4272019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ TABLE 96: ECONOMIC(*) MATURITIES OF CAPITAL INSTRUMENTS (PRUDENTIAL PERIMETER(**))

In millions of euros

TOTAL 31  December

2019 2020 2021 2022 2023 2024 2025- 2029

Beyond 2029 Perpetual

Amount(**) of liabilities eligible to Additionnal Tier 1 9,535 851 1,325 1,460 - 1,326 2,980 820 773

Subordinated debt 773 - - - - - - - 773

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

of which subordinated debt at fair value through profit and loss 773 - - - - - - - 773

Preferred shares and Undated Super Subordinated Notes 8,762 851 1,325 1,460 - 1,326 2,980 820 -

Amount(**) of debt eligible to Tier 2 18,274 519 1,795 1,227 530 1,131 10,776 2,297 -

Subordinated debt 18,274 519 1,795 1,227 530 1,131 10,776 2,297 -

of which subordinated debt at amortised cost 18,154 451 1,784 1,209 530 1,131 10,776 2,272 -

of which subordinated debt at fair value through profit and loss 121 68 11 17 - - - 25 -

Amount(**) of other subordinated debt not eligible to prudential own funds 165 28 14 16 17 19 70 - -

(*) The economic maturity is defined as either the contractual maturity or the next call date when the instrument has an early redemption option. (**) Carrying amount 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received in guarantee used as pledges, guarantees or enhancement of a Group transaction and which cannot be freely withdrawn are considered to be encumbered.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, with the payment of initial margins and margin calls to secure transactions (see paragraphs on Bilateral initial margin exchange and Counterparty credit risk management of 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), thus diversifying and optimising its funding structure.

The encumbrance of assets can be distinguished from the transfer of assets shown in note 5.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 (whatever the significance level of the transfer of risk), 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.