Société Générale / Risk Report - Pillar III

11 LIQUIDITY RISK

REGULATORY RATIOS

TABLE 107: LIQUIDITY COVERAGE RATIO (EU-LIQ1) The liquidity coverage ratio is calculated as the simple averages of month-end observations over the twelve months preceding the end of each quarter.

Prudential Group (In EURm)

Total unweighted value (in average)

Total weighted value (in average)

Quarter ending on

31.03.2019 30.06.2019 30.09.2019 31.12.2019 31.03.2019 30.06.2019 30.09.2019 31.12.2019

High-quality liquid assets Total high-quality liquid assets (HQLA) Cash-outflows Retail deposits and deposits from small business customers, of which:

148,744 153,728 156,563 160,082

193,947 196,042 198,054 198,999 120,794 121,875 122,776 122,704

14,926

15,119

15,313

15,455

Stable deposits

6,040 8,867

6,094 9,007

6,139 9,157

6,135 9,303

Less stable deposits

73,134

74,149

75,261

76,278

Unsecured wholesale funding

222,510 226,462 229,657 231,132 107,139 109,442 111,849 113,796

Operational deposits (all counterparties) and deposits in networks of cooperative banks

65,061

64,879

63,727

61,853

15,727

15,688

15,417

14,970

Non-operational deposits (all counterparties)

149,173 152,649 155,243 157,216

83,136

84,820

85,745 10,686 83,025

86,762 12,064 81,946

Unsecured debt

8,275

8,934

10,686

12,064

8,275

8,934

Secured wholesale funding

-

-

-

-

85,753

83,916

Additional requirements

170,886 172,710 175,618 177,660

65,161

66,245

67,870

68,528

Outflows related to derivative exposures and other collateral requirements Material outflows due to deterioration of own credit quality

42,480

42,879

44,065

44,580

40,493

41,209

42,395

42,598

5,737

6,012

6,232

6,375

5,737

6,012

6,232

6,375

Credit and liquidity facilities

122,669 123,820 125,320 126,704

18,931 80,578

19,024 74,059

19,242 73,567

19,555 69,969

Other contractual funding obligations

80,578 44,292

74,059 44,468

73,567 45,510

69,969 44,518

Other contingent funding obligations

546

586

528

493

TOTAL CASH OUTFLOWS

354,102 349,368 352,152 350,188

Cash-inflows Secured lending (eg reverse repos)

285,963 287,391 294,469 291,878

96,759

95,678

96,593

94,588

Inflows from fully performing exposures

40,409

39,174

38,712

38,505

32,591

31,511

31,061

30,890

Other cash inflows

110,922 107,322 108,836 106,705 109,092 105,558 107,113 105,041

(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 specialised credit institution)

-

-

-

-

-

-

-

-

-

-

-

-

TOTAL CASH INFLOWS Inflows Subject to 75% Cap

437,294 433,887 442,018 437,088 238,441 232,748 234,767 230,519 353,589 353,526 364,297 361,908 238,379 232,685 234,767 230,519

LIQUIDITY BUFFER

148,744 153,728 156,563 160,082 115,661 116,620 117,385 119,669

TOTAL NET CASH OUTFLOWS

LIQUIDITY COVERAGE RATIO (%)

129% 132% 134% 134%

203

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