456 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

BNP PARIBAS USA INC. GROUP

In millions of euros

RWAs Capital

requirements

31 December 2019 31 December 2018 31 December 2019

1 Credit risk 46,798 45,315 3,744

2 Of which standardised approach 45,888 44,620 3,671

4 Of which advanced IRB approach 365 276 29

5 Of which equity positions under the simple risk-weighted approach 545 418 44

6 Counterparty credit risk 1,034 886 83

7 Of which mark-to-market 659 543 53

10 Of which internal model method (IMM) 192 248 15

11 Of which CCP - default fund contributions 174 87 14

12 Of which CVA 9 9 1

14 Securitisation exposures in the banking book 9 5 1

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

14c Of which external ratings based approach (SEC-ERBA) 6 - 0

18 Of which standardised approach 3 5 0

19 Market risk 0 19 0

20 Of which standardised approach 0 19 0

23 Operational risk 4,540 4,601 363

24 Of which basic indicator approach 41 39 3

25 Of which standardised approach 3,511 3,512 281

26 Of which Advanced Measurement Approach (AMA) 988 1,050 79

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 726 1,920 58

29 TOTAL 53,107 52,745 4,249