BPCE - 2019 Universal Registration Document

RISK REPORT

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

the entities pool their collateral with the central institution in • order to improve oversight and operationality of collateral management. For entities with a 3G Pool (Natixis, Compagnie de Financement Foncier, BRED, Crédit Coopératif, Banque Palatine), each entity is responsible for its own collateral. Nonetheless, these entities cannot directly participate in ECB refinancing operations without prior approval from the central institution. LIQUIDITY RISK MITIGATION POLICY Groupe BPCE maps out all liquidity risk factors applicable to the bank along with their associated materiality. This map forms the basis of its liquidity risk management framework. To keep track of its liquidity risks and define appropriate management and/or corrective actions, the Group has

established a reliable, comprehensive and effective internal liquidity management and oversight system including a set of associated indicators and limits. given the importance of continuous market access, the Group • focuses in particular on diversifying its market footprint by geographic area and by counterparty type; furthermore, in line with its business model, the Group also • ensures that the liquidity drawn from market resources is appropriately allocated to its constituent business lines; the Group also has an adequately calibrated and centralized • liquidity reserve at the central institution level, which can be promptly solicited to deal with any tensions that might arise. From a more general standpoint, the Group constantly monitors these risks via its stress testing system, which is supplemented by a Contingency Funding Plan (CFP) that identifies additional solutions.

Quantitative disclosures 6.9.3

Liquidity reserves include cash placed with central banks and securities and receivables eligible for central bank funding. Management of liquidity reserves, composed of deposits with central banks and highly liquid assets, allows the Bank to adjust its cash position. Loan securitization, which transforms less liquid assets into liquid or available securities, is another method of strengthening this liquidity reserve. The table below presents changes in the liquidity reserve:

LIQUIDITY RESERVES

12/31/2019

12/31/2018

in billions of euros

Cash placed with central banks

69 66 96

67 62 74

LCR securities

Assets eligible for central bank funding

TOTAL

231

204

At December 31, 2019, liquidity reserves covered 155% of the Group’s short-term funding and the short-term maturities of MLT debt (€148 billion at December 31, 2019 compared with €127 billion at December 31, 2018). The coverage ratio was 160% at December 31, 2018.

6

LIQUIDITY GAPS The Group’s liquidity gap (liabilities – assets) complies with internal limits.

01/01/2020 to 12/31/2020

01/01/2021 to 12/31/2023

01/01/2024 to 12/31/2027

in billions of euros

Liquidity gap

15.1

7.9

11.5

A liquidity gap arises from a mismatch between assets and liabilities with different maturity dates, as viewed at a static point in time.

637

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE