BPCE - 2019 RISK REPORT Pillar III

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

QUANTITATIVE DISCLOSURES

Customer loan-to-deposit ratio

The Group customer loan-to-deposit ratio (1) was stable at 124% at December 31, 2019.

TABLE 87 – SOURCES AND USES OF FUNDS BY MATURITY

Less than 1 month

1 month to 3 months

3 months to 1 year 1 to 5 years

More than 5 years

No fixed maturity

Total at 12/31/2019

in millions of euros

Cash and amounts due from central banks Financial assets at fair value through profit or loss Financial assets at fair value through other comprehensive income

80,242

2

80,244 218,767

218,767

1,101

732

3,583

19,044

15,349

4,822 9,286 4,366

44,630

Hedging derivatives

9,286

Securities at amortized cost

490

80

3,332

8,482

12,171

28,922

Loans and receivables due from banks and similar at amortized cost Loans and receivables due from customers at amortized cost Revaluation differences on interest rate risk-hedged portfolios

76,778 53,763

6,523

3,797

527

731

1,301

89,656 693,257

23,135

53,700

219,398

332,675

10,587

7,673

7,673

Financial assets by maturity

212,374

30,472

64,412

247,450

360,926

256,803 1,172,436

Amounts due to central banks Financial liabilities at fair value through profit or loss

12,274

1,157

433

1,313

11,345

175,255 15,068

201,776 15,068 239,341 76,653 559,713 17,487

Hedging derivatives

Debt securities

23,227 21,767 445,522

30,875 11,825 15,717

53,014 12,343 22,226

66,592 18,749 57,966

58,801

6,832 2,231 3,035 2,125

Amounts due to banks and similar

9,738

Amounts due to customers

15,248 10,037

Subordinated debt

482

14

10

4,820

Revaluation differences on interest rate risk-hedged portfolios FINANCIAL LIABILITIES BY MATURITY Loan commitments given to banks Loan commitments given to customers TOTAL LOAN COMMITMENTS GIVEN Guarantee commitments given to banks Guarantee commitments given to customers TOTAL GUARANTEE COMMITMENTS GIVEN

238

238

503,271

59,587

88,026

149,439

105,169

204,783 1,110,277

129

23

653

406

116

1,328

19,656 19,772

156 156

135,184 136,512

30,596 30,726

6,396 6,420

24,705 25,358

53,676 54,082

627

415

573

647

1,731 6,118 7,849

32

4,026

3,401 4,029

3,645 4,060

5,822 6,395

9,691

5,131 5,163

33,809 37,835

10,338

Financial instruments marked to market on the income statement and held in the trading book, variable-income available-for-sale financial assets, non-performing loans, hedging derivatives and revaluation differences on interest rate risk-hedged portfolios are placed in the “No fixed maturity” column. These financial instruments are: either held for sale or redeemed prior to their contractual • maturity; or held for sale or redeemed at an indeterminable date • (particularly where they have no contractual maturity);

or measured on the balance sheet for an amount impacted by • revaluation effects. Accrued interest not yet due is shown in the “Less than 1 month” column. The amounts shown are contractual amounts excluding projected interest. Technical provisions of insurance companies, which, for the most part are equivalent to demand deposits, are not shown in the Table above.

(1) Excluding SCF (Compagnie de Financement Foncier, the Group’s société de crédit foncier, a French covered bond issuer).

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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