2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS 281

5RISKS AND CAPITAL ADEQUACY PILLAR 3

Annual risk survey

➤ TABLE 2: LEVERAGE RATIO

The Group s balance sheet is very solid. The impacts of the fi rst time application of the new IFRS 9 accounting standard were fully taken into account as of 1 January 2018 with a decrease of -10 bp on the fully loaded CET1 ratio. This ratio also recorded as at 1 January 2018 the impact of -10 bp related to the supervisor s new general requirement to deduct irrevocable payment commitments from the prudential capital and thus stood at 11.6% pro forma as at 1 January 2018.

The fully loaded CET1 ratio rose back to 11.8% as at 31 December 2018, or an increase of 20 bp compared to 1 January 2018 which breaks down between:

■ the net income for the year (excluding capital gain on the sale of 43.6% of First Hawaiian Bank) after taking into account dividend payment (+50 bp);

■ the increase in risk- weighted assets, in particular in Domestic Markets and Personal Finance, excluding foreign exchange effect and operational risk (-20 bp);

■ the risk-weighted assets related to operational risk brought to the standard method level (-10 bp);

■ the other effects which have a negligible impact on the ratio overall (including the effects of the acquisitions and sales of the year).

The Group forecasts a CET1 ratio of at least 12% and a total capital ratio of at least 15% in 2020, at constant regulatory framework.

31 December 2018 1 January 2018 31 December 2017

LEVERAGE RATIO(*) 4.5% 4.5% 4.6%

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

➤ TABLE 3: LIQUIDITY COVERAGE RATIO (LCR)

31 December 2018 1 January 2018 31 December 2017

LIQUIDITY COVERAGE RATIO (LCR AT YEAR-END)(*) 132% 121% 121%

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

The evolution of these ratios illustrates the Group s ability to generate capital regularly and manage its balance sheet in a disciplined manner within the regulatory framework.

RISK- WEIGHTED ASSETS BY RISK TYPE AND BY BUSINESS LINE

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

78% (01/01/2018: 79%) Credit risk

4% (01/01/2018: 4%) Counterparty credit risk

1% (01/01/2018: 1%) Securitisation in the banking book

3% (01/01/2018: 3%) Market risk

11% (01/01/2018: 10%) Operational risk

3% (01/01/2018: 3%) Amounts below the

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

(*) Breakdown at 31 December 2018.

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 of 31 December 2018.

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

16% (01/01/2018: 17%) Corporate Banking

6% (01/01/2018: 6%) Insurance and Wealth & Asset Management

5% (01/01/2018: 5%) 14% (01/01/2018: 13%)

Corporate Centre

11% (01/01/2018: 11%) Global Markets & Securities Services

French Retail Banking

7% (01/01/2018: 8%) BNL bc

8% (01/01/2018: 8%) Belgian Retail

Banking 6% (01/01/2018: 6%)

Other Domestic Markets activities(**)

11% (01/01/2018: 10%) Personal Finance

7% (01/01/2018: 9%) BancWest

7% (01/01/2018: 7%) Europe-Mediterranean

Retail Banking & Services: 68% (01/01/2018: 67%)

(*) Breakdown at 31 December 2018 .

(**) Including Luxembourg.

As at 31 December 2018, the Group s risks are well spread and no single business makes up more than 16% of its risk-weighted assets. Retail Banking & Services account for 68 % of risk-weighted assets.