2019 Universal registration document and annual financial report - BNP PARIBAS198
4 Consolidated finanCial statements for the year ended 31 deCemBer 2019
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 220 million as at 31 December 2019, compared with an increase in value of EUR 244 million as at 31 December 2018, i.e. a EUR -24 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 2019
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 98,940 24,927 357 124,224 681 2,106 4,924 7,711 32,812 18,645 1,212 52,669
Governments 46,620 11,027 57,647 245 245 20,627 9,652 30,279
Other debt securities 12,449 13,799 218 26,466 1,283 367 1,650 11,043 8,780 301 20,124
Equities and other equity securities 39,871 101 139 40,111 681 578 4,557 5,816 1,142 213 911 2,266
Loans and repurchase agreements - 195,420 134 195,554 - 514 859 1,373 - - - -
Loans 3,329 3,329 514 859 1,373
Repurchase agreements 192,091 134 192,225 -
FINANCIAL ASSETS AT FAIR VALUE 98,940 220,347 491 319,778 681 2,620 5,783 9,084 32,812 18,645 1,212 52,669
Securities 62,581 2,800 109 65,490 - - - -
Governments 41,811 1,265 43,076 -
Other debt securities 6,294 1,509 31 7,834 -
Equities and other equity securities 14,476 26 78 14,580 -
Borrowings and repurchase agreements - 212,379 333 212,712 - 2,202 179 2,381
Borrowings 2,865 2,865 2,202 179 2,381
Repurchase agreements 209,514 333 209,847 -
Issued debt securities (note 5.h) - - - - 4,458 40,661 18,639 63,758
Subordinated debt (note 5.h) - 893 893
Non subordinated debt (note 5.h) - 37,997 18,639 56,636
Debt representative of shares of consolidated funds held by third parties - 4,458 1,771 6,229
FINANCIAL LIABILITIES AT FAIR VALUE 62,581 215,179 442 278,202 4,458 42,863 18,818 66,139
