2018 Registration document and annual fi nancial report - BNP PARIBAS 311

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Capital management and capital adequacy

➤ TABLE 15: CHANGE IN ELIGIBLE DEBT [Audited]

In millions of euros

Phased- in

Tier 1 Tier 2

1 January 2018 8,450 13,233

New issues 660 1,970

Redemptions (600) (92)

Prudential discount 0 (147)

Others (1) 291

31 December 2018 8,509 15,255

CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS

The table below shows risk-weighted assets and capital requirement by risk type. Capital requirements make up 8% of risk-weighted assets.

➤ TABLE 16: RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENT (EU OV1)

In millions of euros

RWAs Capital

requirements

31 December 2018 1 January 2018

31 December 2018

1 Credit risk 503,851 504,298 40,308 See section 5.4

2 of which standardised approach 220,383 216,903 17,631

4 of which advanced IRB approach 242,323 243,398 19,386

5 of which equity positions under the simple weighting method 41,146 43,997 3,292

6 Counterparty credit risk 26,634 26,736 2,131 See section 5.6

7 of which mark-to-market method 2,552 2,755 204

10 of which internal model method (IMM) 19,702 20,802 1,576

11 of which CCP default fund contributions 1,289 1,268 103

12 of which CVA 3,090 1,910 247

13 Settlement risk 12 1 1

14 Securitisation exposures in the banking book 7,040 3,378 563 See section 5.5

15 of which IRB approach 1,675 712 134

16 of which IRB supervisory formula approach (SFA) 4,301 1,823 344

17 of which internal assessment approach (IAA) - 66 -

18 of which standardised approach 1,064 776 85

19 Market risk 19,948 16,666 1,596 See section 5.7

20 of which standardised approach 2,222 1,814 178

21 of which internal model approach (IMA) 17,726 14,852 1,418

23 Operational risk 72,947 66,515 5,836 See section 5.9

24 of which basic indicator approach 5,619 5,340 450

25 of which standardised approach 10,393 11,214 831

26 of which a dvanced m easurement a pproach (AMA) 56,935 49,961 4,555

27 Amounts below the thresholds for deduction (subject to 250% risk weight) 16,569 17,106 1,326

29 TOTAL 647,001 634,699 51,760