BPCE - 2018 Registration document

5 FINANCIAL REPORT

IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2018

The table below provides the main unobservable inputs and the value ranges for these instruments:

Instrument class

Main types of products comprising Level 3 within the instrument class

Unobservable data ranges among relevant Level 3 products

Valuation techniques used

Main unobservable data

The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data Discounted expected cash flows based on early redemption assumptions on the underlying portfolio Model representing several yield curve factors Bivariate standard model to measure the time value of Spread Lock options and replication for CMS and TEC Forwards Skew model, Local volatility model, Black & Scholes Synthetic modeling of the underlying general collateral basket (with an estimated repo) and actuarial valuation for TRS or with a standard hybrid Equity/Fixed Income model for TRS autocall Black & Scholes model

Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

Credit derivatives

CDO

50% – 100%

Securitization swaps

Early redemption rate Mean reversion inputs

[2% – 28%]

Sticky CMS/Volatility Bonds Interest rate options valuation models

[0%; 5%]

Callable Spread Options and Corridor Callable Spread Options

Mean reversion spread

[0%; 30%]

Spread Lock: [+11.65bp, +11.93bp] TEC vol. =[17bp, 74bp] TEC-CMS correl. = [50%, 90%]

Spread-Lock Swaps and Spread-Lock Options

Spread Lock curve, TEC Forward Volatility and TEC/CMS correlation Interest rate vol. for currencies absent from Totem or long maturities

Interest rate derivatives

Volatility caps/floors

Interest rate vol.: 4% to 100%

European barrier call options, Asian call options, Vanilla digital call options, European vanilla call options

Currency derivatives

Currency vol. for current pairs absent from Totem or long maturities

ATM vol.: [1.04% to 20.62%]

Repos and general collateral TRS

TRS and repos indexed to a basket of general equities

Repo curve of general baskets General collateral repo: [-0.78 to +1.5]

EUR/CHF correlation: [47%; 51%] USD/CHF correlation: [-74%; 71%] EUR/CHF long-term volatility: [8.5%, 10%] USD/CHF long-term volatility: [9.5%; 12%] EUR/USD long-term volatility: [9.5%; 12%]

Strip of long-term options, Strip of quanto options, Strip of digital options Options spread and digital options spread

Forex/forex correlation Long-term USD/CHF & EUR/CHF volatility

Black & Scholes model Gaussian copula

Helvetix derivatives

The approach used is a hybrid model that combines the local volatility-type multi-underlying equity model with a one-factor Heath-Jarrow-Morton (HJM1F) interest rate model

Fund-based derivatives Hybrid interest rate/currency derivatives Hybrid equity/fixed income/forex (FX) derivatives

Payoffs as Target Volatility strategy and CPPI on mutual funds

Fund correlation – Interest rates: [-39% to 30%]

Fund data

AUD/JPY and USD/JPY correlation: [15% to 50%] Long-term volatility: [8.74% to 15.45%] Equity/USD/EUR correlation: [-8%, 50.7%] Equity/Fixed-income correlation: [5%, 47%] USD/EUR/IR correlation: [24%; 28%] - Fixed income/Credit correlation: [-20%] - Credit vol.: Structured by maturity ([2Y: [20%; 75%], 5Y: [20%; 60%], 10Y: [20%; 33%])

Correlation between foreign exchange rates and interest rates as well as long-term volatility levels

Hybrid currency/interest rate options valuation model

Long-term PRDC/PRDKO/TARN

Long-dated callable range accrual notes (15Y) on several asset classes (equity+forex+interest rates)

Hybrid models coupled with equity, forex and interest rate diffusion

Correlation inputs (equity-forex, equity-interest rates, interest rates-forex)

Hybrid fixed income/credit derivatives

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

Hybrid models coupled with interest rate diffusion and credit diffusion

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

Volatility options valuation model incorporating correlation between assets

Equity derivatives Long maturity multi-underlying payoffs

Correlation inputs Stock/stock correlation: [5.2 to 93.17]

Policy concerning fair value hierarchy transfers Transfers between fair value levels are reviewed and validated by ad hoc committees at Natixis comprising representatives of various functions, particularly Finance, Risk and Business Lines. The committee considers various indicators of market activity and liquidity as described in the General Principles.

A review is undertaken for any instrument that ceases to meet these criteria or once again complies with the criteria. Transfers to and from Level 3 are subject to prior validation. At December 31, 2018, as explained in the key events, a portfolio of derivatives in Asia was transferred to Level 3 in the fair value hierarchy. These are products which are indexed to the worst performance of an underlying basket of shares (indices and shares) that allow investors to receive enhanced periodic coupons in return for a risk of loss of capital at maturity, with the possibility that the product may expire early. The outstandings in question have a fair

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Registration document 2018