458 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 PERSONAL FINANCE GROUP

In millions of euros

RWAs Capital

requirements

31 December 2019 31 December 2018 31 December 2019

1 Credit risk 58,781 58,533 4,702

2 Of which standardised approach 45,842 45,567 3,667

4 Of which advanced IRB approach 12,837 12,904 1,027

5 Of which equity positions under the simple risk-weighted approach 101 62 8

6 Counterparty credit risk 8 16 1

7 Of which mark-to-market 1 2 0

12 Of which CVA 7 14 1

14 Securitisation exposures in the banking book 232 150 19

14a Of which internal ratings based approach (SEC-IRBA) 66 - 5

14b Of which standardised approach (SEC-SA) 7 - 1

14c Of which external ratings based approach (SEC-ERBA) 58 - 5

15 Of which IRB approach 82 110 7

16 Of which IRB supervisory formula approach (SFA) 0 0 0

18 Of which standardised approach 19 41 1

19 Market risk 4 8 0

20 Of which standardised approach 4 8 0

23 Operational risk 6,727 6,397 538

24 Of which basic indicator approach 904 1,302 72

25 Of which standardised approach 1,160 869 93

26 Of which Advanced Measurement Approach (AMA) 4,663 4,226 373

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 1,788 1,846 143

29 TOTAL 67,540 66,950 5,403