BPCE_PILLAR_III_2017

9 LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Detailed quantitative disclosures on liquidity risk

Detailed quantitative disclosures on 9.6 liquidity risk

The detailed quantitative information on liquidity risk presented in the following tables expand on the Pillar

III information contained in the

previous section.

Groupe BPCE cash balance sheet The cash balance sheet provides an analysis of the Group’s balance sheet from a liquidity standpoint. Starting with the Group’s accounting balance sheet, the following main restatements are carried out: the transition from the Group’s consolidated accounting balance ● sheet to a regulatory balance sheet by accounting for the Group’s insurance entities using the equity method; the withdrawal of the short-term deposits of certain financial ● sector customerscollectedby Natixis in its brokerageactivitiesand the correspondingcentralbank deposits; the netting of derivative financial instrument accounts (including ● hedging derivatives) and accrued accounts recognized in balance sheet assets under theheading“other”; the netting of securities portfolios; repurchase and reverse ● repurchase agreements on securities and other financial instruments; and securities debt netted under the “securities” heading; the transfer to customer deposits of Group debt securities placed ● with customers. The resulting cash balance sheet for the Group scope excludingSCF (1) is presented opposite. Groupe BPCE’s cash balance sheet excluding the SCF contribution highlights the main balance sheet aggregates by identifying, in particular: the funding requirements of the business (customer loans, ● centralizationof regulated passbook savings account deposits, and tangible and intangible fixed assets) for a total of € 662 billion at December31, 2017; stable funds composed of customer deposits, medium- and ● long-term funds and equity and similar items, for a total of € 740 billion; surplus of € 78 billion reflectingsurplus customer funds and, in the ● medium and long term, the funding requirements of the retail business line which is mainly invested in liquid assets to contribute to the liquidity pool; short-term funds, mainly invested in liquid assets (central bank ● deposits, interbank assets, debt securities).

ASSETS €841 bn

LIABILITIES €841 bn

Group excluding SCF

80 21 78

101

134

Surplus stable funds (1) + €78 bn

579

535

18 65

70 1

12/31/2017

12/31/2016

Securities Interbank and cash assets Cash with central banks

MLT Funds (incl. some capital items) (4) ST Funds Customer savings and deposit (incl. some capital items) (5) Other (3) Capital (excl. subordinated debt)

Centralization of regulated passbook savings account deposits Customer Ioans (2) Other Fixed assets

(1)

Balance of stable funds: +€78bn at 12/31/2017 = (MLT funds, €134bn + Customer savings and deposits, €535bn + Capital (excluding subordinated debt), €70bn + Other, €1bn) - (Customer loans, €579bn + Centralization of regulated passbook savings account deposits, €65bn + Fixed assets, €18bn). Including funding of loans to local and regional authorities customers of Groupe BPCE by SCF. Net position of accrual accounts, derivatives and refinancing operations with SCF: €1bn in liabilities for the Group excluding SCF. o/w €17 billion at end-2017 with a residual maturity date of one year or less. o/w €9.9bn in deposits and savings, excluding accrued interest not yet due on senior preferred debt (incl. €4bn with a maturity of one year or less) and €2.8bn in Tier 2 issues (incl. €0.1bn with a maturity of one year or less), sold on our networks.

(2)

(3)

(4) (5)

Excluding SCF (Compagnie de Financement Foncier, the Group’s société de crédit foncier, a French covered bond issuer) due to the nature of the company’s activity. (1)

178

Risk Report Pillar III 2017