4212019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ TABLE 92: BREAKDOWN OF GLOBAL LIQUIDITY RESERVE (COUNTERBALANCING CAPACITY)

In millions of euros Average 2019 31 December 2019 31 December 2018

Total eligible assets 443,704 421,918 412,325

Utilisations (100,755) (108,713) (101,877)

Transferability (2,983) (4,228) (2,331)

GLOBAL LIQUIDITY RESERVE 339,966 308,977 308,117

of which liquid assets meeting prudential regulation requirements (HQLA) 312,596 276,500 288,200

of which other liquid assets 27,370 32,477 19,917

The Group s liquidity reserve stood at EUR 309 billion at end-2019, of which EUR 72.4 billion sterilising very short-term wholesale funding.

The Group s liquidity reserve at 31 December 2019 was stable compared to end-2018. In yearly average terms, the reserve grew by more than EUR 20 billion compared with the previous year, with an increase in liquid securities, mainly bonds issued or guaranteed by governments and central banks in the European Economic Area.

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 2019 stood at 125%, versus 132% at 31 December 2018.

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.