BPCE - 2018 Risk report / Pillar III

11 NON-COMPLIANCE, SECURITY AND OPERATIONAL RISKS Technical Insurance risks

TABLE 87 – CEGC’S OUTSTANDINGS (IN MILLIONS OF EUROS) ➡

Change December 2018 versus December 2017

December 2018

CEGC’s activities

Individualcustomers

1,798

8.4% 5.0%

Single-family homebuilders

21 14 30 15 75 47 10

Property administrators – Realtors

27.3%

Corporates

3.4% 0.0% 7.1%

Real estatedevelopers Professionalcustomers

Social economy – Social housing

11.9% 100.0%

Run-offactivities

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 investmentchoices.

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 portfoliois 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

REINSURANCE RISK CEGC hedges its liability portfolio by implementing a reinsurance program tailoredto its activities. In loan guarantees, reinsurance is used as a tool for regulatory capital management.It protects guaranteebeneficiariesin the event of an economic recession leading to a loss of up to 2% of outstandingguaranteedloans. In the Corporate segments, the program is used to protect CEGC’s capital by hedgingagainst high-intensityrisks. 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 adirector. Reinsurerdefault risk is governedby counterpartyconcentrationand rating limits. CEGC’s reinsurance programs are underwritten by a broad panel of internationalreinsurers with a minimum rating of A on the S&P scale.

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Risk Report Pillar III 2018