2018 Registration document and annual fi nancial report - BNP PARIBAS452

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Appendix 3: Countercyclical capital buffer

Appendix 3: Countercyclical capital buffer

The calculation and the amount of the BNP Paribas countercyclical capital buffer are given in the tables below, according to the instructions of the Commission Delegated Regulation (EU) No. 2015/1555 of 28 May 2015.

➤ AMOUNT OF INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

In millions of euros 31 December 2018

010 Total risk-weighted assets 647,001

020 BNP Paribas countercyclical capital buffer rate 0.07%

030 C ountercyclical capital buffer requirement 461

At 31 December 2018, the BNP Paribas countercyclical capital buffer rate is 0.07%.

The countercyclical capital buffer is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the Group are located. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question.

At 31 December 2018, the following countries had a non-zero rate: Iceland (1.25%), Lithuania (0.5%), Norway (2%), Czech Republic (1%), Slovakia (1.25%), Sweden (2%), and Hong Kong (1.875%).

The following countries have announced a change in their countercyclical buffer rate, which will become effective during 2019: France (0.25%),

Bulgaria (0.5%), De n mark (0.5% then 1%), Iceland (1.75%), Lithuania (1%), Norway (2.5%), Czech Republic (1.25% then 1.5), Ireland (1%), Slovakia (1.5%), Sweden (2.5%), and Hong Kong (2.5%). The impact of the activation of the countercyclical buffer rate in France (1 July 2019) corresponds to a 7 basis point rise in the BNP Paribas countercyclical capital buffer rate.

Furthermore, Czech Republic (1.75%) and Luxembourg (0.25%) announced an increase in their countercyclical capital buffers effective at 1 January 2020.

As at 1 January 2019, the Group s countercyclical capital buffer rate is 0.08%. It will gradually increase through 2019 and is expected to reach 0.16 % at 31 December 2019 and 0.17% at 1 January 2020, based on the requirements announced to date.