BPCE - 2018 Registration document

RISK REPORT Non-compliance, security and operational risks

CEGC OUTSTANDINGS (IN MILLIONS OF EUROS) ➡

Change December 2018 versus December 2017

December 2018

CEGC activities

Individual customers

1,798

8.4% 5.0%

Single-family home builders

21 14 30 15 75 47 10

Property administrators – Realtors

27.3%

Corporates

3.4% 0.0% 7.1%

Real estate developers Professional customers

Social economy – Social housing

11.9%

Run-off activities

100.0%

TOTAL

2,010

8.7%

Market risk CEGC’s investment portfolio totaled around € 2.02 billion on its balance sheet at December 31, 2018, hedging underwriting provisions; representing an increase of +5.50% since the end of 2017. Market risk from the investment portfolio is limited by the company’s investment choices.

The company’s risk limits are set out in the asset management agreement established with Ostrum. By collecting surety Insurance premiums at the time of commitment, CEGC does not require funding. Nor does CEGC carry transformation risk: the investment portfolio is entirely backed by equity and technical reserves.

12/31/2018

Balance sheet value, net of

Balance sheet value, net of provision

provision % breakdown Mark to market

% breakdown Mark to market

Equity exposures

150

7.4%

144

137

7.2%

164

Bonds

1,451

71.8% 5.6% 5.5% 9.0% 0.6% 0.1% 100%

1,547

1,338

69.8% 6.8% 6.5% 8.8% 0.7% 0.2% 100%

1,476

Diversified

113 111 182

112 111 179

131 124 169

137 124 174

Cash

Real estate

FCPR Other

12

19

14

19

2

2

3

2

TOTAL

2,021

2,114

1,915

2,096

6

Reinsurance risk CEGC hedges its liability portfolio by implementing a reinsurance program tailored to its activities. In loan guarantees, reinsurance is used as a tool for regulatory capital management. It protects guarantee beneficiaries in the event of an economic recession leading to a loss of up to 2% of outstanding guaranteed loans. In the Corporate segments, the program is used to protect CEGC’s capital by hedging against high-intensity risks. It has been calibrated

to protect against three individual loss events (loss related to a counterparty or a group of counterparties) with the potential to significantly impact Corporate segment P&L. Any modification of the reinsurance program (reinsurers, pricing, structure) is subject to validation by the Capital and Solvency Management Committee chaired by a director. Reinsurer default risk is governed by counterparty concentration and rating limits. CEGC’s reinsurance programs are underwritten by a broad panel of international reinsurers with a minimum rating of A on the S&P scale.

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Registration document 2018