2020 Universal registration document and annual financial report - BNP PARIBAS 457

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ Encumbered and unencumbered collateral received

In millions of euros

Four end of quarter median values in 2020 Four end of quarter median values in 2019

Fair value of encumbered collateral received or own

debt securities(*) issued

Fair value of collateral received or own debt

securities(*) issued available for encumbrance

Fair value of encumbered collateral received or own

debt securities(*) issued

Fair value of collateral received or own debt

securities(*) issued available for encumbrance

Total of which HQLA

and EHQLA(**) Total of which HQLA

and EHQLA(**) Total of which HQLA

and EHQLA(**) Total of which HQLA

and EHQLA(**)

130 COLLATERAL RECEIVED 437,789 375,388 101,781 70,740 379,806 333,667 97,450 71,132

140 Loans on demand - - - - - - - -

150 Equity instruments 53,446 29,999 17,630 8,739 46,859 26,449 18,022 10,968

160 Debt securities 384,343 345,390 82,088 60,584 335,940 308,786 79,441 61,146

170 of which covered bonds 1,903 1,575 3,737 2,725 1,107 888 1,605 1,103

180 of which asset-backed securities 3,544 44 5,054 878 3,932 154 3,951 712

190 of which issued by general governments 339,172 336,949 49,226 49,226 305,176 303,983 55,601 55,601

200 of which issued by financial corporations 23,151 2,837 38,380 4,861 19,405 2,494 22,197 2,523

210 of which issued by non-financial corporations 21,739 4,159 - - 14,787 3,078 - -

220 Loans and advances other than on demand loans - - - - - - - -

230 Other collateral received - - - - - - - -

240

OWN(*) DEBT SECURITIES ISSUED OTHER THAN OWN COVERED BONDS OR ASSET-BACKED SECURITIES - - - - - - - -

241

OWN(*) COVERED BONDS AND ASSET-BACKED SECURITIES AND NOT YET PLEDGED 13,496 - 31,527 -

250

TOTAL ASSETS, COLLATERAL PLEDGED AND OWN(*) DEBT SECURITIES ISSUED 891,517 535,998 719,500 478,821

(*) Financial assets issued by a Group entity and underwritten by the Group. (**) Assets of extremely high liquidity and credit quality.

In millions of euros

Four end of quarter median values in 2020 Four end of quarter median values in 2019

Matching liabilities, contingent liabilities

or securities lent

Assets, collateral received and own

debt securities issued(*)

Matching liabilities, contingent liabilities

or securities lent

Assets, collateral received and own

debt securities issued(*)

010 CARRYING AMOUNT OF SELECTED FINANCIAL LIABILITIES 775,236 891,517 634,775 719,500

(*) Other than collateralised debt obligations and securities backed by encumbered assets.

➤ Encumbered assets/collateral received and associated liabilities

The amount of own covered bonds and asset-backed securities (ABS) was EUR 19.7 billion (EUR 13.5 billion available and EUR 5 billion non-available) with underlying outstanding assets of EUR 22.6 billion.