2692019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Annual risk survey

At 31 December 2019, the minimum TLAC requirement for the Group stands at 20.17% of the risk-weighted assets. With a TLAC ratio at 21.5% at 31 December 2019, the Group is well above the requirement, without taking into account the preferred senior debt eligible within the limit of 2.5% of the risk-weighted assets. The TLAC ratio would stand at 24.0% if the Group included the senior preferred debt.

At 31 December 2019, TLAC ratio stands at 7.3% of the leverage ratio exposure (to be compared to a 6% requirement).

➤ TABLE 3: LEVERAGE RATIO

31 December 2019 31 December 2018

LEVERAGE RATIO(*) 4.6% 4.5%

(*) See detail in Capital adequacy and capital planning in section 5.2.

➤ TABLE 4: LIQUIDITY COVERAGE RATIO (LCR)

31 December 2019 31 December 2018

LIQUIDITY COVERAGE RATIO (LCR AT YEAR-END)(*) 125% 132%

(*) See detail in Liquidity risk management and supervision in section 5.8.

The evolution of these ratios illustrates the Group s ability to continuously adapt to regulatory changes and the high quality of its balance sheet.

RISK-WEIGHTED ASSETS BY RISK TYPE AND BY BUSINESS LINE

➤ FIGURE 1: RISK-WEIGHTED ASSETS BY RISK TYPE(*)

78% (31/12/2018: 78%) Credit risk

4% (31/12/2018: 4%) Counterparty credit risk

2% (31/12/2018: 1%) Securisation in the banking book

3% (31/12/2018: 3%) Market risk

10% (31/12/2018: 11%) Operational risk

2% (31/12/2018: 3%) Amounts below the

thresholds for deduction (subject to 250% risk-weight)

(*) Breakdown at 31 December 2019.

Most of the Group s exposures are subject to credit risk. Market risk is limited to 3% of the Group s risk-weighted assets as at 31 December 2019.

➤ FIGURE 2: RISK-WEIGHTED ASSETS BY BUSINESS LINE(*)

17% (31/12/2018: 16%) Corporate Banking

7% (31/12/2018: 6%) Insurance and Wealth & Asset Management

5% (31/12/2018: 5%) 14% (31/12/2018: 14%)

Corporate Center

11% (31/12/2018: 11%) Global Markets & Securities Services

French Retail Banking

7% (31/12/2018: 7%) BNL bc

8% (31/12/2018: 8%) Belgian Retail

Banking 6% (31/12/2018: 6%) Other Domestic

Markets activities(**)

11% (31/12/2018: 11%) Personal Finance

7% (31/12/2018: 7%) BancWest

7% (31/12/2018: 7%) Europe-Mediterranean

Retail Banking & Services: 67% (31/12/2018: 68%)

(*) Breakdown at 31 December 2019.

(**) Including Luxembourg.

As at 31 December 2019, the Group s risks are well spread and no single business makes up more than 17% of the Group s risk-weighted assets. Retail Banking & Services account for 67% of risk-weighted assets.