2018 Registration document and annual fi nancial report - BNP PARIBAS 321

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Capital management and capital adequacy

➤ Leverage ratio common disclosure (LRCom)

In billions of euros 31 December 2018 1 January 2018

On-balance sheet exposures (excluding derivatives and SFTs(*))

1 On-balance sheet items (excluding derivatives, SFTs(*) and fi duciary assets, but including collateral) 1,397 1,345

2 (Asset amounts deducted in determining Tier 1 capital) (15) (16)

3 Total on-balance sheet exposures (excluding derivatives, SFTs(*) and fi duciary assets) (sum of lines 1 and 2) 1,381 1,329

Derivative exposures

4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 42 44

5 Add-on amounts for PFE associated with all derivatives transactions (mark- to-market method) 144 144

7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (30) (32)

8 (Exempted CCP leg of client-cleared trade exposures) (18) (15)

9 Adjusted effective notional amount of written credit derivatives 450 417

10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (424) (394)

11 Total derivatives exposures (sum of lines 4 to 10) 162 165

SFT(*) exposures

12 Gross SFT(*) assets (with no recognition of netting), after adjusting for sales accounting transactions 284 280

13 (Netted amounts of cash payables and cash receivables of gross SFT(*) assets) (112) (137)

14 Counterparty credit risk exposure for SFT(*) assets 7 5

16 Total securities fi nancing transaction exposures (sum of lines 12 to 14) 179 147

Other off-balance sheet exposures

17 Off-balance sheet exposures at gross notional amount 401 387

18 (Adjustments for conversion to credit equivalent amounts) (241) (227)

19 Other off-balance sheet exposures (sum of lines 17 and 18) 160 160

Exempted exposures in accordance with Article 429 (7) and (14) of Re gulation (EU) No. S75/2013 (on- and off-balance sheet)

EU-19b (exposures exempted under Article 429 (14) of Regulation (EU) No. 575/2013 (on- balance sheet and off-balance sheet exposures)) (17) - Capital and total exposure measure

20 Tier 1 capital(**) 85 82

21 Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU 19b) 1,864 1,801

22 LEVERAGE RATIO 4.5% 4.5%

Choice on transitional arrangements and amount of derecognised fi duciary items

EU-23 Choice on transitional arrangements for the defi nition of the capital measure Fully loaded(**) Fully loaded(**)

(*) Securities Financing Transactions: repurchase agreements and securities lending/borrowing. (**) In accordance with the eligibility rules for grandfathered debts in additional Tier 1 capital applicable in 2019.