Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS478

5 risks and CaPital adequaCy Pillar 3

Appendix 2: Regulatory capital Detail

In millions of euros 31 December

2020(*) 31 December

2019(**) Reference to table 10 Notes

59a

Risk-weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No. 575/2013 (i.e. CRR residual amounts) - - - -

of which: CET1 instruments of financial sector entities not deducted from CET1 (Regulation (EU) No. 575/2013 residual amounts) - - - -

of which: Deferred tax assets that rely on future profitability and arising from temporary differences not deducted from CET1 (Regulation (EU) No. 575/2013 residual amounts) - - - -

of which: AT1 instrument of financial sector entities not deducted from AT1 (Regulation (EU) No. 575/2013 residual amounts) - - - -

of which: Tier 2 instrument of financial sector entities not deducted from Tier 2 (Regulation (EU) No. 575/2013 residual amounts) - - - -

60 Total risk-weighted assets 695,523 668,828

Capital ratios and buffers

61 Common Equity Tier 1 (as a percentage of risk exposure amount) 12.8% 12.1% - -

62 Tier 1 (as a percentage of risk exposure amount) 14.2% 13.5% - -

63 Total capital (as a percentage of risk exposure amount) 16.4% 15.5% - -

Institution specific buffer requirement (CET1 requirement in accordance with article 92(1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) 4.02% 4.17% - -

65 of which: capital conservation buffer requirement 2.50% 2.50% - -

66 of which: countercyclical buffer requirement 0.02% 0.17% - -

67 of which: systemic risk buffer requirement 0.00% 0.00% - -

67a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer 1.50% 1.50% - -

68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 8.7% 7.6% - -

Amounts below the thresholds for deduction (before risk weighting)

Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 5,260 4,402 2 (6)

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 3,909 3,130 1 (6)

74 Empty set in the EU - - - -

Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in article 38(3) are met) 2,895 3,382 - -