BPCE - 2019 RISK REPORT Pillar III

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

securities transactions, including in particular securities • lending and repurchase agreements, for a total of €210,512 million; encumbered receivables securing covered bond vehicles • (BPCE SFH, SCF and Natixis Pfandbriefbank), for a total of €92,347 million; encumbered receivables in vehicles other than covered bond • asset pools, such as central bank refinancing or other market vehicles, for a total of €66,625 million; assets encumbered by margin call payments on derivative • positions, for a total of €14,530 million. Groupe BPCE applies a minimum regulatory overcollateralization rate of 105% for BPCE SFH and SCF covered bond vehicles, and 102% for Natixis Pfandbriefbank. The impact of overcollateralization on the Group’s encumbrance level was €3.9 billion, i.e. 1% of encumbered assets, at December 31, 2019. 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 in the normal course of its business: loans on demand (€83 billion at December 31, 2019, i.e. 9% of • unencumbered assets); equity interests, tangible and intangible assets, tax assets • (€21 billion at December 31, 2019, i.e. 2% of unencumbered assets).

Template D – Accompanying narrative information Disclosures on encumbered assets refer to the publication of the Ministerial Order of September 4, 2017 in the Official Bulletin (Journal Officiel) 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 in question). The main differences between i) assets pledged and transferred in accordance with applicable accounting frameworks as applied by the institution and ii) assets pledged, concern the following transactions: cash posted as collateral, assets placed with central banks, covered bonds and securitizations. From an encumbered assets standpoint: cash posted as collateral is considered as encumbered, assets placed with central banks but not mobilized are not considered as encumbered, assets pledged as collateral for covered bonds are considered as encumbered, and assets underlying temporary on-balance sheet securitizations are not considered as encumbered. Furthermore, cash margin calls paid are assets that are encumbered but not pledged or transferred. The level of Groupe BPCE expenses predominantly derives from Natixis’ capital markets activities (encumbered securities), covered bonds (mainly issued by CFF Group and BPCE SFH) and central bank refinancing mechanisms. At December 31, 2019, total encumbered balance sheet assets and encumbered collateral received from Groupe BPCE totaled €383,535 million. These can be broken down by type and source of costs:

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RISK REPORT PILLAR III 2019 | GROUPE BPCE