BPCE - 2020 Universal Registration Document

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RISK FACTORS & RISK MANAGEMENT

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

On December 31, 2020, liquidity reserves covered 246% of the Group’s short-term funding and the short-term maturities of MLT debt (€125 billion on December 31, 2020 compared with €148 billion on December 31, 2019). The coverage ratio was 155% on December 31, 2019. The very significant increase in the liquidity reserve in 2020 reflects the change in Groupe BPCE’s liquidity situation against the very particular background of the health crisis and the impact generated both on customer behavior and in terms of the ECB’s response regarding monetary policy. Accordingly, the amount of customer deposits, particularlyhouseholds, increased significantly during the fiscal year (see change in the Customer loan-to-deposit ratio) at a faster pace than the production of loans, thus generating an increase in available liquidity. At the same time, the European Central Bank eased the conditions for access to its refinancing by broadening the eligibility criteria for assets that can be used as collateral. Adopted by the Board of Governors on April 7, 2020, all of the collateral easing measures broadened the scope of this mechanism, both by reducing the levels of haircuts applied to eligible receivables and by

increasing the scope of eligible receivables. This is notably the case for state-guaranteed loans (SGLs), whose eligibility as a mobilizable asset with the Central Bank has been recognized, thus enabling Groupe BPCE – one of the main distributors of SGLs on the French banking market – to declare these loans as eligible central bank assets. The various expansion measures thus contributed to increasing the amount of central bank eligible assets, even when the amount mobilized with the central bank increased significantly in 2020 following the A liquidity gap arises from a mismatch between assets and liabilities with different maturity dates, as viewed at a static point in time. It measures the projection of the Group’s liquidity position over a given period of time on the basis of contractual maturities supplemented by customer behavioral modeling to define an “economic” repayment schedule for deposits without contractual maturities (sight deposits, savings accounts, etc.) and to complete the contractual approach by estimating the volume of future early repayments for loans and deposits with a maturity agreed by contract. Group’s use of TLTRO3 operations.

LIQUIDITY GAPS

01/01/2021 to 12/31/2021

01/01/2022 to 12/31/2024

01/01/2025 to 12/31/2028

in billions of euros

85.0

64.2

29.5

Liquidity gap

The projected liquidity position shows a structural liquidity surplus over the analysis horizon, with a clear increase compared to the same measure carried out at the end of 2019.

This change is partly due to the increase in customer deposits, which, although mainly consisting of products without a contractual maturity date, benefit from a medium-term outflow rule.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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