4292019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Liquidity risk

➤ Collateral

In millions of euros

Four end of quarter median values in 2019 Four end of quarter median values in 2018

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

of which HQLA and

EHQLA(**)

of which HQLA and

EHQLA(**)

130 COLLATERAL RECEIVED 379,806 333,667 97,450 71,132 364,336 62,827

140 Loans on demand - - - - - -

150 Equity instruments 46,859 26,449 18,022 10,968 55,782 9,054

160 Debt securities 335,940 308,786 79,441 61,146 306,748 53,771

170 of which covered bonds 1,107 888 1,605 1,103 222 978

180 of which asset-backed securities 3,932 154 3,951 712 4,348 372

190 of which issued by general governments 305,176 303,983 55,601 55,601 279,457 36,889

200 of which issued by financial corporations 19,405 2,494 22,197 2,523 16,248 14,342

210 of which issued by non-financial corporations 14,787 3,078 - - 11,105 4,382

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

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 31,527 - 34,620

250 TOTAL ASSETS, COLLATERAL PLEDGED AND OWN DEBT SECURITIES (*) ISSUED 719,500 478,821 683,895

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

For a median value over 2019, the amount of own covered bonds and asset-backed securities (ABS) was EUR 52 billion with underlying outstanding assets of EUR 53 billion.

➤ Encumbered assets/collateral received and associated liabilities

In millions of euros

Four end of quarter median values in 2019 Four end of quarter median values in 2018

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 634,775 719,500 613,704 683,895

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