BPCE - 2018 Registration document

5 FINANCIAL REPORT

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

Analysis of fair value hierarchy transfers at December 31, 2017 under IAS 39

Fiscal year 2017

From Level 1

Level 1

Level 2

Level 2

Level 3

Level 3

To

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

in millions of euros

FINANCIAL ASSETS Securities

422 239 183

325 239

150 150

Fixed-income securities Variable-income securities

86

Derivatives

15

8

1,093

25 13

Interest rate derivatives Equity derivatives Currency derivatives Credit derivatives

35 14

10

7

5 3 4

1,044

Other derivatives

5

1

Financial assets held for trading

437

333

1,093

175

Securities

2 2

Fixed-income securities

Financiel assets designated at fair value through profit or loss

2

Interest rate derivatives

17

Other securities

561 513

9 7 2

737 728

269 150 119

479 478

326 264

Fixed-income securities Variable-income securities

48

9 6

1

62

Other financial assets

Available-for-sale financial assets

561

9

743

286

479

326

From Level 1

Level 1

Level 2

Level 2

Level 3

Level 3

To

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

in millions of euros

FINANCIAL LIABILITIES Securities

7 8

69 23

Derivatives

1,323

55 27 25

Interest rate derivatives Equity derivatives Currency derivatives Credit derivatives

19 25

6

23

1,279

2 1

Other derivatives

2

Financial liabilities held for trading

15

92

1,323

55

Securities

51

Financial liabilities designated at fair value through profit or loss

51

Sensitivity of Level 3 assets and liabilities to changes 10.1.4 in the principal assumptions At December 31, 2018, 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 estimate was performed using: an adjustment of a “standardized (1) ” variation in unobservable ● inputs related to assumptions of additional valuation adjustments for fixed-income, currency and equity instruments. The resulting sensitivity was € 193 million;

a variation of +/-50 basis points applied to the margin used to ● discount the expected flows of TruPS CDOs; i.e. the sensitivity impact would result in an improvement in value of € 6 million, should the inputs mentioned above improve, or a decrease in value of € 6 million if the same inputs deteriorate.

The standard version of consensus prices to measure the inputs. (1)

360

Registration document 2018