2020 Universal registration document and annual financial report - BNP PARIBAS 455

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ TABLE 100: ECONOMIC(*) MATURITIES OF CAPITAL INSTRUMENTS (PRUDENTIAL PERIMETER)

In millions of euros

TOTAL 31 December

2020 2021 2022 2023 2024 2025 2026- 2030

Beyond 2030 Perpetual

Amount(**) of liabilities eligible to Additional Tier 1 10,819 1,841 1,456 - 1,325 1,534 3,045 820 798

Subordinated debt 798 - - - - - - - 798

of which subordinated debt at amortised cost - - - - - - - - -

of which subordinated debt at fair value through profit and loss 798 - - - - - - - 798

Preferred shares and Undated Super Subordinated Notes 10,021 1,841 1,456 - 1,325 1,534 3,045 820 -

Amount(**) of debt eligible to Tier 2 20,647 1,820 1,225 536 1,060 3,533 9,742 2,731 -

Subordinated debt 20,647 1,820 1,225 536 1,060 3,533 9,742 2,731 -

of which subordinated debt at amortised cost 20,594 1,809 1,209 536 1,060 3,533 9,742 2,705 -

of which subordinated debt at fair value through profit and loss 53 11 16 - - - - 25 -

Amount(**) of debt not eligible to prudential own funds 114 14 16 17 19 21 27 - -

(*) The economic maturity is defined as either the contractual maturity or the next call date when the instrument has an early redemption option. (**) Accounting value before any prudential adjustments.

ENCUMBRANCE OF GROUP ASSETS AND ASSETS RECEIVED BY THE GROUP

Assets on the balance sheet and financial instruments received in guarantee used as pledges, guarantees or enhancement of a Group transaction and which cannot be freely withdrawn are considered to be encumbered.

The encumbrance of assets is central to the Group s businesses and has two aims:

■ to trade in derivatives or repurchase agreements, including the payment ofmargin calls to secure transactions (see paragraphs on Bilateral initial margin exchange and Counterparty credit risk management in section 5.6 Counterparty credit risk);

■ to obtain funding, by issuing secured debt, in particular asset-backed securities (see Proprietary securitisation (originator) in section 5.5 Securitisation in the banking book), covered bonds (see paragraph on MLT secured wholesale funding in this section) or by participating in monetary policy operations (TLTRO see table 94: Trends in the Group s wholesale funding), thus diversifying and optimising its funding structure.

Thus, the encumbrance of assets can be distinguished from the transfer of assets shown in note 4.r to the consolidated financial statements insofar as it only comprises the following transactions:

■ securities recognised in the bank s balance sheet, which have been sold or loaned, on a temporary basis, by the Bank under repurchase agreements (repos and securities lending) but which have not been derecognised in the Bank s balance sheet once the transaction is complete;

■ assets securitised by the bank (within efficient and inefficient programmes), which continue to be recognised in the bank s balance sheet under the applicable consolidation rules contained in the accounting standard, to hedge the issue of asset-backed securities.

Based on the definitions above, guarantees given to clearing houses or central banks in the context of monetary policy, along with asset portfolios hedging the issue of secured bonds, fall within the scope of the encumbrance of assets but do not fall within the scope of asset transfers. The same applies to repurchase agreements (repos) and loans in the case of securities that are not recognised in the Bank s balance sheet (because they were previously received under reverse repos and securities borrowing) and to securities received under repurchase agreements (reverse repos) and securities borrowings.