2020 Universal registration document and annual financial report - BNP PARIBAS 481

5risks and CaPital adequaCy Pillar 3

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Appendix 3: Countercyclical capital buffer

➤ GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL CAPITAL BUFFER

In millions of euros

31 December 2020

31 December

2021

General credit exposures Securitisation exposures Own funds requirements

Own funds requirement

weights

Counter- cyclical

capital buffer rate

Announced countercy-

clical capital buffer rate(**)

Exposure value for standardised

approach Exposure value

for IRB

Exposure value for standardised

approach Exposure value

for IRB

of which: general credit

exposures

of which: trading book

exposures

of which: securitisation

exposures Total

010 020 050 060 070 080 090 100 110 120

Breakdown by country

Europe(*) 179,060 668,771 3,573 48,064 32,529 1,850 840 35,219 0.76

of which Bulgaria 378 221 - - 35 - - 35 0.00 0.50% 0.50%

of which Luxembourg 2,106 33,485 - - 1,330 0 - 1,330 0.03 0.25% 0.50%

of which Norway 562 2,719 - - 101 - - 101 0.00 1.00% 1.00%

of which Czech Republic 269 934 - - 55 - - 55 0.00 0.50% 0.50%

of which Slovakia 144 128 - - 12 - - 12 0.00 1.00% 1.00%

North America 56,230 76,444 2,043 11,371 5,212 52 290 5,554 0.12

Asia Pacific 5,263 46,274 78 1,506 2,447 - 28 2,475 0.05

of which Hong Kong 919 6,945 - 42 327 - 1 328 0.01 1.00% 1.00%

Rest of the World 25,126 33,485 - - 2,815 5 - 2,820 0.06

TOTAL 265,679 824,975 5,694 60,941 43,003 1,906 1,158 46,067 1.00 0.02% 0.03%

(*) Within the scope of the European Union, the European Free Trade association (EFTA) and the United Kingdom. (**) Rates announced on the ESRB site at 31 December 2020.