BPCE - Risk Report - Pillar III 2020
9
LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS
DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK
EU LIQ1 – DETAILED LCR – YEAR 2020 Scope of consolidation (consolidated) Currency and unit (in millions of euros)
Total unweighted value
Total weighted value
Date
03/31/2020 06/30/2020 09/30/2020 12/31/2020 03/31/2020 06/30/2020 09/30/2020 12/31/2020
Number of data points used in the calculation of averages
12
12
12
12
12
12
12
12
HIGH-QUALITY LIQUID ASSETS (HQLA) 1
Total high-quality liquid assets (HQLA)
163,974
180,954
192,023
206,456
CASH OUTFLOWS
Retail deposits and deposits from small business customers, o/w:
2 3 4 5 6 7 8 9
337,361 276,984 60,375 168,798 39,446 111,194 18,158
348,816 285,129 62,501 179,912 43,857 117,434 18,622
350,510 283,204 64,831 184,018 46,169 119,489 18,359
364,620 286,132 73,533 188,453 48,734 121,601 18,117
19,367 13,195
19,984 13,602
20,126 13,512
21,252 13,887
Stable deposits
Less stable deposits
6,170
6,380
6,612
7,363
Unsecured wholesale funding, o/w:
94,284
99,799 10,795 70,383 18,622 21,202 24,691
99,275 11,320 69,596 18,359 22,076 26,015
99,681 11,758 69,806 18,117 21,648 27,331
Operational deposits
9,690
Non-operational deposits
66,436 18,158 20,443 24,499
Unsecured debt
Secured wholesale funding Additional requirements, o/w:
0
0
0
0
10
97,547
101,426
106,088
107,829
Outflows related to derivative exposures and other collateral requirements Outflows related to loss of funding on debt products
11 12 13 14 15 16 17 18 19
15,457
16,413
17,554
18,117
12,249
12,208
12,860
13,724
0
0
0
0
0
0
0
0
Credit and liquidity facilities
82,090 21,512 75,953
85,013 22,792 78,672 99,118 68,861 45,240 0
88,534 22,780 83,946 88,333 55,462 45,478 0
89,712 24,471 88,637 75,448 52,341 46,245 0
12,249 19,392
12,483 20,673 10,086 196,436 10,090 27,919 31,102
13,155 20,755 11,123 199,372
13,607 22,678 11,306 203,896
Other contractual funding obligations Other contingent funding obligations
9,499
Total cash outflows
0
187,484 10,476 27,834 29,550
Secured lending ( e.g. reverse repos) Inflows from fully performing exposures
107,948 68,437 44,354
9,903
9,130
25,162 32,065
23,141 33,947
Other cash inflows
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) (Excess inflows from a related specialized credit institution)
EU-19a
0
0
0
0
0
0
0
0
EU-19b
0
0
0
0
0
0
0
0
20
Total cash inflows
220,739
213,220
189,274
174,033
67,861
69,111
67,130
66,219
EU-20a Fully exempt inflows EU-20b Inflows subject to 90% cap EU-20c Inflows subject to 75% cap
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
196,152
192,859
171,179
163,638
71,700
73,368
71,483
71,654 TOTAL ADJUSTED VALUE
21 22 23
TOTAL HQLA
163,974 115,784
180,954 123,068
192,022 127,889
206,455 132,242
TOTAL NET CASH OUTFLOWS LIQUIDITY COVERAGE RATIO (%)
142% 147% 150% 156%
After taking regulatory haircuts into account, the Group’s liquid assets amounted to €206 billion and consist largely of central bank deposits and sovereign securities. Gross cash outflows amounted to €204 billion and have been growing steadily since the end of last year in line with the increase in deposits of both Retail and Wholesale customers. On the other hand, gross cash inflows amounted to €72 billion, a very slight increase of €3 billion compared to the previous
year. On a net basis, cash outflows amounted to €132 billion, up €17 billion compared to 2019. The stock of liquid assets is managed in such a way as to retain a sufficient amount of excess liquidity to cover any volatility in the LCR ratio and also to protect the Group against a short-term liquidity crisis that could result in the Group’s inability to renew all or part of its short-term issues. In such a situation, the excess liquidity will be absorbed first, without affecting the Group’s core activities.
202
RISK REPORT PILLAR III 2020 | GROUPE BPCE
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