BPCE_REGISTRATION_DOCUMENT_2017
FINANCIAL REPORT IFRS Consolidated Financial Statements of BPCE SA group as at December 31, 2017
The table below provides the mainunobservableinputs and thevalue rangesfor these instruments:
Main types of products comprising Level 3 within the instrument class
Unobservable data ranges among relevant Level 3 products
Class of instrument
Valuation techniques used
Main unobservable data
Technique for estimating defaults given the correlation effect and recoverymodeling Extrapolation from pricesbased on recoveryassumptions Discounted expected cash flows based onearlyredemption assumptionsonthe underlying portfolio Interestrate options valuation models Model representing severalyield curvefactors Bivariate standard model to measurethe time value of Spread Lockoptionsand replication for CMS andTECForwards
Correlation curve specific to the portfoliounderlying the CDO
CDOs,Indextranche
5%– 95%*
Private Finance InitiativeCDS (other than CDS onsecuritization assets)
Credit derivatives
Recovery rate
60%– 100%
Securitization swaps
Early redemption rate
2%– 17%
StickyCMS/Volatility Bonds
Mean reversion inputs
1%– 5%
CallableSpreadOptions and Corridor Callable Spread Options
Meanreversionspread
0%– 30%
SpreadLock: -2.288 bp,+29.94bp TECvolatility: 50bp/70bp TEC-CMScorrelation 70%/95%
SpreadLockSwapand SpreadLock Option
SpreadLockcurve,TECForward volatility and TEC-CMS correlation Interestrate vol.for currencies absentfrom Totem or long maturities Interestrate vol.for current pairs absentfrom Totem or long maturities
Interestrate vol.: 4.69% to 101.36%
Interestrate derivatives
Volatility cap/floor
Black& Scholes model
Europeanbarriercall option,Asian call option,Vanilladigitalcall option, European call option
SkewModel,Local volatility model,Black& Scholesmodel, Syntheticmodelingof underlying generalbasket(with repoto estimate) and actuarial valuation for TRSor usinga standard equity/interest rate hybridmodel for the TRSauto call
ATMvol.:0.84% to 22.25%
TRSandreposindexed to a basket of generalequities
5
Currencyderivatives
Repo curveof generalbaskets General collateral repo: -0.84%/+0.5%
EUR/CHFcorrelation:36.7%; 40.9% Long-term volatility: 9% – 16% USD/CHF correlation: -69.10%; -78.80%
Stripsof long-termoptions,Stripsof quanto options, Strips ofdigital options
Black & Scholes model
Currency/currency correlation USDCHF& EURCHF long-term volatility
Optionsspreadand Digital options spread
Helvetix derivatives
Gaussian copula
Long-term volatility: 9% – 15%
Theapproach used is a hybrid modelthat combines the local volatility-typemulti-underlying equitymodelwith a one-factor Heath-Jarrow-Morton (HJM1F) interestrate model
Fundcorrelation – Interest rates: -40%to 25%
Payoffs asTargetVolatilitystrategyand CPPI on MutualFunds
Fund-based derivatives
Funddata
Correlationbetween currency and interestrates and long-term volatility levels Correlation inputs (equity-forex, equity-interest rates, interest rates-forex)
Hybridinterest rate/currency derivatives
Long-termPRDC/PRDKO/TARN structures
Hybridcurrency/interest rate optionsvaluation model
AUD/JPYand USD/JPY correlation: 15%– 50%
EQ/FX= 20%, 50% EQ/IR= 30%, 50% FX/IR=20%, 30%
Long-dated callable range accrual notes (15Y) onseveralassetclasses (equity+forex+interest rates)
Hybridmodels coupled with equity, forex and interest rate diffusion
Hybridequity/interest rate/forexderivatives
Interestrate/Creditcorrelation: -13%, 3% Creditvol:Structureby term ([2Y, 200%],[5Y, 60%],[10Y, 50%]
Long-dated interest rate and credit callable range accrual notes (15Y) (default event)
Hybridmodels coupled with interestrate diffusion and credit diffusion Volatility options valuation model incorporating correlationbetween assets
Hybridinterest rate/credit derivatives
Correlation inputs(interest rate-credit and volatility-credit)
Equity derivatives
Long maturity multi-underlying payoffs
Correlation inputs Stock/stock correlation: 18.4 to 92.13
All transactions including this type of dataare fullyback-to-back; this inputjustifyingthe Level 3classification is entirely hedged. *
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Registration document 2017
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