2018 Registration document and annual fi nancial report - BNP PARIBAS 419
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Liquidity risk
The global liquidity reserve (counterbalancing capacity) is calculated net of the payment systems intraday needs and in keeping with prudential rules, in particular US 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.
➤ TABLE 89 : BREAKDOWN OF GLOBAL LIQUIDITY RESERVE (COUNTERBALANCING CAPACITY) [Audited]
In billions of euros Average 2018 31 December 2018 31 December 2017
Total eligible assets 414.8 412.3 384.6
Utilisations (93.1) (101.9) (96.6)
Transferability (2.8) (2.3) (3.1)
GLOBAL LIQUIDITY RESERVE 318.9 308.1 284.9
of which liquid assets meeting prudential regulation requirements (HQLA) 298.2 288.2 268.2
of which other liquid assets 20.7 19.9 16.7
The Group s liquidity reserve stood at EUR 308.1 billion at end-2018, of which EUR 75.2 billion sterilising very short-term wholesale funding.
The Group s liquidity reserve increased by EUR 23 billion compared with end-2017. This increase can be explained by an increase in liquid securities, mainly bonds issued or guaranteed by governments and central banks in the European Economic Area in the domestic currency.
Regulatory liquidity ratios
The thirty -day Liquidity Coverage Ratio (LCR) came into force on 1 October 2015 setting the minimum coverage ratio for net cash outfl ows at 100% since 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 refl ect 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 2018 stood at 132%, versus 121% at 31 December 2017.
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 .
