2020 Universal registration document and annual financial report - BNP PARIBAS 283
5risks and CaPital adequaCy Pillar 3
5
Annual risk survey
➤ TABLE 2: TLAC RATIO (EU KM2)
In millions of euros 31 December 2020(*) 31 December 2019(**)
1 Total capital and eligible liabilities(***) 167,390 143,639
2 Risk-weighted assets 695,523 668,828
3 TLAC RATIO (in percentage of risk-weighted assets) 24.1% 21.5%
4 Leverage ratio total exposure measure 1,998,414 1,955,211
5 TLAC RATIO (in percentage of leverage ratio total exposure measure) 8.4% 7.3%
6a Application of the exemption provided by Article 72b(4) of EU Regulation 2019/876 n.a. n.a.
6b In case of application of Article 72b, paragraph 3 of Regulation (UE) No. 2019/876: Total amount of preferred senior debt eligible to TLAC ratio(***) not applied not applied
6c In case of application of Article 72b, paragraph 3 of Regulation (UE) No. 2019/876: proportion of preferred senior debt used in the calculation of the TLAC ratio(***) not applied not applied
(*) In accordance with the transitional arrangements on the introduction of the IFRS 9 accounting standard (article 473a of Regulation (EU) No. 2017/2395 and Regulation (EU) No. 2020/873).
(**) Data as at 31 December 2019 take into account in deduction of regulatory capital the dividend distribution initially anticipated in relation to 2019 income, eventually retained in reserves in 2020.
(***) In accordance with Regulation (EU) No. 2019/876, article 72b paragraphs 3 and 4, some preferred senior debt instruments (amounting to EUR 16,336 million at 31 December 2020) are eligible within the limit of 2.5% of risk-weighted assets. The Group did not use this option as at 31 December 2020.
At 31 December 2020, the Group s TLAC ratio is 24.1% of risk-weighted assets, without using eligible senior preferred debt up to a limit of 2.5% of risk- weighted assets. It stands at 8.4% of leverage exposures taking into account the effect of temporary exemption for deposits with Eurosystem central banks(1).
(1) Calculated in accordance with article 500b of Regulation (EU) No. 2020/873.
➤ TABLE 3: LEVERAGE RATIO
31 December 2020(**) 31 December 2019(***)
LEVERAGE RATIO(*) 4.9% 4.6%
(*) See detail in Capital adequacy and capital planning in section 5.2. (**) In accordance with the transitional arrangements on the introduction of the IFRS 9 accounting standard (article 473a of Regulation (EU) No. 2017/2395
and Regulation (EU) No. 2020/873). (***) Data as at 31 December 2019 take into account in deduction of regulatory capital the dividend distribution initially anticipated in relation to 2019 income,
eventually retained in reserves in 2020.
At 31 December 2020, the leverage ratio is 4.9% taking into account the effect of the temporary exemption for deposits with the Eurosystem central banks(1). It stands at 4.4% excluding this effect.
➤ TABLE 4: LIQUIDITY COVERAGE RATIO (LCR)
31 December 2020 31 December 2019
LIQUIDITY COVERAGE RATIO(*) (LCR AT YEAR-END) 154% 125%
(*) See detail in Liquidity risk management and supervision in section 5.8.
The evolution of these ratios illustrates the Group s ability to continuously adapt and the high quality of its balance sheet.
