454 2019 Universal registration document and annual financial report - BNP PARIBAS
5 risks and CaPital adequaCy Pillar 3
5
Appendix 4: Capital requirements of significant subsidiaries
Appendix 4: Capital requirements of significant subsidiaries
The following tables give the capital requirements of significant subsidiaries (see paragraph Significant subsidiaries in section 5.2 Scope of application) by type of risk, as contribution to the Group s total capital requirement.
BNP PARIBAS FORTIS GROUP
In millions of euros
RWAs Capital
requirements
31 December 2019 31 December 2018 31 December 2019
1 Credit risk 129,205 134,105 10,336
2 Of which standardised approach 53,815 66,769 4,305
4 Of which advanced IRB approach 60,420 57,604 4,834
5 Of which equity positions under the simple risk-weighted approach 14,971 9,732 1,198
6 Counterparty credit risk 2,004 1,877 160
7 Of which mark-to-market 446 345 36
10 Of which internal model method (IMM) 1,378 1,317 110
11 Of which CCP - default fund contributions 84 58 7
12 Of which CVA 97 157 8
14 Securitisation exposures in the banking book 1,013 823 81
14a Of which internal ratings based approach (SEC-IRBA) 816 - 65
14c Of which external ratings based approach (SEC-ERBA) 26 - 2
15 Of which IRB approach (IRB) 171 402 14
18 Of which standardised approach 0 421 0
19 Market risk 533 404 43
20 Of which standardised approach 533 404 43
23 Operational risk 13,198 15,260 1,056
24 Of which basic indicator approach 1,941 2,768 155
25 Of which standardised approach 2,160 2,632 173
26 Of which Advanced Measurement Approach (AMA) 9,097 9,860 728
27 Amounts below the thresholds for deduction (subject to 250% risk weight) 4,370 4,355 350
29 TOTAL 150,323 156,825 12,026
