2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS314

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

Capital management and capital adequacy

RWAs In millions of euros

1 January 2018

Retail Banking & Services Corporate & Institutional Banking

Corporate Centre Total

Domestic Markets

International Financial Services

Corporate Banking

Global Markets

Securities Services

Credit risk 197,576 178,752 97,229 6,648 2,074 22,020 504,298

of which standardised approach 63,617 134,189 5,823 1,786 508 10,980 216,903

of which advanced IRB approach 128,506 17,485 90,695 2,979 1,307 2,425 243,398 of which equity positions under the simple weighting method 5,453 27,077 711 1,883 259 8,614 43,997

Counterparty credit risk 2,368 576 631 21,805 1,347 9 26,736

of which mark-to-market 283 456 23 1,108 883 2 2,755

of which internal model method (IMM) 2,030 12 467 17,890 403 0 20,802

of which CCP default fund contributions 0 0 64 1,147 58 0 1,268

of which CVA 54 108 78 1,661 3 7 1,910

Settlement risk - - - 1 - - 1

Securitisation exposures in the banking book 146 216 688 2,119 0 208 3,378

of which IRB approach 0 114 72 318 0 208 712

of which IRB supervisory formula approach (SFA) 43 0 616 1,164 0 0 1,823

of which internal assessment approach (IAA) 22 0 0 44 0 0 66

of which standardised approach 81 102 0 593 0 0 776

Market risk 99 352 786 14,910 519 0 16,666

of which standardised approach 99 198 674 839 4 0 1,814

of which internal model approach (IMA) 0 154 112 14,071 515 0 14,852

Operational risk 19,576 18,458 9,879 14,188 3,229 1,185 66,515

of which basic indicator approach 833 3,363 269 482 294 99 5,340

of which standardised approach 1,723 7,201 1,211 870 77 133 11,214

of which a dvanced m easurement a pproach (AMA) 17,020 7,894 8,399 12,837 2,858 953 49,961

Amounts below the thresholds for deduction (subject to 250% risk weight) 1,566 6,054 48 560 97 8,781 17,106

TOTAL 221,330 204,408 109,260 60,231 7,266 32,203 634,699

The split of risk-weighted assets by domain reflects the Group s diversifi ed business mix, with 68% devoted to Retail Banking & Services (including 35% for the Domestic Markets and 32% for International Financial Services), 28% to Corporate and Institutional Banking and 5% to Corporate Centre .

The increase in the Group s risk-weighted assets amounted to EUR 12 billion in 2018, with a EUR 8 billion increase in the Domestic

Markets, mainly in French Retail Banking and Belgian Retail Banking, an increase of EUR 3 billion in International Financial Services, mainly in Personal Finance, and an increase of EUR 4 billion on Corporate and Institutional Banking, partly offset by a reduction of -EUR 2 billion in Corporate Centre .