BPCE - Risk Report - Pillar III 2020

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

QUANTITATIVE DISCLOSURES

Funding strategy and conditions in 2020

One of the Group’s priorities in terms of medium- and long-term funding in the financial markets is to ensure that sources of funding are properly diversified, in terms of types of investors, types of debt instruments, countries and currencies. Another priority is extending the average maturity of its liabilities to help strengthen Groupe BPCE’s financial structure. Under the 2020 wholesale MLT funding plan, Groupe BPCE raised a total of €23.3 billion in the bond market, of which €18.7 billion excluding structured private placements; public issues made up 70% of this amount and private placements 30%. In addition, the Group raised €1.95 billion in ABS in the financial market.

In 2020, the amount raised in the unsecured bond segment, excluding structured private placements, was €9.9 billion, of which €4.1 billion in the form of senior non-preferred and €5.8 billion in the form of senior preferred. In addition, €4.6 billion were raised in structured private placements. In the covered bond segment excluding ABS, the amount raised was €8.8 billion in covered bonds. In addition, €1.95 billion was raised in the form of ABS (mainly RMBS backed by residential real estate loans granted by the Banque Populaire and Caisse d’Epargne networks). The unsecured bond segment (senior non-preferred + senior preferred) accounted for 58% of funding raised, and the covered bond segment 42% (35% covered bonds and 8% ABS). The breakdown by currency of unsecured issues is a good indicator of the diversification of the Group’s medium- and long-term funding sources. In all, 42% were issued in currencies other than the euro in 2020; the four largest currencies were USD (26%), AUD (6%), JPY (5%), and GBP (3%). The breakdown of these 2020 bond issues by currency is as follows:

UNSECURED BOND SEGMENT: €14.6BN

Senior Non-Preferred € 4.1 bn

Senior Preferred public issues € 4.6 bn

DIVERSIFICATION OF INVESTOR BASE

3 % 1 %

5 %

Senior Preferred vanilla private placements € 1.2 bn

6 %

Structured private placements € 4.6 bn

42 % in currencies other than the euro

● EUR ● USD ● AUD ● JPY ● GBP ● Other

58 %

26 %

COVERED BOND SEGMENT: €10.7BN

9

Compagnie de Financement Foncier € 3 bn

The average maturity at issuance (including ABS) for Groupe BPCE as a whole was 7.4 years in 2020, compared with an average maturity of 7.4 years in 2019. The vast majority of medium- and long-term funding raised in 2020 was at a fixed rate, as in previous years. In general, fixed rate is swapped into floating rate in accordance with the Group’s interest rate risk management policy

BPCE SFH € 5.7 bn

ABS € 1.95 bn

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RISK REPORT PILLAR III 2020 | GROUPE BPCE