BPCE - 2018 Registration document

6 RISK REPORT

Liquidity, interest rate and foreign exchange risks

6.9.3

Quantitative disclosures

Liquidity reserves include cash placed with central banks and securities and receivables eligible for central bank funding. Management of liquidity reserves, composed of deposits with central banks and the most liquid assets, allows the Bank to adjust its cash position. Loan securitization, which transforms less liquid assets into liquid or available securities, is another method of strengthening this liquidity reserve. The table below presents changes in the liquidity reserve:

12/31/2018

12/31/2017

in billions of euros

Cash placed with central banks

67 62 74

83 58 73

LCR securities

Assets eligible for central bank funding

TOTAL

204

214

At December 31, 2018, liquidity reserves covered 160% of the Group’s short-term funding and the short-term maturities of MLT debt ( € 127 billion at December 31, 2018 compared with € 123 billion at

December 31, 2017). The coverage ratio was 174% at

December 31, 2017.

LIQUIDITY GAPS ➡ The Group’s liquidity gap (liabilities – assets) complies with internal limits.

1/1/2019 to 12/31/2019

1/1/2020 to 12/31/2022

1/1/2023 to 12/31/2026

in billions of euros

Liquidity gap 9.7 A liquidity gap arises from a mismatch between assets and liabilities with different maturity dates, as viewed at a static point in time. 19.8 11.5

674

Registration document 2018