Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS488

5 risks and CaPital adequaCy Pillar 3

Appendix 5: List of tables and figures

Page

5.1 ANNUAL RISK SURVEY 282

Table 1 Capital ratios 282

Table 2 TLAC ratio (EU KM2) 283

Table 3 Leverage ratio 283

Table 4 Liquidity coverage ratio (LCR) 283

Figure 1 Risk-weighted assets by risk type 283

Figure 2 Risk-weighted assets by business line 283

Figure 3 Credit risk exposure by geographic region 283

Figure 4 Credit risk exposure by asset class 283

Table 5 Doubtful loans on gross outstandings ratio 285

Table 6 Stage 3 coverage ratio 285

Table 7 Cost of risk on outstandings 285

Table 8 Immediately available liquidity reserve 285

5.2 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY 304

Table 9 Differences between the accounting and prudential scopes (EU LI3) 305

Table 10 Consolidated balance sheet to prudential balance sheet reconciliation (EU LI1-A) 306

Table 11 Prudential balance sheet by risk type (EU LI1-B) 310

Table 12 Reconciliation between net carrying values under the prudential scope and the exposure amounts considered for regulatory purposes (EU LI2) 314

Table 13 Transition from consolidated equity to Common Equity Tier 1 (CET1) capital 316

Table 14 Regulatory capital 317

Table 15 Change in regulatory capital 318

Table 16 Change in eligible debt 319

Table 17 Effect of the application of transitional arrangements for IFRS 9 accounting standard (EU IFRS9-FL) 320

Table 18 Risk-weighted assets and capital requirement (EU OV1) 321

Table 19 Risk-weighted assets movements by key driver 322

Table 20 Risk-weighted assets by risk type and business 323

Table 21 Overall capital requirements 326

Figure 5 Distribution restriction thresholds 327

Table 22 Composition of TLAC ratio (EU TLAC1) 330

Table 23 Creditor ranking BNP Paribas SA (EU TLAC3) 331

Table 24 Leverage ratio Itemised 332

5.3 RISK MANAGEMENT 336

Figure 6 Overview of Group level governing bodies covering risk-related topics 336

5.4 CREDIT RISK 344

Table 25 Credit risk exposure by asset class and approach 344

Figure 7 Credit risk exposure by approach 345

Table 26 Indicative mapping of internal counterparty rating with agency rating scale and average expected PD 349

Table 27 Credit risk exposure by regulatory asset class and approach type (EU CRB-B) 351

Table 28 Credit risk exposure by geographic region (EU CRB-C) 352

Table 29 Credit risk exposure by industry (EU CRB-D) 356

Table 30 Credit risk-weighted assets 361

Table 31 Credit risk-weighted assets movements by key driver (EU CR8) 362

Table 32 Main models: PD, LGD and CCF/EAD 363

Appendix 5: List of tables and figures