BPCE - 2018 Risk report / Pillar III

9 LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Detailed quantitative disclosures on liquidity risk

Detailed quantitative disclosures on 9.6 liquidity risk

The detailed quantitative information on liquidity risk presented in the following tables expand on the Pillar

III information contained in the

previous section.

Groupe BPCE cash balance sheet The cash balance sheet provides an analysis of the Group’s balance sheet from a liquidity standpoint. Starting with the Group’s accounting balance sheet, the following main restatements are carried out: the transition from the Group’s consolidated accounting balance ● sheet to a regulatory balance sheet by accounting for the Group’s Insuranceentities using the equity method; the withdrawal of the short-term deposits of certain financial ● sector customerscollectedby Natixis in its brokerageactivitiesand the correspondingcentralbank deposits; the netting of derivative financial instrument accounts (including ● hedging derivatives) and accrued accounts recognized in balance sheet assets under theheading“other”; the netting of securities portfolios; repurchase and reverse ● repurchase agreements on securities and other financial instruments; and securities debt netted under the “securities” heading; the transfer to customer deposits of Group debt securities placed ● with customers. The resultingcash balancesheet for the Group scope excludingSCF is presented opposite. Groupe BPCE’s cash balance sheet excluding the SCF contribution highlights the main balance sheet aggregates by identifying, in particular: the funding requirements of the business (customer loans, ● centralizationof regulated passbook savings account deposits, and tangible and intangible fixed assets) for a total of € 694 billion at December31, 2018; stable funds composed of customer deposits, medium- and ● long-term funds, and equity and similar items, for a total of € 758 billion; a surplus of € 63 billion reflecting surplus customer funds and, in ● the medium and long term, the funding requirements of the retail business line which is mainly invested in liquid assets to contribute to the liquidity pool; short-term funds, mainly invested in liquid assets (central bank ● deposits, interbank assets, debt securities).

GROUP EXCLUDING SCF ➡

ASSETS €864bn

LIABILITIES €864bn

Group excluding SCF

85 21 64

107

140

Surplus stable funds (1) + €63bn

609

545

18 66

73 0

0

12/31/2018

12/31/2018

Securities Interbank and cash assets Cash with central banks

MLT Funds (4) (incl. some capital items) ST Funds Customer savings and deposit (5) (incl. some capital items)

Centralization of regulated passbook savings account deposits Customer Ioans (2) Other Fixed assets

Capital (excl. subordinated debt) Other (3)

(1)

Balance of stable funds: +€63bn at 12/31/2018 = (MLT funds, €140bn + Customer deposits and savings, €545bn + Own funds (excluding subordinated debt), €73bn) - (Customer loans, €609bn + Centralization of passbook savings account deposits, €66bn + Fixed assets, €18bn + Other, €1bn). Including funding of loans to local and regional authorities that are customers of Groupe BPCE by SCF. Net position of accrual accounts, derivatives and refinancing operations with SCF: €0bn in liabilities for the Group excluding SCF. o/w €14bn at end-2018 with a residual maturity date of one year or less o/w €5.9bn in deposits and savings, excluding accrued interest not yet due on senior preferred debt (incl. €4.1bn with a maturity of one year or less) and €2.7bn in Tier 2 issues (incl. €0.5bn with a maturity of one year or less), sold on our networks

(2) (3)

(4) (5)

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Risk Report Pillar III 2018