2020 Universal registration document and annual financial report - BNP PARIBAS214
4 Consolidated finanCial statements for the year ended 31 deCemBer 2020
4
Notes to the financial statements
In millions of euros
31 December 2019
Positive market value Negative market value
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Interest rate derivatives 139 146,656 1,362 148,157 132 128,927 1,352 130,411
Foreign exchange derivatives 1 59,948 223 60,172 1 57,518 239 57,758
Credit derivatives 8,400 259 8,659 8,871 371 9,242
Equity derivatives 6,871 17,235 1,374 25,480 7,885 21,327 6,629 35,841
Other derivatives 426 4,140 253 4,819 319 4,079 235 4,633
DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 7,437 236,379 3,471 247,287 8,337 220,722 8,826 237,885
DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 12,452 - 12,452 - 14,116 - 14,116
In millions of euros
31 December 2020
Positive market value Negative market value
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Interest rate derivatives 167 149,474 1,560 151,201 280 140,670 1,559 142,509
Foreign exchange derivatives 82,809 437 83,246 2 84,953 343 85,298
Credit derivatives 7,718 434 8,152 8,200 466 8,666
Equity derivatives 11,537 15,853 1,881 29,271 15,461 18,906 7,767 42,134
Other derivatives 988 3,857 64 4,909 747 3,161 93 4,001
DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 12,692 259,711 4,376 276,779 16,490 255,890 10,228 282,608
DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 15,600 - 15,600 - 13,320 - 13,320
CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2020
Transfers between levels may occur when an instrument fulfils the criteria defined, which are generally market and product dependent. The main factors influencing transfers are changes in the observation capabilities, passage of time, and events during the transaction lifetime. The timing of recognising transfers is determined at the beginning of the reporting period.
During the year ended 31 December 2020, transfers between Level 1 and Level 2 were not significant.
Description of main instruments in each level
The following section provides a description of the instruments in each level in the hierarchy. It describes notably instruments classified in Level 3 and the associated valuation methodologies.
For main trading book instruments and derivatives classified in Level 3, further quantitative information is provided about the inputs used to derive fair value.
Level 1 This level encompasses all derivatives and securities that are listed on exchanges or quoted continuously in other active markets.
Level 1 includes notably equity securities and liquid bonds, shortselling of these instruments, derivative instruments traded on organised markets (futures, options, etc.). It includes shares of funds and UCITS, for which the net asset value is calculated on a daily basis, as well as debt representative of shares of consolidated funds held by third parties.
Level 2 The Level 2 stock of securities is composed of securities which are less liquid than the Level 1 bonds. They are predominantly corporate debt securities, government bonds, mortgage backed securities, fund shares and short-term securities such as certificates of deposit. They are classified in Level 2 notably when external prices for the same security can be regularly observed from a reasonable number of market makers that are active in this security, but these prices do not represent directly tradable prices. This comprises amongst other, consensus pricing services with a reasonable number of contributors that are active market makers as well as indicative runs from active brokers and/or dealers. Other sources, such as primary issuance market, may also be used where relevant.
