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
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