BPCE - Risk Report - Pillar III 2020

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

QUANTITATIVE DISCLOSURES

Customer loan-to-deposit ratio

The Group’s customer loan/deposit ratio (1) was 120% on December 31, 2020 ( versus 124% on December 31, 2019).

BPCE45 – SOURCES AND USES OF FUNDS BY MATURITY

From 1 month to 3 months

From 3 months to 1 year

From 1 year to 5 years

Less than 1 month

More than 5 years

No fixed maturity 30,845 196,260

Total on 12/31/2020

in millions of euros

Cash and amounts due from central banks Financial assets at fair value through profit or loss Financial assets at fair value through other comprehensive income

122,495

62

153,403 196,260

1,459

1,835

8,380

16,520

16,668

4,768 9,608 2,826

49,630

Hedging derivatives

9,608

Securities at amortized cost

1,469

481

2,648

7,754

11,555

26,732

Loans and receivables due from banks and similar at amortized cost Loans and receivables due from customers at amortized cost Revaluation differences on interest rate risk-hedged portfolios

77,883 44,091

7,120

2,215

384

878

1,537 8,427

90,018 746,809

20,730

86,714

233,156

353,691

8,941

8,941

Financial assets by maturity

247,397

30,228

99,957

257,814

382,792

263,212 1,281,400

Central banks Financial liabilities at fair value through profit or loss

9,076

38

313

2,142

12,716

167,087 15,262

191,371 15,262 228,201 138,416 630,837 16,375

Hedging derivatives

Debt securities

24,297 27,936 510,003

25,217

37,405 38,575 20,564

74,909 50,743 63,302

58,599

7,774 4,278

Amounts due to banks and similar

7,700

9,184 9,464 7,403

Amounts due to customers

14,172

13,333

Subordinated debt

1,055

14

6

6,496

1,402

Revaluation difference on interest rate risk-hedged portfolios Financial liabilities by maturity Loan commitments given to banks Loan commitments given to customers TOTAL LOAN COMMITMENTS GIVEN Guarantee commitments given to banks Guarantee commitments given to customers TOTAL GUARANTEE COMMITMENTS GIVEN

243

243

572,366

47,140

96,864

197,592

97,365

209,377 1,220,705

177

19

160

493

145

994

33,168 33,345

6,829 6,848

26,125 26,284

51,024 51,517

19,809 19,955

5,837 5,837 1,412 4,547 5,959

142,792 143,786

845

243

818

315

4,020 7,234

7,653

4,129 4,974

4,638 4,881

8,496 9,314

6,424 6,739

35,468 43,121

11,254

Financial instruments marked to market on the income statement and held in the trading book, variable-income available-for-sale financial assets, non-performing loans, hedging derivatives and revaluation differences on interest rate risk-hedged portfolios are placed in the “No fixed maturity” column. These financial instruments are: either held for sale or redeemed prior to their contractual • maturity; or held for sale or redeemed at an indeterminable date • (particularly where they have no contractual maturity);

or measured on the balance sheet for an amount impacted by • revaluation effects. Accrued interest not yet due is shown in the “Less than 1 month” column. The amounts shown are contractual amounts excluding projected interest. Technical provisions of insurance companies, which, for the most part are equivalent to demand deposits, are not shown in the Table above.

(1) Excluding SCF (Compagnie de Financement Foncier, the Group’s société de crédit foncier, a French covered bond issuer).

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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