BPCE - 2019 RISK REPORT Pillar III

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

Detailed quantitative disclosures 9.6 on 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 insurance entities using the equity method; the withdrawal of the short-term deposits of certain financial • sector customers collected by Natixis in its brokerage activities and the corresponding central bank deposits; the netting of derivative financial instrument accounts • (including hedging derivatives) and accrued accounts recognized in balance sheet assets under the heading “Other”; the netting of securities portfolios; repurchase and reverse • repurchase agreements on securities and other financial instruments; and securities debt netted under the heading “Securities”; the transfer to customer deposits of Group debt securities • placed with customers.

The resulting cash balance sheet for the scope of Groupe BPCE excluding SCF (Compagnie de Financement Foncier, a société de crédit foncier or SCF, i.e. a French covered bond issuer) 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, • centralization of regulated passbook savings account deposits, and tangible and intangible fixed assets) for a total of €735 billion at December 31, 2019; stable funds composed of customer deposits, medium- and • long-term funds, and equity and similar items, for a total of €795 billion at December 31, 2019; a surplus of €60 billion reflecting surplus customer funds and, • in the medium and long term, the funding requirements of the retail business line; the surplus is mainly invested in liquid assets contributing to the liquidity pool; short-term funds, mainly invested in liquid assets (central bank • deposits, interbank assets, debt securities).

GROUP EXCLUDING SCF (1) (2) (3) (4) (5)

€ 922 bn

€ 922 bn

24 99 64

127

● Cash with central banks ● Interbank cash and assets ● Titres ● Customer loans (2) ● Centralization of regulated passbook savings account deposits ● Other ● Fixed assets

145

● ST funds ● MLT funds (4)

(incl. some capital items) ● Customer savings and deposits (5) (incl. some capital items) ● Other (3) ● Capital (excl. subordinated debt)

Surplus stable funds (1) +€ 60 bn

643

572

68 21

4

78

12/31/2019

12/31/2019

(1) Balance of stable funds +€60 billion at 12/31/2019 = (MLT funds, €145 billion + Customer deposits and savings, €572 billion + Own funds (excluding subordinated debt), €78 billion) – (Customer loans, €643 billion + Centralization of passbook savings account deposits, €68 billion + Fixed assets, €21 billion + Other, €3 billion). (2) Including funding of loans to local and regional authorities that are customers of Groupe BPCE by SCF. (3) Net position of accrual accounts, derivatives and refinancing operations with SCF: €0 billion in liabilities for the Group excluding SCF. (4) Of which €15 billion in market MLT funds at end-2019 with a remaining maturity of one year or less. (5) Of which €1.9 billion (excluding accrued interest) of senior preferred debt issued by BPCE (incl. €1.7 billion with a maturity of one year or less) and €2.2 billion in Tier 2 instruments issued by BPCE (none with a maturity of one year or less), sold by our retail networks to their customers.

190

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com