3032019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

➤ TABLE 16: CHANGE IN ELIGIBLE DEBT

In millions of euros Tier 1 Tier 2

31 December 2018 8,509 15,255

New issues 1,511 1,870

Redemptions (69) (59)

Prudential discount 0 (152)

Others (984) 184

31 December 2019 8,967 17,100

CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS

The table below shows risk-weighted assets and capital requirement by risk type. Capital requirements make up 8% of risk-weighted assets.

➤ TABLE 17: RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENT (EU OV1)

In millions of euros

RWAs Capital

requirements

31 December 2019

31 December 2018

31 December 2019

1 Credit risk 524,231 503,851 41,939 See section 5.4

2 of which standardised approach 210,490 220,383 16,839

4 of which advanced IRB approach 259,552 242,323 20,764

5 of which equity positions under the simple weighting method 54,189 41,146 4,335

6 Counterparty credit risk 29,520 26,634 2,362 See section 5.6

7 of which mark-to-market method 2,682 2,552 215

10 of which internal model method (IMM) 23,221 19,702 1,858

11 of which CCP default fund contributions 1,323 1,289 106

12 of which CVA 2,294 3,090 184

13 Settlement risk 3 12 0

14 Securitisation exposures in the banking book 10,510 7,040 841 See section 5.5

14a of which internal ratings based approach (SEC-IRBA) 4,324 - 346

14b of which standardised approach (SEC-SA) 1,257 - 101

14c of which external ratings based approach (SEC-ERBA) 177 - 14

15 of which IRB approach 781 1,675 63

16 of which IRB supervisory formula approach (SFA) 3,571 4,301 286

18 of which standardised approach 400 1,064 32

19 Market risk 19,296 19,948 1,544 See section 5.7

20 of which standardised approach 1,776 2,222 142

21 of which internal model approach (IMA) 17,521 17,726 1,402

23 Operational risk 68,891 72,947 5,511 See section 5.9

24 of which basic indicator approach 4,371 5,619 350

25 of which standardised approach 10,243 10,393 819

26 of which advanced measurement approach (AMA) 54,278 56,935 4,342

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 16,376 16,569 1,310

29 TOTAL 668,828 647,001 53,506