460 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Appendix 5: List of tables and figures

Appendix 5: List of tables and figures

Page

5.1 ANNUAL RISK SURVEY 268

Table 1 Capital ratios 268

Table 2 TLAC ratio 268

Table 3 Leverage ratio 269

Table 4 Liquidity coverage ratio (LCR) 269

Figure 1 Risk-weighted assets by risk type 269

Figure 2 Risk-weighted assets by business line 269

Figure 3 Credit risk exposure by geographic region 270

Figure 4 Credit risk exposure by asset class 270

Table 5 Doubtful loans on gross outstandings ratio 270

Table 6 Stage 3 coverage ratio 270

Table 7 Cost of risk on outstandings 270

Table 8 Immediately available liquidity reserve 271

5.2 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY 288

Table 9 Differences between the accounting and prudential scopes (EU LI3) 289

Table 10 Consolidated balance sheet to prudential balance sheet reconciliation (EU LI1-A) 290

Table 11 Prudential balance sheet by risk type (EU LI1-B) 294

Table 12 Reconciliation between net carrying values under the prudential scope and the exposure amounts considered for regulatory purposes (EU LI2) 298

Table 13 Transition from consolidated equity to Common Equity Tier 1 (CET1) capital 300

Table 14 Regulatory capital 301

Table 15 Change in regulatory capital 302

Table 16 Change in eligible debt 303

Table 17 Risk-weighted assets and capital requirement (EU OV1) 303

Table 18 Risk-weighted assets movements by key driver 304

Table 19 Risk-weighted assets by risk type and business 305

Table 20 Overall capital requirements 308

Table 21 TLAC ratio 311

Table 22 TLAC ratio Effect of preferred senior debt eligible at issuer s discretion 311

Table 23 Leverage ratio Itemised 312

5.3 RISK MANAGEMENT 316

Figure 5 Overview of Group level governing bodies covering risk-related topics 316

5.4 CREDIT RISK 323

Table 24 Credit risk exposure by asset class and approach 323

Figure 6 Credit risk exposure by approach 324

Table 25 Indicative mapping of internal counterparty rating with agency rating scale and average expected PD 327

Table 26 Credit risk exposure by asset class and approach type (EU CRB-B) 329

Table 27 Credit risk exposure by geographic region (EU CRB-C) 330

Table 28 Credit risk exposure by industry (EU CRB-D) 334

Table 29 Credit risk-weighted assets 339

Table 30 Credit risk-weighted assets movements by key driver (EU CR8) 340

Table 31 Main models: PD, LGD and CCF/EAD 341