2020 Universal registration document and annual financial report - BNP PARIBAS 479

5risks and CaPital adequaCy Pillar 3

5

Appendix 2: Regulatory capital Detail

In millions of euros 31 December

2020(*) 31 December

2019(**) Reference to table 10 Notes

Applicable caps on the inclusion of provisions in Tier 2

76 Credit risk adjustments included in Tier 2 in respect of exposures subject to standardised approach (prior to the application of the cap) - - - -

77 Cap on inclusion of credit risk adjustments in T2 under standardised approach 2,666 2,858 - -

78 Credit risk adjustments included in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) - - - -

79 Cap on inclusion of credit risk adjustments in T2 under internal ratings-based approach 1,842 1,670 - -

Capital instruments subject to phase out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)

80 Current cap on CET1 instruments subject to phase out arrangements - - - -

81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) - - - -

82 Current cap on AT1 instruments subject to phase out arrangements 2,023 3,035 - -

83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) - - - -

84 Current cap on T2 instruments subject to phase out arrangements 371 556 - -

85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) - - - -

(*) 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.

(***) According to the eligibility rules of debt instruments grandfathered in additional Tier 1 equity and Tier 2 equity applicable in 2020. (****) Corresponds to the proposed additional distribution of 29% of 2020 results planned for after the end of September 2021, subject to the required

agreements. (1) Minority interests are adjusted for their capitalisation surplus for regulated entities. For the other entities, minority interests are not recognised. (2) Deductions from net income for the period relate mainly to the proposed dividend distribution. (3) The deduction of intangible assets is calculated net of deferred tax liabilities and pension plans. (4) Tier 1 capital instruments issued by subsidiaries include subordinated debt, as well as preferred shares recognised in equity. (5) A prudential discount is applied to Tier 2 capital instruments with less than five years of residual maturity. (6) Holdings of equity instruments in financial institutions are recorded in the banking book, as detailed in the consolidated accounting balance sheet to

the prudential balance sheet reconciliation, as well as in the trading book.