BPCE_PILLAR_III_2017

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

LIQUIDITY/FUNDING REQUIREMENTS

Basel III liquidity ratios: Liquidity Coverage Ratio (LCR) Groupe BPCE closely monitors the work of the various regulatory authorities in terms of liquidity risk management;in particular by attending consultationsand meetings organized by European authoritiesas well as by French andEuropeanprofessionalorganizations. The one-month LCRwas over 110% for GroupeBPCE at December31, 2017. TABLE 81 – DETAILED LCR AT 12/31/2017 (12-MONTH AVERAGE) ➡

Scope of consolidation (consolidated) Currency and units (in millions of euros)

Total unweighted value

Total weighted value

Date

12/31/2017

12/31/2017

Number of data pointsused in thecalculationof averages

12

12

HIGH-QUALITY LIQUIDASSETS 1

Total high-qualityliquid assets(HQLA)

163,518

CASH OUTFLOWS 2

Retail depositsand deposits from smallcorporatecustomers,of which:

318,873 259,451 59,422 153,020 34,237 96,824 21,959

18,914 12,973

3 4 5 6 7 8 9

Stabledeposits

Less stable deposits

5,941

Unsecuredwholesale funding, o/w:

92,699

Operational deposits (all counterparties) and deposits in networks of cooperative banks

8,089

Non-operationaldeposits (all counterparties)

62,652 21,959 19,850 26,013

Unsecureddebt

Secured wholesale funding Additional requirements,o/w:

10

82,420

Outflows relatedto derivative exposures and other collateral requirements Outflows relatedto loss offundingon debt products

11 12 13 14 15 16

15,730

15,688

0

0

Credit and liquidity facilities

66,690 18,241 67,358

10,325 16,249

Other contractualfundingobligations Other contingentfundingobligations

9,475

9

Total cash outflows

183,200

CASH INFLOWS 17

Secured lending (e.g. reverse repos) Inflows from fully performingexposures

97,544 96,797 30,665

9,914

18 19

23,510 18,611

Other cashinflows

(Differencebetweentotal weightedinflowsand totalweightedoutflows arisingfrom transactions in thirdcountries wherethere are transfer restrictionsor whichare denominated in non-convertible currencies)

EU-19a

0 0

EU-19b (Excess inflows froma relatedspecializedcredit institution)

20

Total cash inflows

225,006

52,035

EU-20a Fully exemptinflows

4,648

0 0

EU-20b Inflows subjectto 90% cap EU-20c Inflows subjectto 75% cap

0

204,967

53,806 Total adjustedvalue

21 22 23

TOTALHQLA

163,518 129,394

TOTALNET CASH OUTFLOWS LIQUIDITY COVERAGE RATIO(%)

127%

179

Risk Report Pillar III 2017