BPCE - 2018 Registration document

5 FINANCIAL REPORT

IFRS Consolidated Financial Statements of BPCE SA group 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 2

Level 2

Level 3

Level 3

To

Level 2

Level 1

Level 3

Level 1

Level 2

in millions of euros

FINANCIAL ASSETS Securities

399 233 166

325 239

1 1

122 122

Fixed-income securities Variable-income securities

86

Derivatives

15

8

1,096

26 14

Interest rate derivatives Equity derivatives Currency derivatives Credit derivatives

34 14

10

7

5 3 4

1,048

Other derivatives

5

1

Other financial assets Financial assets held for trading

414

333

1,097

148

Securities

2 2 2

Fixed-income securities

Financial assets designated at fair value through profit or loss

Investments in associates Other securities

209 209

689 689

143

358 358

157 157

Fixed-income securities Variable-income securities

39

104

Other financial assets

6

Available-for-sale financial assets

209

695

143

358

157

FINANCIAL LIABILITIES Securities

7 8

69 23

Derivatives

1,334

55 27 25

Interest rate derivatives Equity derivatives Currency derivatives Credit derivatives

30 25

6

23

1,279

2 1

Other derivatives

2

Financial liabilities held for trading

15

92

1,334

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.

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

512

Registration document 2018