BPCE - 2019 RISK REPORT Pillar III

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

TABLE 90 – HQLA

Template A – Encumbered and unencumbered assets

Carrying amount of encumbered assets Of which: notionally eligible EHQLA and HQLA

Fair value of encumbered assets Of which: notionally eligible EHQLA and HQLA

Carrying amount of unencumbered assets

Fair value of unencumbered assets

Of which: EHQLA and HQLA

Of which: EHQLA and HQLA

010

030

040

050

060

080

090

100

in millions of euros

010 030 040 050 060 070 080 090 120

Assets of the reporting institution

241,207 18,748 62,397

51,693 17,272 34,079

0 0

0 0

977,405 18,471 32,325

50,397 17,270 32,082

0

0 0

Equity instruments

12,283 31,387

Debt securities

61,352

33,316

17,951

of which: covered bonds

847

563

849

563

1,111 1,757

563

1,037

954

of which: asset-backed securities

10,532 39,167

0

10,374 38,326

0

0

0

0

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations

30,925

30,150

21,852

24,371

17,095

12,392

9,348 2,328

122

9,279 2,355

122

3,877 3,600

122 728

1,837

0

1,473

1,503

11,419

4,605

Other assets

158,897

0

0

0

813,066

0

Template B – Collateral received

Unencumbered

Fair value of encumbered collateral received or own debt securities issued of which: notionally eligible EHQLA and HQLA

Fair value of collateral received or own debt securities issued available for encumbrance

Of which: EHQLA and HQLA

010

030

040

060

in millions of euros

130 140 150 160 170 180 190 200 210 220 230

Collateral received by the reporting institution

144,539

98,118

106,684

62,306

Loans on demand Equity instruments

0

0

0

0

37,569 105,828

23,935 73,301

28,409 53,821

7,828

Debt securities

53,821

of which: covered bonds

1,576

990

2,147

1,812

of which: asset-backed securities

12,174 86,048

10

0

0

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations Loans and advances other than loans on demand

71,920

45,799

45,799

4,212

40

1,260 4,467

394

984

451

1,861

0 0

0 0

22,420

0 0

Other collateral received

0

Own debt securities issued other than own covered bonds or asset-backed securities Total assets, collateral received and own debt securities issued

240 250

0

0

0 0

0 0

383,535

149,808

Template C – Sources of encumbrance

Assets, collateral received and own debt securities issued other than covered bonds and asset-backed securities encumbered

Matching liabilities, contingent liabilities or securities lent

010

030

in millions of euros

Carrying amount of selected financial liabilities

010

246,009

241,674

192

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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