020 31 December 2019 31 December 2020

1 Credit risk 23,049 22,849 1,844

2 Of which standardised approach 16,103 16,433 1,288

4 Of which internal ratings-based approach - advanced (AIRB) 6,469 5,897 518

5 Of which equity positions under the simple risk-weighted approach 477 519 38

6 Counterparty credit risk 48 39 4

7 Of which mark-to-market 45 37 4

12 Of which CVA 3 2 0

14 Securitisation exposures in the banking book 5 12 0

14b Of which standardised approach (SEC-SA) 2 - 0

14c Of which external ratings-based approach (SEC-ERBA) 3 - 0

15 Of which ratings-based approach (IRB) 12

19 Market risk 2 13 0

20 Of which standardised approach 2 13 0

23 Operational risk 2,048 2,061 164

24 Of which basic indicator approach 158 156 13

25 Of which standardised approach 213 254 17

26 Of which advanced measurement approach (AMA) 1,677 1,652 134

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 187 172 15

29 TOTAL 25,338 25,146 2,027