BPCE_REGISTRATION_DOCUMENT_2017

5 FINANCIAL REPORT

IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2017

Financial assets designated at fair value

Accounting mismatches

Fair value measurement

Embedded derivatives

in millionsof euros

Fixed-incomesecurities

986

137

1,562

2,685

Equities andother variable-incomesecurities

15,093

4,498

19,591 42,828 65,104

Loans and repurchaseagreements

7,299

32,951 37,586

2,578 4,140

TOTAL

23,378

The Group did not purchase protection to hedge against credit risk associated with loans and receivables classified as fair value instruments through profit or loss at December 31, 2016 and December31, 2017. 5.2.2 Financial liabilities in the trading book include liabilities arising from short-selling transactions, repurchase agreements and derivative instruments. Financial liabilities at fair value through profit or loss

Loans and receivables designated at fair value through profit or loss and credit risk Exposure to credit risk can represent a significant share of the fair value of loans and receivablesdesignatedat fair value through profit or loss shown on the balance sheet. When protectionis purchasedon the implementationof such loans, the fair value of the related credit derivativesis shown.

12/31/2017

12/31/2016

in millionsof euros

Securitiessold short Other financialliabilities

26,948

23,834

42

329

Financial liabilitiesheld fortrading

26,990 47,670

24,163 50,707

Trading derivatives (1)

Interbankterm accounts and loans Customer termaccountsand loans

93 11

19

3

Debt securities

22,695

20,964

Subordinated debt

103

95

Repurchase agreements (1) Other financialliabilities

34,965

35,944

3,390

1,541

Financial liabilitiesdesignated at fair value through profitor loss TOTALFINANCIALLIABILITIES ATFAIR VALUE THROUGH PROFIT OR LOSS

61,257 135,917

58,566 133,436

This informationis presentedin considerationof nettingeffects, in accordancewith IAS 32(see Note 5.24). (1)

These liabilities are recorded at fair value on the reporting date with changes in value, including coupon, in the “Net gains or losses on financial instrumentsat fair value through profit or loss” line on the income statement, with the exception of changes in fair value attributable to own credit risk associated with financial liabilities designated at fair value through profit or loss, which are recognized in “Revaluationof own credit risk on financial liabilities at fair value throughprofit or loss” within other comprehensiveincome due to the early application of this component of IFRS 9. Financial liabilities at fair value through profit or loss held by the insurance companies controlled by Groupe BPCE amounted to € 2,176 million at December 31, 2017 and € 466 million at December31, 2016. Conditions for designating financial liabilities at fair value through profit or loss Financial liabilities are designatedat fair value through profit or loss when this choice provides more pertinent information or when the instruments incorporate one or more significant and separable embeddedderivatives(see Note4.1.4). The use of the fair value option is considered to provide more pertinent information in two situations:

where there is an accounting mismatch between economically ● linked assets and liabilities. In particular, the fair value option is used when hedge accountingconditionsare not met: in such cases, changes in the fair value of the hedged item automaticallyoffset changes inthe fair valueof the economichedgingderivative; where a portfolio of financial assets and liabilities is managed and ● recognizedat fair value as part of a documentedasset and liability managementpolicy. At Group level, financial liabilities measured at fair value through profit or loss are mostly held by Natixis. They mainly comprise long-term structured repos indexed to a basket of equities whose risks are managedgloballyand dynamically,and issues originatedand structured for customers whose risks and hedges are managed collectively.These issues include significantembeddedderivativesfor which changes in value are neutralized by those of the derivative instruments hedging them. Financial liabilities accounted for under the fair value option, excluding Natixis, mainly consist of structured debt issues and structured deposits containing embedded derivatives (e.g. structured medium-termnotes and equities for personal savings plans).

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Registration document 2017