BPCE_REGISTRATION_DOCUMENT_2017

5 FINANCIAL REPORT

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

When there is a significant drop in trading in a given market, a valuation model is used based on the only available relevant data. In accordance with the Ministerial Order of February 20, 2007, as amended by the Order of November 23, 2011 on lending institutions and investment companies and pursuant to the European regulation of June 26, 2013 (CRR) on the Basel III requirements,for each of the models used, a descriptionof crisis simulationsapplied is provided in Chapter3, “RiskManagement.” Under IAS 39, day-one profit should be recognized only if it is generated by a change in the factors that market participantswould considerin setting a price, i.e. only if the model and parametersinput into thevaluationare observable. If the selected valuation model is not recognized by current market practices, or if one of the inputs significantly affecting the instrument's valuation is not observable, the trading profit on the

trade date cannot be recognized immediately in the income statement.It is taken to income on a straight-linebasis over the life of the transaction or until the date the inputs become observable. Any losses incurred at the trade date are immediatelyrecognized in income. At December 31, 2017, instruments for which the recognition of day-one profit/loss has been deferred mainly included: multi-underlyingstructured equity and index products; ● synthetic loans; ● options onfunds (multi-assetsand mutual funds); ● structured fixed income products; ● securitization swaps. ● These instrumentsare almost alllocated at Natixis.

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Registration document 2017