3052019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

BREAKDOWN OF RISK-WEIGHTED ASSETS BY BUSINESS LINE

➤ TABLE 19: RISK-WEIGHTED ASSETS BY RISK TYPE AND BUSINESS

RWAs In millions of euros

31 December 2019

Retail Banking & Services Corporate & Institutional Banking

Corporate Centre Total

Domestic Markets

International Financial Services

Corporate Banking

Global Markets

Securities Services

Credit risk 202,639 190,938 98,619 7,106 2,261 22,668 524,231

of which standardised approach 50,910 139,964 6,836 1,528 631 10,621 210,490

of which advanced IRB approach 142,169 19,095 90,682 4,425 1,527 1,655 259,552

of which equity positions under the simple weighting method 9,559 31,879 1,102 1,153 103 10,393 54,189

Counterparty credit risk 2,626 575 425 24,221 1,553 121 29,520

of which mark-to-market method 323 505 24 986 838 6 2,682

of which internal model method (IMM) 2,204 6 199 20,136 677 - 23,221

of which CCP default fund contributions - - 83 1,099 34 107 1,323

of which CVA 100 65 119 2,000 4 7 2,294

Settlement risk - - - 3 - - 3

Securitisation exposures in the banking book 2,337 291 5,317 2,433 - 133 10,510

of which internal ratings based approach (SEC-IRBA) 1,423 66 2,347 488 - - 4,324

of which standardised approach (SEC-SA) 230 7 270 750 - - 1,257

of which external ratings based approach (SEC-ERBA) 13 89 55 20 - - 177

of which IRB approach 5 106 301 237 - 133 781

of which IRB supervisory formula approach (SFA) 627 - 2,015 930 - - 3,571

of which standardised approach 39 22 330 9 - - 400

Market risk 38 353 699 17,562 639 5 19,296

of which standardised approach 38 225 666 808 35 5 1,776

of which internal model approach (IMA) - 129 34 16,754 604 - 17,521

Operational risk 20,969 18,413 10,433 15,033 3,498 544 68,891

of which basic indicator approach 650 2,689 232 232 408 160 4,371

of which standardised approach 1,382 6,948 1,146 500 115 153 10,243

of which advanced measurement approach (AMA) 18,937 8,777 9,055 14,302 2,975 231 54,278

Amounts below the thresholds for deduction (subject to 250% risk weight) 1,133 6,157 14 540 55 8,476 16,376

TOTAL 229,741 216,727 115,507 66,899 8,006 31,947 668,828

■ a decrease of EUR 8 billion related to scope effects, particularly following the change in consolidation methods for some Group s unregulated entities, which are now consolidated under the equity method within the prudential scope;

■ an increase of EUR 3 billion due to currency effects, particularly with the appreciation of the U.S. dollar and pound sterling.

Comments on the main changes in 2019 for each type of risk are detailed in the various appropriate sections.