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
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