BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

AMOUNT OF CEGC REGULATED COMMITMENTS (in millions of euros)

Change December 2020 versus December 2019

CEGC activities

December 2020

Individual customers

2,264

14.2% 46.2%

Single-family home builders

35 16 43 22 86 51

Property administrators – Realtors

1.6%

Corporates

23.7% 25.3% 10.2%

Real estate developers Professional customers

Social economy – Social housing

2.8%

Structured collateral

7

(20.4%) 15.6%

TOTAL

2,524

MARKET RISKS CEGC’s short-term investment portfolio totaled around €3 billion on its balance sheet on December 31, 2020 hedging underwriting provisions. After a sharp fall in the first quarter of 2021, the market value of assets recovered and the amount of unrealized capital gains at December 31, 2020 was €242 million (up €35 million compared with December 31, 2019). Market risk associated with the short-terminvestment portfolio is limited by the company’s investment choices.

The company’s risk limits are set out in the financial management charter and the asset management agreement establishedwith Ostrum. As an insurance company, CEGC does not require funding, since insurance premiums are collected before the disbursement of claims. Nor does CEGC carry transformation risk: the investment portfolio is entirely backed by own funds and technical reserves.

CEGC INVESTMENT PORTFOLIO

12/31/2020

12/31/2019

Balance sheet value, net of provision

Balance sheet value, net of provision

Mark to market

Mark to market

In %

In %

in millions of euros

Equity exposures

272

9.1%

2,324

194

7.7%

213

Bonds

2,126

71.1% 6.6% 5.4% 6.4% 0.6% 0.6% 0.1% 100%

286 204 163 208

1,771

70.2%

1,934

Diversified

197 163 192

159 194 187

6.3% 7.7% 7.4% 0.6%

162 194 202

Cash

6

Real estate

FCPR

18 19

26 19

16

23

Private debt

Other

2

2

2

0.1% 100%

2

TOTAL

2,989

3,231

2,523

2,730

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 cover three major individual loss events (loss related to a counterparty or a group of counterparties) with the potential to significantly impact CEGC’s income statement. Reinsurer default risk is governed by counterparty concentration and rating limits. CEGC’s reinsuranceprograms are underwritten by a broad panel of international reinsurers with a minimum rating of A on the S&P scale.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE