BPCE_REGISTRATION_DOCUMENT_2017

5 FINANCIAL REPORT

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

Fiscal year 2016

From Level 1

Level 2

Level 2

Level 3

To

Level 2

Level 1

Level 3

Level 2

in millions of euros 

FINANCIALASSETS Securities

17 17

429

1 1

Fixed-income securities Variable-income securities

56

373

Derivatives

134 134 135 135 135

315 315

Interest rate derivatives

Financial assetsheld for trading

17

429

315

Other financialassets

Financial assetsdesignated at fairvalue throughprofit or loss

Other securities

312 291

702 699

46 46

207 200

Fixed-income securities Variable-income securities

21

3

7

Available-for-salefinancialassets

312

702

46

207

FINANCIALLIABILITIES Securities

5

2

6

Derivatives

54

41 10 28

Interest rate derivatives

1

Equity derivatives Credit derivatives

53 54

3

Financial liabilitiesheld fortrading

5

2

47

Other financialliabilities

3 3

Financial liabilitiesdesignated at fair value through profitor loss

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. 5.6 Loans and receivablesare non-derivativefinancialassets with fixed or determinablepaymentsthat are not quoted in an activemarket.Most loans originated by the Group are classified in this category. Information about credit risk is provided in Note 7.1. LOANS AND RECEIVABLES

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 “standardized (1) ” variation in unobservable inputs related to ● assumptionsof additional valuation adjustmentsfor fixed income, currency and equity instruments. The resulting sensitivity was € 17 million;

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

404

Registration document 2017