BPCE - 2018 Risk report / Pillar III

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Quantitative disclosures

Quantitative disclosures 9.3

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 intoliquid or available securities, is another method of strengthening this liquidity reserve. The tablebelow presents changes in the liquidity reserve:

TABLE 81 - LIQUIDITY RESERVES ➡

12/31/2018

12/31/2017

in billions of euros

Cash placedwith centralbanks

67 62 74

83 58 73

LCR securities

Assets eligiblefor 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 comparedwith € 123 billion

at December

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

December31, 2017.

TABLE 82 – LIQUIDITY GAPS ➡ The Group’s liquidity gap (liabilities – assets) complieswith internallimits.

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 Liquiditygap

19.8

11.5

9.7

A liquidity gap arisesfrom amismatchbetweenassets andliabilitieswith differentmaturity dates, asviewedat a static pointin time.

9

181

Risk Report Pillar III 2018