BPCE_REGISTRATION_DOCUMENT_2017

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

The table below provides the mainunobservableinputs and thevalue rangesfor these instruments:

Main types of products comprising Level 3 within the instrument class

Unobservable data ranges among relevant Level 3 products

Class of instrument

Valuation techniques used

Main unobservable data

Technique for estimating defaults given the correlation effect and recoverymodeling Extrapolation from pricesbased on recoveryassumptions Discounted expected cash flows based onearlyredemption assumptionsonthe underlying portfolio Interestrate options valuation models Model representing severalyield curvefactors Bivariate standard model to measurethe time value of Spread Lockoptionsand replication for CMS andTECForwards

Correlation curve specific to the portfoliounderlying the CDO

CDOs,Indextranche

5%– 95%*

Private Finance InitiativeCDS (other than CDS onsecuritization assets)

Credit derivatives

Recovery rate

60%– 100%

Securitization swaps

Early redemption rate

2%– 17%

StickyCMS/Volatility Bonds

Mean reversion inputs

1%– 5%

CallableSpreadOptions and Corridor Callable Spread Options

Meanreversionspread

0%– 30%

SpreadLock: -2.288 bp,+29.94bp TECvolatility: 50bp/70bp TEC-CMScorrelation 70%/95%

SpreadLockSwapand SpreadLock Option

SpreadLockcurve,TECForward volatility and TEC-CMS correlation Interestrate vol.for currencies absentfrom Totem or long maturities Interestrate vol.for current pairs absentfrom Totem or long maturities

Interestrate vol.: 4.69% to 101.36%

Interestrate derivatives

Volatility cap/floor

Black& Scholes model

Europeanbarriercall option,Asian call option,Vanilladigitalcall option, European call option

SkewModel,Local volatility model,Black& Scholesmodel, Syntheticmodelingof underlying generalbasket(with repoto estimate) and actuarial valuation for TRSor usinga standard equity/interest rate hybridmodel for the TRSauto call

ATMvol.:0.84% to 22.25%

TRSandreposindexed to a basket of generalequities

5

Currencyderivatives

Repo curveof generalbaskets General collateral repo: -0.84%/+0.5%

EUR/CHFcorrelation:36.7%; 40.9% Long-term volatility: 9% – 16% USD/CHF correlation: -69.10%; -78.80%

Stripsof long-termoptions,Stripsof quanto options, Strips ofdigital options

Black & Scholes model

Currency/currency correlation USDCHF& EURCHF long-term volatility

Optionsspreadand Digital options spread

Helvetix derivatives

Gaussian copula

Long-term volatility: 9% – 15%

Theapproach used is a hybrid modelthat combines the local volatility-typemulti-underlying equitymodelwith a one-factor Heath-Jarrow-Morton (HJM1F) interestrate model

Fundcorrelation – Interest rates: -40%to 25%

Payoffs asTargetVolatilitystrategyand CPPI on MutualFunds

Fund-based derivatives

Funddata 

Correlationbetween currency and interestrates and long-term volatility levels Correlation inputs (equity-forex, equity-interest rates, interest rates-forex)

Hybridinterest rate/currency derivatives

Long-termPRDC/PRDKO/TARN structures

Hybridcurrency/interest rate optionsvaluation model

AUD/JPYand USD/JPY correlation: 15%– 50%

EQ/FX= 20%, 50% EQ/IR= 30%, 50% FX/IR=20%, 30%

Long-dated callable range accrual notes (15Y) onseveralassetclasses (equity+forex+interest rates)

Hybridmodels coupled with equity, forex and interest rate diffusion

Hybridequity/interest rate/forexderivatives

Interestrate/Creditcorrelation: -13%, 3% Creditvol:Structureby term ([2Y, 200%],[5Y, 60%],[10Y, 50%]

Long-dated interest rate and credit callable range accrual notes (15Y) (default event)

Hybridmodels coupled with interestrate diffusion and credit diffusion Volatility options valuation model incorporating correlationbetween assets

Hybridinterest rate/credit derivatives

Correlation inputs(interest rate-credit and volatility-credit)

Equity derivatives

Long maturity multi-underlying payoffs

Correlation inputs Stock/stock correlation: 18.4 to 92.13

All transactions including this type of dataare fullyback-to-back; this inputjustifyingthe Level 3classification is entirely hedged. *

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Registration document 2017