BPCE_REGISTRATION_DOCUMENT_2017

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

Financialliabilitiesaccountedfor under the fair value option, excludingNatixis, mainly consist of structureddebt issues and structureddeposits containing embeddedderivatives( e.g. structuredmedium-termnotes and equitiesfor personal savingsplans).

Financial liabilities designated at fair

value through profit or loss

Accounting mismatches

Fair value measurement

Embedded derivatives

in millionsof euros

Interbankterm accounts and loans Customer termaccountsand loans

107

71

178

9

9

Debt securities

16,488

6,202

22,690

Subordinated debt

103

103

Repurchase agreementsand otherfinancial liabilities

4,449

33,869 33,869

38,318 61,298

TOTAL

21,044

6,385

Some liabilitiesissued and recognizedat fair value throughprofit or loss are coveredby a guarantee.The effect of this guaranteeis incorporated into thefair valueof the liabilities. Financial liabilities designated at fair value through profit or loss and credit risk

12/31/2017

12/31/2016

Contractual amount due at maturity

Contractual amount due at maturity

Fair value

Difference

Fair value

Difference

in millions of euros

Interbank term accounts and loans Customer termaccountsand loans

178

161

17 (1)

216

194

22

9

10

2

2

Debt securities

22,690

22,217

473 20,959

20,642

317

5

Subordinated debt

103

100

3

95

100

(5) 76

Repurchase agreements

38,318 61,298

38,250 60,738

68 37,446 560 58,718

37,370 58,308

TOTAL

410

revaluations in respect of own credit risk totaled € 116 million at December31, 2016 (see Notes2.2 and 4.1.3). 5.2.3 The notional amounts of derivative instruments are merely an indication of the volume of the Group’s business in financial instruments,and do not reflect the market risks associatedwith such instruments. Positive or negative fair values represent the replacement value of these instruments. These values may vary significantly depending on changes inmarketparameters. Trading derivatives

The amount contractually due on loans at maturity includes the outstanding amount of the principal at the balance sheet date plus the accrued interest not yet due. In the case of securities, the redemption valueis generally used. Revaluationsattributableto own credit risk (valuation of own credit risk) amounted to € 314 million at December 31, 2017. Under the early adoption of the amendmentto IFRS 9 on own credit risk from January 1, 2016, the change is now recognized in non-recyclable gains and losses recognized directly in OCI. As a reminder,

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Registration document 2017