2020 Universal registration document and annual financial report - BNP PARIBAS 449

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ TABLE 96: BREAKDOWN OF GLOBAL LIQUIDITY RESERVE (COUNTERBALANCING CAPACITY)

In millions of euros Average 2020 31 December 2020 31 December 2019

Total eligible assets 569,277 589,489 421,918

Utilisations (149,083) (150,873) (108,713)

Transferability (6,594) (6,649) (4,228)

GLOBAL LIQUIDITY RESERVE 413,600 431,967 308,977

of which liquid assets meeting prudential regulation requirements (HQLA) 402,229 424,800 276,500

of which other liquid assets 11,371 7,167 32,477

The Group s liquidity reserve stood at EUR 432 billion at end-2020, of which EUR 75.8 billion sterilising very short-term wholesale funding.

The Group s liquidity reserve at 31 December 2020 increased by EUR 123 billion compared to end-2019. In yearly average terms, the reserve grew by more than EUR 70 billion compared with the previous year. This increase is linked with the strong liquidity inflows during the crisis, which were mainly placed with central banks.

REGULATORY LIQUIDITY RATIOS

Scope of application

The prudential liquidity scope defined by the BNP Paribas Group for monitoring and overseeing liquidity ratios on a consolidated basis is the one defined for its capital ratio adequacy, with the exception of jointly controlled entities which are consolidated under the equity method in the prudential liquidity scope (see Scope of application in section 5.2 Capital management and capital adequacy).

Liquidity coverage ratio - LCR

The 30-day Liquidity Coverage Ratio (LCR) came into force on 1 October 2015 setting the minimum coverage ratio for net cash outflows over a one-month time horizon, in a crisis situation, at 100% from 1 January 2018. The Group measures its liquidity requirements in accordance with the requirements of the Delegated Act adopted by the European Commission in January 2015. It has adapted its management process in keeping with this regulation. The management indicators for the businesses funding needs and the internal pricing terms therefore reflect the standardised assumptions set by the LCR and allow the Group to monitor compliance with the requirement.

The Group s LCR for the period ending 31 December 2020 stood at 154%, versus 125% at 31 December 2019.

The Group s LCR is detailed below in accordance with EBA Guidelines on LCR disclosure of LCR published on 8 March 2017. Accordingly, the Group s LCR is calculated as the rolling average of the twelve latest month-end measures.

The global liquidity reserve (counterbalancing capacity) is calculated net of the payment systems intraday needs and in keeping with prudential rules, in particular U.S. rules, under which certain liquid assets are only recognised as available after a certain time period. Transferability restrictions are also taken into consideration in the calculation of

the Group s liquidity reserve. These restrictions may stem from local regulations which limit transfers between entities of a group, non- convertible currencies or jurisdictions with foreign exchange control.

The table below shows its trends.