428 2019 Universal registration document and annual financial report - BNP PARIBAS

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

the Delegated Regulation (EU) 2017/2295. Thus, all data shown in the table are calculated as the median of the four quarter ends of the year. Each total line is then calculated as the median of the total at the four quarter-ends of the year, not as the sum of the median values for the year.

The median ratio of encumbered assets relative to Group balance sheet assets was 16% in 2019 stable compared to 2018.

➤ TABLE 97: ENCUMBERED AND UNENCUMBERED ASSETS AND COLLATERAL RECEIVED

➤ Assets

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

of which HQLA and

EHQLA(*)

of which HQLA and

EHQLA(*)

of which HQLA and

EHQLA(*)

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.

In millions of euros

Four end of quarter median values in 2018

Carrying amount of encumbered

assets

Fair value of encumbered

assets

Carrying amount of unencumbered

assets

Fair value of unencumbered

assets

010 ASSETS 314,515 1,654,754

030 Equity instruments 42,570 27,248

040 Debt securities 123,074 123,074 116,435 116,435

050 of which covered bonds 1,221 1,221 2,210 2,210

060 of which asset-backed securities 723 723 5,596 5,596

070 of which issued by general governments 99,678 99,678 82,514 82,514

080 of which issued by financial corporations 13,960 13,960 20,278 20,278

090 of which issued by non-financial corporations 5,844 5,844 10,208 10,208

120 Other assets 144,863 1,505,838

In median amounts over 2019, other encumbered assets mainly comprised loans and advances (often used when issuing asset-backed securities issues or guaranteed bonds) and amounted to EUR 93 billion, and guarantee deposits and bank guarantees paid in respect of derivatives (recognised in the Accrued income and other assets category) amounting to EUR 63 billion.

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