2020 Universal registration document and annual financial report - BNP PARIBAS218

4 Consolidated finanCial statements for the year ended 31 deCemBer 2020

4

Notes to the financial statements

Table of movements in Level 3 financial instruments

For Level 3 financial instruments, the following movements occurred during the year ended 31 December 2020:

In millions of euros

Financial assets Financial liabilities

Financial instruments at fair value

through profit or loss held

for trading

Financial instruments at fair value

through profit or loss not held

for trading

Financial assets at fair value

through equity TOTAL

Financial instruments at fair value

through profit or

loss held for trading

Financial instruments

designated as at fair

value through profit or loss TOTAL

AT 31 DECEMBER 2019 3,962 5,783 1,212 10,957 (9,268) (18,818) (28,086)

Purchases 546 1,064 96 1,706 -

Issues - (4,656) (4,656)

Sales (417) (526) (6) (949) 8 8

Settlements(1) (1,427) (72) (228) (1,727) (4,715) 5,060 345

Transfers to level 3 1,908 3 65 1,976 (800) (2,976) (3,776)

Transfers from level 3 (1,356) (57) (1,413) 663 3,153 3,816 Gains (or losses) recognised in profit or loss with respect to transactions expired or terminated during the period 1,310 (415) 895 3,142 470 3,612 Gains (or losses) recognised in profit or loss with respect to unexpired instruments at the end of the period 638 37 675 (399) (346) (745) Changes in fair value of assets and liabilities recognised directly in equity

Items related to exchange rate movements (21) (130) (6) (157) 24 24

Changes in fair value of assets and liabilities recognised in equity 14 14 -

AT 31 DECEMBER 2020 5,143 5,687 1,147 11,977 (11,345) (18,113) (29,458)

(1) For the assets, includes redemptions of principal, interest payments as well as cash inflows and outflows relating to derivatives. For the liabilities, includes principal redemptions, interest payments as well as cash inflows and outflows relating to derivatives the fair value of which is negative.

Transfers out of Level 3 of derivatives at fair value include mainly the update of the observability tenor of certain yield curves, and of market parameters related to repurchase agreements and credit transactions but also the effect of derivatives becoming only or mainly sensitive to observable inputs due to the shortening of their lifetime.

Transfers into Level 3 of instruments at fair value reflect the effect of the regular update of the observability zones.

Transfers have been reflected as if they had taken place at the beginning of the reporting period.

The Level 3 financial instruments may be hedged by other Level 1 and Level 2 instruments, the gains and losses of which are not shown in this table. Consequently, the gains and losses shown in this table are not representative of the gains and losses arising from management of the net risk on all these instruments.

Sensitivity of fair value to reasonably possible changes in level 3 assumptions

The following table summarises those financial assets and financial liabilities classified as Level 3 for which alternative assumptions in one or more of the unobservable inputs would change fair value significantly.

The amounts disclosed are intended to illustrate the range of possible uncertainty inherent to the judgement applied when estimating Level 3 parameters, or when selecting valuation techniques. These amounts reflect valuation uncertainties that prevail at the measurement date, and even though such uncertainties predominantly derive from the portfolio sensitivities that prevailed at that measurement date, they are not predictive or indicative of future movements in fair value, nor do they represent the effect of market stress on the portfolio value.