BPCE_REGISTRATION_DOCUMENT_2017

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

The amountsof transfers indicated in this statement are thoseof the last valuation preceding the transfer.

Fiscal year 2016

From Level 1

Level 1

Level 2

Level 2

Level 3

Level 3

To

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

in millions of euros

FINANCIALASSETS Securities

17 17

429

1 1

Fixed-income securities Variable-income securities

56

373

Derivatives

134 134 135 135

315 315 315

Interest rate derivatives

Financial assetsheld for trading

17

429

Other financialassets

Financial assetsdesignated at fairvalue through profitor loss

135

Investments in associates

2

Other securities

326 302

2

705 699

66 54 12

210 200

Fixed-income securities Variable-income securities

24

2

6

10

Other financialassets Available-for-salefinancialassets

326

2

705

68

210

FINANCIALLIABILITIES Securities

5

2

6

Derivatives

54

39

5

Interest rate derivatives

1

8

Equity derivatives Credit derivatives

28

53 54

3

Financial liabilitiesheld fortrading

5

2

45

Other financialliabilities

3

Financial liabilitiesdesignated at fair value through profitor loss

3

currency and equity instruments. The resulting sensitivity was € 17 million; a flat rate of +/-50 basis points applied to the margin used to ● discount the expected flows of Trups CDOs; i.e. the sensitivityimpact would result in an improvementin value of € 10 million, should the inputs mentioned above improve, or a decrease invalue of € 9 million if the same inputs deteriorate.

5.5.4

Sensitivity of Level 3 assets and liabilities to changes

in the principal assumptions At December 31, 2017, Natixis calculated the sensitivity of the fair value of financial instruments measured using unobservable inputs. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in uncertain economic environments. This estimatewas performed using: a “standardize (1) ” variation in unobservable inputs related to ● assumptionsof additional valuation adjustmentsfor fixed income,

i.e. the standard deviation of consensus prices used to measure the inputs. (1)

283

Registration document 2017