BPCE_PILLAR_III_2017

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

TABLE 83 – CEGC’S OUTSTANDINGS (IN MILLIONS OF EUROS) ➡

Change December 2017 versus December 2016

December 2017

CEGC’s activities

Individualcustomers

1,658

16.3% 17.6% 22.2% 38.1% (16.7%) 23.5% (37.5%) 15.7% 7.7%

Single-family homebuilders

20 11 29 15 70 42

Property administrators – Realtors

Corporates

Real estatedevelopers Professionalcustomers

Social economy – Social housing

Run-offactivities

5

TOTAL

1,849

MARKET RISK CEGC held an investment portfolio of about € 1.92 billion on its balance sheet as at December 31, 2017, hedging underwriting provisions,up 13.62%since the end of 2016. In 2017, CEGC set up an investment program in the real estate segment (which has an allocation target of 10%). Market risk from the investment portfolio is limitedby the company’sinvestment choices.

Its risk limits are set forth in the portfolio management mandate established with Natixis Asset Management. By collecting surety insurance premiums at the time of commitment, CEGC does not require funding. Neither does CEGC carry transformation risk: the investment portfolio is entirely backed by equity and technical reserves.

12/31/2017

12/31/2016

Gross balance sheet value, net of provision % breakdown Mark to market

Balance sheet value, net of

provision % breakdown Mark to market

in millions of euros

Equities Bonds

137

7.2%

164

130

7.7%

155

1,338

69.8%

1,476

1,244

73.5%

1,387

Diversified

131 124 169

6.8% 6.5% 8.8% 0.7% 0.2%

137 124 174

111 119

6.6% 7.0% 4.2% 1.0% 0.1%

115 119

Cash

Real estate

63 18

99 22

FCPR Other

14

19

3

2

1

1

TOTAL

1,915

100% 2,096

1,686

100% 1,899

REINSURANCE RISK CEGC hedges its liability portfolio by implementing a reinsurance program tailoredto its activities. In loan guarantees, reinsurance is used as a way to manage regulatory capital by protecting guarantee beneficiariesin the event of an economicrecessionleadingto a loss of up to 2% of outstanding guaranteedloans. In the Corporate segments, the program is used to protect CEGC’s capital by hedging against high-intensityrisks. It has been calibrated

to protect against three individual loss events (loss related to a counterparty or a group of counterparties) which could have a significant impact onthe Corporate segment’s income statement. Any modification of the reinsurance program (reinsurers, pricing, structure) is subject to the validation of the Capital and Solvency Management Committee chaired by adirector. Reinsurer default risk is governed by counterpartyconcentrationand rating limits. CEGC’s reinsurance programs are underwritten by a broad panel of internationalreinsurerswith a minimumrating of A on the S&P scale.

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Risk Report Pillar III 2017