2020 Universal registration document and annual financial report - BNP PARIBAS212

4 Consolidated finanCial statements for the year ended 31 deCemBer 2020

4

Notes to the financial statements

Own-credit valuation adjustment for debts (OCA) and for derivatives (debit valuation adjustment DVA): OCA and DVA are adjustments reflecting the effect of credit worthiness of BNP Paribas, on respectively the value of debt securities designated as at fair value through profit or loss and derivatives. Both adjustments are based on the expected future liability profiles of such instruments. The own credit worthiness is inferred from the market-based observation of the relevant bond issuance levels. The DVA adjustment is determined after taking into account the Funding Valuation Adjustment (FVA).

Thus, the carrying value of debt securities designated as at fair value though profit or loss is increased by EUR 408 million as at 31 December 2020, compared with an increase in value of EUR 220 million as at 31 December 2019, i.e. a EUR 188 million variation recognised directly in equity that will not be reclassified to profit or loss.

Instrument classes and classification within the fair value hierarchy for assets and liabilities measured at fair value

As explained in the summary of significant accounting policies (note 1.e.10), financial instruments measured at fair value are categorised into a fair value hierarchy consisting of three levels.

The disaggregation of assets and liabilities into risk classes is meant to provide further insight into the nature of the instruments:

■ securitised exposures are further broken down by collateral type;

■ for derivatives, fair values are broken down by dominant risk factor, namely interest rate, foreign exchange, credit and equity. Derivatives used for hedging purposes are mainly interest rate derivatives.

In millions of euros

31 December 2020

Financial instruments held for trading Instruments at fair value through

profit or loss not held for trading Financial assets at fair

value through equity

Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

Securities 135,850 24,386 396 160,632 671 1,659 4,965 7,295 43,538 13,505 1,147 58,190

Governments 81,126 7,464 88,590 - 27,188 3,801 30,989

Other debt securities 18,264 16,305 137 34,706 1,141 401 1,542 15,109 9,491 392 24,992

Equities and other equity securities 36,460 617 259 37,336 671 518 4,564 5,753 1,241 213 755 2,209

Loans and repurchase agreements - 243,567 371 243,938 - 218 722 940 - - - -

Loans 4,299 4,299 218 722 940

Repurchase agreements 239,268 371 239,639 -

FINANCIAL ASSETS AT FAIR VALUE 135,850 267,953 767 404,570 671 1,877 5,687 8,235 43,538 13,505 1,147 58,190

Securities 92,298 1,823 142 94,263 - - - -

Governments 66,489 252 66,741 -

Other debt securities 9,990 1,495 47 11,532 -

Equities and other equity securities 15,819 76 95 15,990 -

Borrowings and repurchase agreements - 285,766 975 286,741 - 1,709 145 1,854

Borrowings 1,654 1,654 1,709 145 1,854

Repurchase agreements 284,112 975 285,087 -

Issued debt securities (note 4.h) - - - - 5,240 40,839 17,968 64,048

Subordinated debt (note 4.h) - 851 851

Non subordinated debt (note 4.h) - 38,913 17,968 56,882

Debt representative of shares of consolidated funds held by third parties - 5,240 1,075 6,315

FINANCIAL LIABILITIES AT FAIR VALUE 92,298 287,589 1,117 381,004 5,240 42,548 18,113 65,901