BPCE - 2019 Universal Registration Document

RISK REPORT

CREDIT RISKS

CONCENTRATION OF COLLATERAL VOLUMES BY TYPE OF GUARANTOR: For home loan exposures, most collateral takes the form of mortgages (risk diversified by definition, bank better protected by basing credit approval decisions on customer income), insurance-oriented guarantees such as those provided by CEGC (a subsidiary of Groupe BPCE, subject to regular stress testing), Crédit Logement (providing guarantees to multiple banks subject to the same constraints), FGAS (controlled by the French State, considered equivalent to sovereign risk). The CASDEN guarantee, issued to government employees, currently offers solid resilience according to a model based on the robust income of this particular customer base. For professional customer exposures, the most common guarantees are those provided by the Banque Publique d’investissement (BPI), subject to strict formal constraints, and mortgages. Guarantees provided by institutions such as SOCAMAs, whose solvency depends on the credit institutions of Groupe BPCE, are also used. For corporate customers, the main guarantees used are Banque Publique d’investissement mortgages and guarantees. BY CREDIT DERIVATIVE PROVIDERS: Regulations call for the use of clearing houses for interest rate risk on new exposures, which does not cover counterparty default risk, however (a granular risk). Volumes of collateral provided by clearing houses are gradually on the rise, generating a regulated and supervised risk. Currency risk is hedged for each contract by setting up margin calls at a frequency appropriate to the risk in question: these transactions are secured by using specialist interbank counterparties, subject to individual limits authorized by the Group Credit and Counterparties Committee.

question. Appropriate recommendations are issued to the institutions.

BY GEOGRAPHIC AREA: Groupe BPCE is mainly exposed to France and, via Natixis, to other countries to a lesser extent. As a result, most guarantees are located in France. VALUATION AND MANAGEMENT OF COLLATERAL COMPRISING REAL GUARANTEES Groupe BPCE has an automatic valuation tool for real-estate guarantees available to all its networks. Across the Banque Populaire network, in addition to real guarantees, the valuation tool also takes into account pledges of vehicles, equipment and tools, pleasure craft, and business assets. The Caisse d’Epargne network uses the appraisal tool in all risk segments. At Groupe BPCE, guarantees from Mutual Guarantee Companies recognized as providers of sureties considered equivalent to mortgages by the supervisory body are subject to a credit insurance valuation. An enhanced Group valuation process was established to measure real estate guarantees above certain amounts. The certification obtained by Crédit Foncier Expertise, a subsidiary of BPCE since the decision was made to place CFF under run-off management, strengthens the Group’s synergies. Guarantees other than those referred to above are assessed and validated on the basis of a systematic valuation, either according to market value where the guarantees are quoted on liquid markets ( e.g. listed securities), or based on expert opinion demonstrating the value of the guarantee used to hedge risks ( e.g. the value of recent transactions on aircraft or ships according to their characteristics, the value of commodity holdings, the value of a pledge given on merchandise, or the value of a business based on its location, etc.).

BY BUSINESS SECTOR:

Groupe BPCE has established sector-specific mechanisms to guide the guarantee policy based on the business sector in

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE