3132019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Capital management and capital adequacy
➤ Leverage ratio common disclosure (EU LRcom)
In billions of euros 31 December 2019 31 December 2018
On-balance sheet exposures (excluding derivatives and SFTs(*))
1 On-balance sheet items (excluding derivatives, SFTs(*) and fiduciary assets, but including collateral) 1,462 1,397
2 (Asset amounts deducted in determining Tier 1 capital) (16) (15)
3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 1,446 1,381
Derivative exposures
4 Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 51 42
5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 149 144
7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (38) (30)
8 (Exempted CCP leg of client-cleared trade exposures) (21) (18)
9 Adjusted effective notional amount of written credit derivatives 481 450
10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (464) (424)
11 Total derivatives exposures (sum of lines 4 to 10) 158 162
SFT(*) exposures
12 Gross SFT(*) assets (with no recognition of netting), after adjusting for sales accounting transactions 351 284
13 (Netted amounts of cash payables and cash receivables of gross SFT assets) (175) (112)
14 Counterparty credit risk exposure for SFT(*) assets 14 7
16 Total securities financing transaction(*) exposures (sum of lines 12 to 14) 191 179
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 435 401
18 (Adjustments for conversion to credit equivalent amounts) (259) (241)
19 Other off-balance sheet exposures (sum of lines 17 and 18) 176 160
Exposures exempted in accordance with article 429 (7) and (14) of Regulation (EU) No. 575/2013 (on-balance sheet and off-balance sheet exposures)
EU-19b (Exposures exempted in accordance with article 429 (14) of Regulation (EU) No. 575/2013 (on and off balance sheet)) (15) (17)
Capital and total exposure measure
20 Tier 1 capital(**) 90 85
21 Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19b) 1,955 1,864 22 LEVERAGE RATIO 4.6% 4.5%
(*) Securities Financing Transactions: repurchase agreements and securities borrowing/lending. (**) In accordance with the eligibility rules for grandfathered debts in additional Tier 1 capital applicable in 2019.
