2020 Universal registration document and annual financial report - BNP PARIBAS456

5 risks and CaPital adequaCy Pillar 3

5

Liquidity risk

ENCUMBRANCE OF ASSETS AND COLLATERAL RECEIVED The monitoring of encumbered assets and assets received is carried out within the prudential scope defined in the section Scope of application in section 5.2 Capital management and capital adequacy.

The amount of encumbered and unencumbered assets and collateral received are shown in the following table according to the provisions

of Delegated Regulation (EU) 2017/2295. The data correspond to the median of the four quarter ends of the corresponding year. Moreover, each total line is calculated as the median of the four values of the total at each end of quarter, not as the sum of the median values for the year.

The median ratio of encumbered assets relative to Group balance sheet assets was 18.7% in 2020, up 2.5% compared to 2019.

➤ TABLE 101: ENCUMBRANCE OF ASSETS AND COLLATERAL RECEIVED

➤ Encumbered and unencumbered assets

In millions of euros

Four end of quarter median values in 2020

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*)

010 ASSETS 435,542 149,209 1,917,713 437,080

030 Equity instruments 39,609 20,844 11,269 -

040 Debt securities 156,141 128,354 156,141 128,354 181,767 163,610 181,767 163,610

050 of which covered bonds 3,383 2,568 3,383 2,568 3,823 3,175 3,823 3,175

060 of which asset-backed securities 1,383 191 1,383 191 8,131 1,044 8,131 1,044

070 of which issued by general governments 115,174 115,174 115,174 115,174 147,199 147,199 147,199 147,199

080 of which issued by financial corporations 25,481 4,357 25,481 4,357 22,513 6,097 22,513 6,097

090 of which issued by non-financial corporations 11,097 2,201 11,097 2,201 11,524 704 11,524 704

120 Other assets 240,918 - 1,722,259 272,047

(*) Assets of extremely high liquidity and credit quality.

In millions of euros

Four end of quarter median values in 2019

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*) Total

of which HQLA and

EHQLA(*)

010 ASSETS 339,695 145,154 1,759,235 409,945

030 Equity instruments 49,943 30,006 18,961 1,599

040 Debt securities 133,353 114,298 133,353 114,298 138,749 117,738 138,749 117,738

050 of which covered bonds 2,069 1,393 2,069 1,393 2,982 2,166 2,982 2,166

060 of which asset-backed securities 1,276 445 1,276 445 6,867 324 6,867 324

070 of which issued by general governments 110,321 110,057 110,321 110,057 101,172 96,951 101,172 96,951

080 of which issued by financial corporations 19,273 3,210 19,273 3,210 20,304 3,825 20,304 3,825

090 of which issued by non-financial corporations 6,886 1,506 6,886 1,506 11,112 290 11,112 290

120 Other assets 156,408 - 1,601,414 291,681

(*) Assets of extremely high liquidity and credit quality.

The other encumbered assets mainly comprised loans and advances (often used when issuing asset-backed securities issues or guaranteed bonds) and amounted to EUR 157 billion, and guarantee deposits and bank guarantees paid in respect of derivatives (recognised in the Accrued income and other assets category) amounting to EUR 86 billion.

The portion of unencumbered assets not available for use as collateral, for guarantees or to enhance transactions include mainly derivative financial instruments, intangible assets, goodwill, current and deferred tax assets, and assets ineligible for financing programmes under normal business conditions.