2020 Universal registration document and annual financial report - BNP PARIBAS330

5 risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

➤ TABLE 22: COMPOSITION OF TLAC RATIO (EU TLAC1)

In millions of euros 31 December

2020(*) 31 December

2019(**)

Regulatory capital

1 Common Equity Tier 1 capital (CET1) 88,767 81,204

2 Additional Tier 1 capital (AT1) 10,040 8,758

6 Tier 2 capital (Tier 2) 15,024 13,753

11 TLAC eligible total capital 113,830 103,716

TLAC eligible debt instruments

12 Non preferred senior debt issued directly by the resolution entity (not grandfathered)(***) 52,731 39,648

EU-12a Non preferred senior debt issued by other entities within the resolution entity (not grandfathered) - -

EU-12b Non preferred senior debt issued before 27 June 2019 (grandfathered) - -

EU-12c Amortised portion of Tier 2 instruments with remaining maturity over one year 829 275

13 Preferred senior debt (not grandfathered pre-cap) Option not applied Option not applied

EU-13a Preferred senior debt issued before 27 June 2019 (grandfathered pre-cap) Option not applied Option not applied

14 Preferred senior debt, where applicable after application of Article 72b (3) of Regulation (EU) No. 2019/876 (capped to 2.5% of risk-weighted assets) Option not applied Option not applied

17 TLAC eligible debt instruments before adjustments 53,560 39,923

EU-17a of which subordinated 53,560 39,923

Own funds and eligible liabilities: adjustments to non-regulatory capital elements

18 Total capital and TLAC-eligible debt instruments before regulatory adjustments 167,390 143,639

19 Deduction of exposures between MPE resolution groups - -

20 Deduction of investments in other eligible liabilities instruments - -

22 Total capital and other TLAC-eligible debt instruments after regulatory adjustments 167,390 143,639

Risk-weighted assets and leverage ratio total exposure measure

23 Risk-weighted assets 695,523 668,828

24 Leverage ratio total exposure measure 1,998,414 1,955,211

TLAC Ratio

25 TLAC RATIO (as a percentage of risk-weighted assets) 24.1% 21.5%

26 TLAC RATIO (as a percentage of leverage ratio total exposure measure) 8.4% 7.3%

28 Combined buffer requirement 4.02 % 4.17 %

29 of which capital conservation buffer 2.50 % 2.50 %

30 of which countercyclical buffer 0.02 % 0.17 %

31 of which systemic risk buffer 0.00 % 0.00 %

EU-31a of which G-SIBs or D-SIBs buffer 1.50 % 1.50 %

(*) 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.

(***) Outstanding principal amount.