BPCE - Risk Report - Pillar III 2020

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

EU AE1 – ENCUMBERED AND UNENCUMBERED ASSETS

Template A – Encumbered and unencumbered assets

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

o/w: EHQLA and HQLA o/w: EHQLA and HQLA o/w: EHQLA and HQLA o/w: EHQLA and HQLA

010

030

040

050

060

080

090

100

in millions of euros

010 Fair value of encumbered assets 030 Shares and other equity securities

283,847 15,350 75,993

51,027 14,561 36,466

0 0

0 1,029,545

47,179 14,561 32,810

0 0

0 0

0

16,855 36,279

040 Debt securities 050 o/w: covered bonds

74,835

35,417

31,981

11,429

734

391

716

391

1,398 1,456

391

1,349

1,310

060 o/w: asset-backed securities 070 o/w: issued by general governments 080 o/w: issued by financial corporations 090 o/w: issued by non-financial corporations

19,177 40,356 11,835

0

18,958 39,277 11,766

0

0

0

0 0

34,250

33,198

29,964

29,742

18,818

239

240

2,756

239

1,896

1,425 1,896

2,678

1,673

2,684

1,677

0

0 0

9,635

120 Other assets

193,161

0

0

0 831,337

0

0

EU AE2 – COLLATERAL RECEIVED

Template B – Collateral received

Unencumbered

Fair value of collateral received or own debt securities issued available for encumbrance

Fair value of encumbered collateral received or own securities issued

o/w: EHQLA and HQLA

o/w: EHQLA and HQLA

010

030

040

060

in millions of euros

130 140 150 160 170 180 190 200 210 220 230 240

Collateral received by the reporting institution

139,345

96,989

90,822

54,830

9

Loans on demand

0

0

0

0

Shares and other equity securities

37,880 101,417

20,905 75,990

25,934 49,539

5,291

Debt securities

49,539

o/w: covered bonds

1,305 8,357

657

1,803

1,709

o/w: asset-backed securities

0

0

0

o/w: issued by general governments o/w: issued by financial corporations o/w: issued by non-financial corporations Loans and advances other than loans on demand

85,108

74,860

42,217

42,217

5,500 1,176

146 565

952

906

4,154

1,882

0 0

0 0

15,996

0 0

Other collateral received

0

Own debt securities issued other than own covered bonds or asset-backed securities Total assets, collateral received and own debt securities issued

0

0

0 0

0 0

250

424,225

149,038

EU AE3 – SOURCES OF ENCUMBRANCE

Template C – Sources of encumbrance

Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered

Matching liabilities, contingent liabilities or securities lent

010

030

in millions of euros

010

Carrying amount of selected financial liabilities

246,101

252,756

203

RISK REPORT PILLAR III 2020 | GROUPE BPCE