4552019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Appendix 4: Capital requirements of significant subsidiaries
BNL GROUP
In millions of euros
RWAs Capital
requirements
31 December 2019 31 December 2018 31 December 2019
1 Credit risk 38,373 35,861 3,070
2 Of which standardised approach 6,864 6,504 549
4 Of which advanced IRB approach 29,861 27,776 2,389
5 Of which equity positions under the simple risk-weighted approach 1,649 1,581 132
6 Counterparty credit risk 397 386 32
7 Of which mark-to-market 298 275 24
12 Of which CVA 99 111 8
14 Securitisation exposures in the banking book 461 210 37
14a Of which internal ratings based approach (SEC-IRBA) 39 - 3
14b Of which standardised approach (SEC-SA) 222 - 18
15 Of which IRB approach (IRB) 5 - 0
16 Of which IRB supervisory formula approach (SFA) 156 155 12
18 Of which standardised approach 39 55 3
19 Market risk 2 12 0
20 Of which standardised approach 2 12 0
23 Operational risk 3,798 5,419 304
24 Of which basic indicator approach 142 79 11
25 Of which standardised approach 136 101 11
26 Of which Advanced Measurement Approach (AMA) 3,520 5,239 282
27 Amounts below the thresholds for deduction (subject to 250% risk weight) 79 26 6
29 TOTAL 43,110 41,915 3,449
