2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYLiquidity and funding risk5➤ TABLE 50: TRENDS IN MLT WHOLESALE FUNDING IN THE CASH BALANCE SHEETIn billions of eurosAt 31 December2011Neworigination Redemption Buy-backCalle xerciseFX impactand otherAt 31 December2012MLT debt securities issued 141.7 33 ( 28.1) ( 3.3) ( 4.0) 0.1 139.4Other funding 57.3 6.3 ( 14.2) ( 2.8) ( 1.4) 2.2 47.4TOTAL MLT FUNDING 199.0 39.3 ( 42.3) ( 6.1) ( 5.4) 2.3 186.8MLT debt placed with clients ( 47.6) ( 46.8)MLT funding in the cashbalance sheet 151.4 140.0Funding raised by the Group in the markets with an initial maturity ofover 1 year came to EUR 39.3 billion in 2012 (EUR 47.4 billion in 2011),with an average maturity of about 5.3 years.The amount of debt securities issued classified as MLT fundingcomprises debt securities measured at fair value through profit or loss,(EUR 41.6 billion) and debt securities measured at amortised cost withan initial maturity of more than one year (EUR 102.2 billion) excludingperpetual subordinated debt , as presented in note 5.i to the financialstatements. In the cash balance sheet, these amounts are adjusted forthe debt securities taken up by Group entities that do not belong to theBank’s prudential scope.MLT collateralised wholesale fundingMLT collateralised wholesale funding (*) is measured by separating outassets representing securities and loans:➤ TABLE 51: MLT COLLATERALISED WHOLESALE FUNDING31 December 2012 31 December 2011In billions of eurosCollateral used (**) Funding raised (***) Collateral used (**) Funding raised (***)Loans and receivables 53.6 42.1 66.7 49.6Securities 12.2 10.6 12.2 11.1TOTAL 65.8 52.7 79.0 60.7(*) Funding obtained from central banks is not considered as MLT wholesale funding in the internal indicators and is therefore not included in this table.(**) Amounts gross of haircuts.(***) Amounts net of haircuts.5MLT collateralised wholesale funding represents 28% of the total Group’s MLT funding. The Bank carefully manages its proportion of secured fundingand the associated overcollateralisation.LIQUIDITY RESERVEIn addition to the structural indicators presented above, liquidity stresstests are performed regularly on short maturities, based on marketfactors and/or factors specific to the Group. The availability of sufficientliquidity reserves to cope with an unexpected surge in liquidity needs isregularly measured at Group and entity level.The liquidity reserve comprises deposits with central banks, availablesecurities and loans eligible for central bank refinancing and availablesecurities that can be financed through repurchase agreements orimmediately sold on the market.The Bank’s treasury position is adjusted by managing the liquidity reserve,which comprises deposits with central banks and highly liquid assets.One way to strengthen the liquidity reserve is to transform less liquidassets into liquid assets by securitising pools of loans (see section 5.5on Proprietary Securitisation).2012 Registration document and annual financial report - BNP PARIBAS 307