BPCE - Risk Report - Pillar III 2020

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

MANAGEMENT OF STRUCTURAL INTEREST RATE RISK

BPCE46 – Interest rate gap

01/01/2021 to 12/31/2021

1/1/2022 to 12/31/2024

1/1/2025 to 12/31/2028

in billions of euros

Interest rate gap (fixed-rate)*

(19.9)

3.5

(6.4)

The indicator takes into account all asset and liability positions and floating-rate positions until the next interest rate reset date. *

SENSITIVITY INDICATORS The sensitivity of the net present value of the Group’s balance sheet to a +/-200 bp variation in interest rates remained significantly lower than the 20% regulatory limit. On December 31, 2020, Groupe BPCE’s sensitivity to interest rate rises stood at -5.3% versus -5.7% on December 31, 2019. This measure is closely correlated with the measurement of interest rate gaps detailed above. The analysis of the change in the Group’s projected one-year net interest income according to four interest rate development scenarios compared to the central scenario (interest rate increase, interest rate decrease, steepening of the curve, flattening of the curve) indicates exposure to falling interest rates. Unlike the static approach used in the measurement of interest rate gaps or the sensitivity of the Group’s net present balance sheet value, the sensitivity of the projected net interest income is based on a dynamic approach that incorporates the outlook of new business outlook, in particular the production of loans and changes in customer deposits. Under this approach, future revenues depend in part on the rate of replacement of available liquidity via either new loans or financial investments. As of September 30, 2020, the decrease in interest rates scenario would have a negative impact of €41 million on the projected net interest margin from year to year.

FINANCIAL INSTRUMENTS SUBJECT TO THE INDEX REFORM

The table below presents the financial instruments for each index that must transition within the framework of the index reform. The data presented in the table were taken from the management data bases at September 30, 2020, after the removal of internal Groupe BPCE transactions, and cover financial instruments whose maturity extends beyond December 31, 2021 (excluding EURIBOR), taking into account the following conventions: financial assets and liabilities excluding derivatives are • presented based on their nominal amount (past due principal), excluding provisions; pension transactions are broken down by EONIA, EURIBOR • and LIBOR before any accounting offsets; derivatives are presented based on their notional amount at • September 30, 2020; for derivatives with a receiving and a paying leg exposed to a • reference rate, both legs were reported in the table below to accurately reflect Groupe BPCE’s exposure to the reference rate for those two legs.

BPCE 47 – OUTSTANDING AMOUNTS OF FINANCIAL INSTRUMENTS SUBJECT TO THE INDEX REFORM

Financial assets

Financial liabilities

Derivates (notional)

in millions of euros

EONIA

1,134

2,025

128,652

EURIBOR

97,159 16,175

27,041

2,139,925

LIBOR - USD LIBOR – GDP

4,182

771,130 35,987 126,948

740

229 589

LIBOR – OTHERS

1,577

TOTAL

116,784

34,067

3,202,642

198

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com