2020 Universal registration document and annual financial report - BNP PARIBAS480
5 risks and CaPital adequaCy Pillar 3
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Appendix 3: Countercyclical capital buffer
Appendix 3: Countercyclical capital buffer
The calculation and the amount of the BNP Paribas countercyclical capital buffer are given in the tables below, according to the instructions of Commission Delegated Regulation (EU) No. 2015/1555 of 28 May 2015.
➤ INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER
In millions of euros 31 December 2020
010 Total risk-weighted assets 695,523
020 BNP Paribas countercyclical capital buffer rate 0.02%
030 Countercyclical capital buffer requirement 124
At 31 December 2020, the BNP Paribas countercyclical capital buffer rate is 0.02% against 0.17% at 31 December 2019.
The countercyclical capital buffer is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the Group are located. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question.
In the context of the health crisis, many countries have reduced the countercyclical buffer rate applicable to relevant credit exposures located in their territory. At 31 December 2020, BNP Paribas counter-cyclical capital buffer rate of 0.02% was due to the rates applicable in Luxembourg (0.25%), Hong Kong (1%), Norway (1%), the Czech Republic (0.5%), Slovakia (1%) and Bulgaria (0.5%). This rate could increase slightly to 0.03% from 1 January 2021 due to the planned increase in the rate applicable in Luxembourg (to 0.5%), and then should remain stable in the absence of increases announced in other countries.
