BPCE - Risk Report - Pillar III 2020

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

Detailed quantitative disclosures on liquidity 9.6 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 customers collected by Natixis in its brokerage activities and the corresponding central bank deposits; the netting of derivative financial instrument accounts • (including hedging derivatives) and accrued accounts recognized in balance sheet assets under the heading “Other;”

the netting of securities portfolios; repurchase and reverse • repurchase agreements on securities and other financial instruments; and securities debt netted under the heading “Securities;” the transfer to customer deposits of Group debt securities • placed with customers. The resulting cash balance sheet for the scope of Groupe BPCE excluding SCF (Compagnie de Financement Foncier, a société de crédit foncier or SCF, i.e. a French covered bond issuer) is presented opposite.

GROUP EXCLUDING SCF

€ 1,040 bn

€ 1,040 bn

106

17 85 142

213

● Cash with central banks ● Interbank cash and assets

● ST funds ● MLT funds

● Securities Services ● Customer loans (2)

(incl. some capital items) (4)

Surplus of stable resources (1) +€ 138 bn

● Customer savings and deposits

694

● Centralization of regulated passbook savings account deposits

(incl. some capital items) (5)

641

● Other (3) ● Capital (excl. subordinated debt)

● Other items ● Fixed assets

73 20

9

80

12/31/2020

12/31/2020

(1) Stable resources +€138G at 12/31/2020 = (MLT reserouces €213G + customer resources €641G + equity excl. subordinated debt €80G) – (customer loans €694G + centralization of Livrets €73G + Long-term fixed assets €20G + Other €9G). (2) Including Group SPT customer loans financing by SCF. (3) Net accruals and derivatives and SCF reinancing operations: €0 billion liablities for the Group ex SCF. (4) Of which €14 billion excl. accrued interest not yet due of MLT market funding at end-2020 with residual maturity up to one year. (5) Of which €0.2 billion excl. accrued interest not yet due from BPCE senior preferred debt outstanding (with no issue outstanding with a maturity up to one year) and €2.2 billion excl. accrued interest not yet due of BPCE Tier 2 issues outstanding (with no issue outstanding with a maturity up to one year) sold through our networks.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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