2020 Universal registration document and annual financial report - BNP PARIBAS332
5 risks and CaPital adequaCy Pillar 3
5
Capital management and capital adequacy
LEVERAGE RATIO The leverage ratio s main objective is to serve as a complementary measure to the risk-based capital requirements (back-stop principle). It is calculated as the ratio between Tier 1 capital and an exposure measure calculated using on- and off-balance sheet commitments valued using a prudential approach. In particular, derivatives and repurchase agreements are also adjusted.
At a European level, the leverage ratio requirement is applied gradually in accordance with the provisions contained in the CRR and CRR 2:
■ since 1 January 2014, the leverage ratio has been the subject of a statement submitted to the ECB via regulatory reports;
■ since 1 January 2015, banks have been required to publish this ratio under Pillar 3;
■ from 28 June 2021, institutions will be subject to a minimum leverage ratio requirement of 3%;
■ from 1 January 2023, Global Systemically Important Banks (G-SIBs) will be subject to an additional leverage requirement of 50% of the institution s G-SIBs buffer (see Capital adequacy section).
Processes used to manage the risk of excessive leverage
Monitoring of the leverage ratio is one of the responsibilities of the Capital Committee (as described in the section Capital management hereafter).
Factors that had an impact on the leverage ratio during the period to which the disclosed leverage Ratio refers
The leverage ratio was 4.9% as of 31 December 2020, compared to 4.6% as of 31 December 2019. As at 31 December 2020, the exposures used for the leverage ratio take into account the temporary exemption for deposits with Eurosystem central banks, as provided for in Article 500b of Regulation (EU) No. 2020/873. Without this exemption, the Group s leverage ratio is 4.4% at 31 December 2020.
Since 31 December 2018, the exposures used for the leverage ratio take into account the exemption related to centralised exposures with the Caisse des dépôts et consignations as regulated savings.
➤ TABLE 24: LEVERAGE RATIO ITEMISED
➤ Summary reconciliation of accounting assets and leverage ratio exposures (EU LRSum)
In millions of euros 31 December 2020 31 December 2019
1 Total assets as per published financial statements 2,488,491 2,164,713
2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation (248,445) (244,076)
4 Adjustments for derivative financial instruments (148,610) (102,291)
5 Adjustment for securities financing transactions (SFTs)(*) 5,567 (5,117)
6 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 181,931 175,635
EU-6b Adjustment for exposures exempt from the total exposure for the puposes of the ratio in respect of article 429, paragraph 14, of Regulation (EU) No. 575/2013 (265,814) (14,767)
7 Other adjustments (14,706) (18,886)
8 LEVERAGE RATIO TOTAL EXPOSURE MEASURE 1,998,414 1,955,211
(*) Securities Financing Transactions: repurchase agreements and securities borrowing/lending
