268 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Annual risk survey

5.1 Annual risk survey

KEY FIGURES

REGULATORY RATIOS

➤ TABLE 1: CAPITAL RATIOS

In millions of euros 31 December 2019 31 December 2018(*)

COMMON EQUITY TIER 1 (CET1) CAPITAL 81,204 76,131

TIER 1 CAPITAL 89,962 84,773

TOTAL CAPITAL 103,716 97,096

RISK-WEIGHTED ASSETS 668,828 647,001

RATIOS

Common Equity Tier 1 (CET1) capital 12.1% 11.8%

Tier 1 capital 13.5% 13.1%

Total capital 15.5% 15.0%

(*) In accordance with grandfathered Additional Tier 1 and Tier 2 capital eligibility rules applicable as of 2019.

The Group s balance sheet is very solid. The CET1 ratio stands at 12.1% as at 31 December 2019, with an increase of 30 basis point compared to 31 December 2018. This is explained by:

■ the 2019 net income excluding exceptional other non operating items, after taking into account a 50% dividend pay-out ratio (+60 bp);

■ the impact of new IFRS 16 accounting standard (-10 bp);

■ the increase in risk-weighted assets at constant change net of the impact of securitisation (-40 bp);

■ the net impact of disposals and acquisition (SBI Life, deconsolidation of the residual stake in this subsidiary, Prime Brokerage) as well as the partial impairment of BancWest s goodwill (+20 bp);

■ the other effects (including change effect) have a limited impact on the ratio.

The Group s CET1 of 12.1% is significantly above the requirement notified within the SREP (see Table 20: Overall Capital requirements).

➤ TABLE 2: TLAC RATIO(*)

In millions of euros 31 December 2019

Regulatory total capital and eligible liabilities(**) 143,639

Risk-weighted assets 668,828

TLAC RATIO 21.5%

Effect of preferred senior debt eligible at issuer s discretion(***) 2.5%

TLAC RATIO AFTER EFFECT OF PREFERRED SENIOR DEBT ELIGIBLE AT ISSUER S DISCRETION 24.0%

(*) See detail in section Capital adequacy and capital planning in section 5.2. (**) In accordance with grandfathered Additional Tier 1 and Tier 2 capital eligibility rules applicable as of 2019. (***) In accordance with Regulation (EU) No. 2019/876, article 72ter paragraphs 3 and 4, some preferred senior debt instruments (amounting to EUR 18,294 million

at 31 December 2019) are eligible within the limit of 2.5% of risk-weighted assets (3.5% from 1 January 2022 , in accordance with article 494 of Regulation (EU) No. 2019/876).