BPCE - 2018 Risk report / Pillar III

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

LIQUIDITY/FUNDING REQUIREMENTS Basel III liquidity ratios: Liquidity Coverage Ratio (LCR) Groupe BPCE closely monitors the work of the various regulatory authorities in terms of liquidity risk management;in particular by attending consultationsand meetings organized by European authoritiesas well as by French andEuropeanprofessionalorganizations.

TABLE 85 – 2018 ENCUMBERED ASSETS ➡

Scope of consolidation (consolidated) Currencyand unit (inmillions of euros)

Total unweighted value (average)

Total weighted value (average)

9/3030/

Quarter ending on (DD MonthYYY)

3/31/2018 6/30/2018 9/30/2018 12/31 2018 3/31/2018 6/30/2018

2018 12/31/2018

Number of data points used in the calculation of averages

12

12

12

12

12

12

12

12

HIGH-QUALITY LIQUID ASSETS 1

Totalhigh-quality liquid assets (HQLA)

162,610 160,286 159,068 156,063

CASH OUTFLOWS

Retail deposits anddepositsfrom small business customers,of which:

2 3 4 5 6 7 8 9

324,116 329,132 333,876 339,239 19,186 19,481 19,769 20,108 264,742 268,921 272,694 276,722 13,237 13,446 13,635 13,836

Stabledeposits

Lessstabledeposits

59,374 60,211 61,183 62,518

5,949

6,035

6,135

6,272

Unsecured wholesale funding

152,682 155,778 157,140 156,630 91,001 91,826 91,050 89,403

Operational deposits (all counterparties) and deposits in networksof cooperative banks

35,892 37,685 39,328 40,150

8,488

8,931

9,332

9,531

Non-operational deposits (allcounterparties)

96,083 98,667 99,853 99,192 61,805 63,468 63,763 62,588 20,708 19,426 17,959 17,288 20,708 19,426 17,955 17,284

Unsecured debt

Secured wholesale funding

21,799 23,437 24,685 24,304

10

Additional requirements, ofwhich:

80,746 81,817 83,417 84,747 23,957 23,739 23,935 23,697

Outflowsrelated to derivative exposures andother collateral requirements Outflowsrelated to loss of fundingondebtproducts

11 12 13 14 15 16

13,745 13,605 13,810 13,467 13,634 13,353 13,416 12,994

0

0

0

0

0

0

0

0

Creditand liquidity facilities

67,001 68,212 69,608 71,281 10,323 10,386 10,519 10,703 18,468 18,169 17,704 18,243 16,423 16,100 15,641 16,129

Other contractual funding obligations Other contingent funding obligations

70,194 72,609 76,258 79,486

9,731

9,256

9,503

9,693

Total cash outflows

182,097 183,838 184,584 183,334

9

CASH INFLOWS 17

Secured lending (e.g.reverserepos) Inflows from fully performing exposures

101,887 105,472 108,485 108,387 10,997 12,375 13,213 13,969 93,547 96,434 98,120 100,830 24,451 26,128 28,107 29,197 30,587 30,990 30,818 30,936 17,136 17,415 17,034 17,032

18 19

Other cash inflows

(Difference between total weighted inflows and total weighted outflows arising fromtransactions in third countrieswherethere aretransfer restrictions or which aredenominated in non-convertible currencies) (Excessinflowsfrom a related specializedcredit institution)

EU-19a

0

0

0

0

EU-19b

0

0

0

0

20

Total cash inflows

226,022 232,897 237,423 240,154 52,584 55,919 58,354 60,197

EU-20a Fully exempt inflows

0 0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

EU-20b InflowsSubjectto 90% Cap EU-20c InflowsSubjectto 75% Cap

209,660 215,613 219,217 220,462 54,332 57,655 60,226 62,572

21 22 23

LIQUIDITY BUFFER

162,610 160,286 159,068 156,063 127,766 126,183 124,359 120,761 127.6% 127.4% 128.4% 129.7%

TOTAL NET CASH OUTFLOWS LIQUIDITY COVERAGE RATIO (%)

187

Risk Report Pillar III 2018