BPCE - 2018 Risk report / Pillar III

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

Disclosures on encumbered assets refer to the publication of the Ministerial Order of September 4, 2017 in the Official Journal ( JournalOfficiel ) of the French Republic. The data used for reporting purposes are median values, calculated over the last four quarters (net carrying amounts and fair values, depending on the column of the reporting table inquestion). At December 31, 2018, Groupe BPCE’s total balancesheet assets and encumberedcollateral amounted to € 358,152 million. These can be broken down by type and source of costs: securities transactions, including in particular securities lending ● and repurchase agreements, for atotal of € 191,819million; encumberedreceivablessecuringcoveredbond vehicles(BPCE SFH, ● SCF and NatixisPfandbriefbank), fora total of € 90,994 million; encumberedreceivablesin vehicles other than covered bond asset ● pools, such as central bank refinancing or other market vehicles, for a total of € 59,035million; assets encumbered by the payment of margin calls on derivative ● positions, for atotal of € 15,207million. The level of Groupe BPCE expenses predominantly derives from Natixis’ capital markets activities (encumbered securities), covered bonds (mainly issued by CF Group and BPCE SFH) and central bank refinancing mechanisms. GroupeBPCE applies a minimumregulatoryovercollateralizationrate of 105% for BPCE SFH and SCF coveredbond vehicles,and 102% for Natixis Pfandbriefbank.

The impactof overcollateralizationon the Group’sencumbrancelevel was € 4,340 million, i.e. 1% of encumbered assets, at 12/31/2018. As regards intragroup asset encumbrance expenses, for central collateral management purposes, institutions without a 3G pool centralize their collateral with the central institution.This collateral is classified as encumbered by each individual institution, but not necessarily at the consolidated Group level. Groupe BPCE considers that the following assets cannot be encumbered inthe normalcourse of its business: loans on demand ( € 80,954 million at 12/31/2018, i.e. 9% of ● unencumbered assets); equity interests, tangible and intangible assets, tax assets ● ( € 21,626million at 12/31/2018, i.e. 2% of unencumberedassets). The definition of encumbered assets may vary from the definition given inGAAP governing pledged or transferred assets. The maindifferences pertain to the following transactions: cash posted as collateral is classified as encumbered, but is not ● classified as transferred for accounting purposes; assets depositedwith central banks, which can be pledged at any ● time as collateral for refinancingoperations are only encumbered for the amount actually used, whereas they are classified as pledged infull under GAAP. assets pledged as collateral for covered bonds are classified as ● encumbered, and assets underlying temporary on-balance sheet securitizations are not.

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Risk Report Pillar III 2018