BPCE - Risk Report - Pillar III 2020

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

Groupe BPCE’s cash balance sheet excluding the SCF contribution highlights the main balance sheet aggregates by identifying, in particular: the financing needs of the business (customer loans, • centralization of the Group’s regulated savings accounts and tangible and intangible assets) for a total of €796 billion on December 31, 2020, up €61 billion year-on-year, mainly due to the increase in outstanding loans (home loans, state-guaranteed loans (SGLs), etc.); the Group’s stable resources, consisting of customer • deposits, medium- and long-term resources, capital and similar, for a total of €934 billion on December 31, 2020, up by €139 billion year-on-year, mainly due to the increase in customer deposits and the use of TLTRO3 operations; the surplus of €138 billion reflects the surplus of customer • resources and medium- and long-term financial resources over the financing needs of the customer activity. It is mainly invested in liquid assets to contribute to the liquidity reserve;

short-term funds, mainly invested in liquid assets (central bank • deposits, interbank assets, debt securities). LIQUIDITY/FUNDING REQUIREMENTS BASEL III LIQUIDITY RATIOS: LIQUIDITY COVERAGE RATIO (LCR) The regulatory 30-day liquidity coverage ratio measures the ratio between the liquidity buffer (High-Quality Liquid Assets or HQLA) and the expected net cash outflows over a period of 30 days. Since January 1, 2018, the minimum requirement has been set at 100%. The Group’s LCR averaged at a monthly rate of 156% for the year 2020, representing a liquidity surplus of €74 billion compared to the levels of 141% and €47 billion respectively a year earlier.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE