BPCE - Risk Report - Pillar III 2020

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LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

DETAILED QUANTITATIVE DISCLOSURES ON LIQUIDITY RISK

As a median for 2020, total assets in the balance sheet and encumbered collateral received from Groupe BPCE amounted to €424,225 million. The median values by type of transaction are as follows: securities transactions, including in particular securities • lending and repurchase agreements, for a total of €206,492 million; encumbered receivables securing covered bond vehicles • (BPCE SFH, SCF and Natixis Pfandbriefbank), for a total of €108,992 million; encumbered receivables in vehicles other than covered bond • asset pools, such as central bank refinancing or other market vehicles, for a total of €92,849 million; assets encumbered by margin call payments on derivative • positions, for a total of €16,854 million. Groupe BPCE applies a minimum regulatory overcollateralization rate of 105% for BPCE SFH and SCF covered bond vehicles, and 102% for Natixis Pfandbriefbank. As of December 31, 2020, the impact of overcollateralization on the Group’s encumbered assets and collaterals level was €4,462 million, or 1.0% of the encumbered assets and collateral. Centralized collateral management means that institutions without a 3G pool centralize their collateral with the Group’s central institution. This collateral is classified as encumbered by each individual institution, but not by the Group Groupe BPCE considers that the following assets cannot be encumbered in the normal course of its business: loans on demand (€156,325 million on December 31, 2020, • i.e. 15% of unencumbered assets); equity interests, property, plant and equipment and intangible • assets, tax assets (€24,727 million on December 31, 2020, i.e. 2.4% of unencumbered assets).

Template D – Accompanying narrative information Disclosures on encumbered assets refer to the publication of the Ministerial Order of September 4, 2017 in the Official Bulletin (Journal Officiel) of the French Republic. The data used for reporting purposes are median values, calculated over the last four quarters (net carrying amounts and fair values, depending on the column of the reporting table in question), and not as the sum of median values over the fiscal year. The median ratio of encumbered assets in relation to assets in the Group’s balance sheet was 27.4% in 2020, up from 26.0% in 2019. The main differences between i) assets pledged and transferred in accordance with applicable accounting frameworks as applied by the institution and ii) encumbered assets, concern the following transactions: cash posted as collateral, assets placed with central banks, covered bonds and securitizations. The following are classified as encumbered: cash posted as collateral; • assets pledged as collateral for covered bonds; • margin calls paid (cash). • The following are not classified as encumbered: assets transferred to the central bank but not mobilized; • assets underlying treasury operations. • Groupe BPCE’s encumbered assets are mainly related to the capital market activities of Natixis (encumbered securities and shares), covered bond issues (mainly from Groupe CFF and BPCE SFH), and central bank refinancing mechanisms.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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