BPCE_REGISTRATION_DOCUMENT_2017

5 FINANCIAL REPORT

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

Financial assets designated at fair value

Accounting mismatches

Fair value measurement

Embedded derivatives

in millionsof euros

Fixed-incomesecurities

968

104

1,554

2,626

Equities andother variable-incomesecurities

14,836

2,012

16,848 43,063 62,537

Loans and repurchaseagreements

5,953

34,532 36,648

2,578 4,132

TOTAL

21,757

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.

The Group did not purchase protection to hedge against credit risk associated with loans and receivables designated at fair value throughprofit or loss at December31, 2016 and December 31, 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

12/31/2017

12/31/2016

in millionsof euros

Securitiessold short Other financialliabilities

26,093

23,151

57

349

Financial liabilitiesheld fortrading

26,150 51,050

23,500 54,272

Trading derivatives*

Interbankterm accounts and loans Customer termaccountsand loans

178

216

9

2

Debt securities

22,690

20,959

Subordinated debt

103

95

Repurchase agreements* Other financialliabilities

34,966

35,945

3,352

1,501

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

61,298 138,498

58,718 136,490

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

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 financialliabilitiesdesignatedat fair value through profit 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 BPCE SA group 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 designated 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.

396

Registration document 2017