3112019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Capital management and capital adequacy

TLAC

In accordance with Regulation (EU) No. 2019/876, Global Systemically Important Banks (G-SIB) have been subject to a twofold TLAC requirement since 27 June 2019. This requirement includes on the one hand a minimum ratio expressed as a percentage of the risk-weighted assets, and on the other hand a minimum ratio expressed as a percentage of the leverage ratio exposures.

At 31 December 2019, the minimum TLAC requirement for the Group stood at 20.17% of the risk-weighted assets, in view of:

■ a 16% TLAC minimum requirement (18% from 1 January 2022);

■ a 4.17% Combined buffer requirement, in view of the capital conservation buffer at 2.5%, the G-SIBs buffer at 1.5% and the countercyclical capital buffer at 0.17%.

From 27 June 2019 to 31 December 2021, the Group s minimum TLAC requirement was 6% of the leverage ratio exposures. From 1 January 2022, this will rise to 6.75%.

➤ TABLE 21: TLAC RATIO

In millions of euros 31 December 2019

Total regulatory capital 103,716

of which Common Equity Tier 1 capital (CET1) 81,204

of which Additional Tier 1 capital (AT1) 8,758

of which Tier 2 capital (T2) 13,753

Total capital: regulatory adjustments 275

of which amortised portion of Tier 2 instruments with remaining maturity over one year 275

TOTAL TLAC-ELIGIBLE OWN FUNDS 103,991

Non preferred senior debt(*) 39,648

TOTAL CAPITAL AND OTHER ELIGIBLE LIABILITIES 143,639

Risk-weighted assets 668,828

TLAC RATIO (In percentage of risk-weighted assets) 21.5%

(*) Outstanding capital.

With a 21.5% TLAC ratio at 31 December 2019, the Group is above the minimum 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 stood at 7.3% of leverage ratio exposure.

➤ TABLE 22: TLAC RATIO EFFECT OF PREFERRED SENIOR DEBT ELIGIBLE AT ISSUER S DISCRETION

31 December 2019

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%

(*) 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).

The debt issuance targets aimed at satisfying these requirements and their nature are described in the section Wholesale funding trends based on regulatory changes in section 5.8 Liquidity risk.