2020 Universal registration document and annual financial report - BNP PARIBAS 333
5risks and CaPital adequaCy Pillar 3
5
Capital management and capital adequacy
➤ Leverage ratio common disclosure (EU LRCom)
In millions of euros 31 December
2020(*) 31 December
2019(**)
On-balance sheet exposures (excluding derivatives and SFTs(*))
1 On-balance sheet items (excluding derivatives, SFTs(***) and fiduciary assets, but including collateral) 1,701,568 1,462,327
2 (Asset amounts deducted in determining Tier 1 capital) (14,128) (16,204)
3 Total on-balance sheet exposures (excluding derivatives, SFTs(***) and fiduciary assets) (sum of lines 1 and 2) 1,687,440 1,446,123
Derivative exposures
4 Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) 68,644 50,589
5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 134,854 148,776
7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (49,812) (37,560)
8 (Exempted CCP leg of client-cleared trade exposures) (24,479) (21,346)
9 Adjusted effective notional amount of written credit derivatives 429,943 481,464
10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (415,149) (464,243)
11 Total derivatives exposures (sum of lines 4 to 10) 144,001 157,681
SFT(***) exposures
12 Gross SFT(***) assets (with no recognition of netting), after adjusting for sales accounting transactions 370,363 351,328
13 (Netted amounts of cash payables and cash receivables of gross SFT(***) assets) (142,263) (174,617)
14 Counterparty credit risk exposure for SFT(***) assets 22,756 13,828
16 Total securities financing transaction exposures (sum of lines 12 to 14) 250,856 190,539
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 455,280 434,586
18 (Adjustments for conversion to credit equivalent amounts) (273,348) (258,951)
19 Other off-balance sheet exposures (sum of lines 17 and 18) 181,931 175,635
EU- 19b
Exposures exempted in accordance with Article 429 (7) and (14) of Regulation (EU) No. 575/2013 (on-balance sheet and off-balance sheet exposures) (265,814) (14,767)
Capital and total exposure measure
20 Tier 1 capital 98,806 89,962
21 Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19b) 1,998,414 1,955,211
22 LEVERAGE RATIO 4.9% 4.6%
EU-22a Leverage ratio (excluding the impact of any applicable temporary exemption of central bank exposures) 4.4%
(*) 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.
(***) Securities Financing Transactions: repurchase agreements and securities borrowing/lending
