BPCE - 2019 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 consultations and meetings organized by European authorities as well as by French and European professional organizations.
TABLE 89 – LCR DETAILED FOR THE YEAR 2019 Scope of consolidation (consolidated) Currency and unit (in millions of euros )
Total unweighted value
Total weighted value
Date
3/31/2019 6/30/2019 9/30/2019 12/31/2019 3/31/2019 6/30/2019 9/30/2019 12/31/2019
Number of data points used in the calculation of averages
12
12
12
12
12
12
12
12
HIGH-QUALITY LIQUID ASSETS (HQLA) 1
Total high-quality liquid assets (HQLA)
155,869
155,524
159,411
161,775
CASH OUTFLOWS
Retail deposits and deposits from small business customers, of which:
2 3 4 5 6 7 8 9
345,595 281,553 64,042 157,424 40,467 99,631 17,326
351,864 286,546 65,318 157,847 39,209 100,832 17,807
358,324 291,828 66,496 161,850 38,426 105,405 18,018
348,029 287,256 60,773 164,115 38,696 107,536 17,883
20,507 14,078
20,891 14,327
21,274 14,591
20,372 14,144
Stable deposits
Less stable deposits
6,430
6,564
6,683
6,228
Unsecured wholesale funding, o/w:
89,110
88,819
91,517
91,964
Operational deposits (all counterparties) and deposits in networks of cooperative banks Non-operational deposits (all counterparties)
9,601
9,273
9,110
9,315
62,188 17,322 23,175 23,843
61,743 17,803 20,837 23,991
64,389 18,018 18,615 23,939
64,767 17,883 19,549 24,494
Unsecured debt
Secured wholesale funding Additional requirements, o/w:
0
0
0
0
10
86,629
87,735
89,222
93,542
Outflows related to derivative exposures and other collateral requirements Outflows related to loss of funding on debt products
13,569
13,624
14,747
12,972
12,895
12,444
12,509
11 12 13 14 15 16
13,629
0
0
0
0
0
0
0
0
Credit and liquidity facilities
73,000 18,311 79,306
74,166 18,497 77,918
75,598 20,551 77,042
78,795 20,397 76,987
10,871 16,188
11,096 16,385
11,494 18,439
11,985 18,212
Other contractual funding obligations Other contingent funding obligations
9,338
9,189
8,567
9,241
Total cash outflows
0
0
0
0
182,163
180,112
182,350
183,832
9
CASH INFLOWS
0
0
0
0
0
0
0
0
17 18 19
Secured lending ( e.g. reverse repos) Inflows from fully performing exposures
107,895 100,246 32,101
105,299 98,478 33,641
106,835 99,540 37,697
108,231 82,524 41,946
13,231 28,976 18,181
12,015 28,166 19,425
11,504 28,400 23,393
10,736 27,530 27,080
Other cash inflows
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) (Excess inflows from a related specialized credit institution)
EU-19a
0
0
0
0
0
0
0
0
EU-19b
0
0
0
0
0
0
0
0
20
TOTAL CASH INFLOWS
240,242
237,418
244,072
232,701
60,388
59,607
63,297
65,346
EU-20a Fully exempt inflows EU-20b Inflows subject to 90% cap EU-20c Inflows subject to 75% cap
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
218,877
216,117
222,389
209,368
63,264
62,962
66,953
69,039 TOTAL ADJUSTED VALUE
21 22 23
TOTAL HQLA
155,869 119,089
155,524 117,339
159,411 115,587
161,775 114,983
TOTAL NET CASH OUTFLOWS LIQUIDITY COVERAGE RATIO (IN %)
131% 133% 138% 141%
191
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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