2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS460

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

Appendix 5: List of tables and fi gures

Page

5.1 ANNUAL RISK SURVEY 280

Table 1 Capital ratios 280

Table 2 Leverage ratio 281

Table 3 Liquidity coverage ratio (LCR) 281

Figure 1 Risk-weighted assets by risk type 281

Figure 2 Risk-weighted assets by business line 281

Figure 3 Credit risk exposure by geographic region 282

Figure 4 Credit risk exposure by asset class 282

Table 4 Doubtful loans on gross outstandings ratio 282

Table 5 Stage 3 coverage ratio 282

Table 6 Cost of risk on outstanding s 282

Table 7 Immediatly available liquidity reserve 283

5.2 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY 296

Table 8 Differences between the accounting and prudential scopes (EU LI3) 297

Table 9 Consolidated balance sheet to prudential balance sheet reconciliation (EU LI1-A) 298

Table 10 Prudential balance sheet by risk type (EU LI1-B) 302

Table 11 Reconciliation between net carrying values under the prudential scope and the exposure amounts considered for regulatory purposes (EU LI2) 306

Table 12 Transition from consolidated equity to Common Equity Tier 1 (CET1) capital 308

Table 13 Regulatory capital 309

Table 14 Change in regulatory capital 310

Table 15 Change in eligible debt 311

Table 16 Risk-weighted assets and capital requirement (EU OV1) 311

Table 17 Risk-weighted assets movements by key driver 312

Table 18 Risk-weighted assets by risk type and business 313

Table 19 Overall CET1 requirement 316

Table 20 Overall Tier 1 requirement 316

Table 21 Overall Total capital requirement 317

Table 22 Leverage ratio Itemised 320

5.3 RISK MANAGEMENT 324

Figure 5 Overview of Group level governing bodies covering risk-related topics 324

5.4 CREDIT RISK 331

Table 23 Credit risk exposure by asset class and approach 331

Figure 6 Credit risk exposure by approach 332

Table 24 Indicative mapping of internal counterparty rating with agency rating scale and average expected PD 335

Table 25 Credit risk exposure by asset class and approach type (EU CRB-B) 337

Table 26 Credit risk exposure by geographic region (EU CRB-C) 338

Table 27 Credit risk exposure by industry (EU CRB-D) 342

Table 28 Credit risk-weighted assets 346

Table 29 Credit risk-weighted assets movements by key driver (EU CR8) 347