2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS206

4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2018

Notes to the fi nancial statements

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 2018 IFRS 9 & IFRS 15

Trading book Instruments at fair value through

proﬁ t 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 89,253 25,121 241 114,615 625 1,969 4,745 7,339 43,105 11,927 957 55,989

Governments 41,404 7,733 49,137 3 246 249 29,905 2,913 32,818

Asset Backed Securities 1,584 7,639 6 9,229 - 389 - 389 - 1,104 - 1,104

CDOs/CLOs(1) 92 5 97 - -

Other Asset Backed Securities 1,584 7,547 1 9,132 389 389 1,104 1,104

Other debt securities 10,696 8,312 142 19,150 796 825 1,621 12,083 7,678 155 19,916

Equities and other equity securities 35,569 1,437 93 37,099 622 538 3,920 5,080 1,117 232 802 2,151

Loans and repurchase agreements - 182,196 267 182,463 - 346 907 1,253 - - - -

Loans 2,861 2,861 145 907 1,052

Repurchase agreements 179,335 267 179,602 201 201

FINANCIAL ASSETS AT FAIR VALUE 89,253 207,317 508 297,078 625 2,315 5,652 8,592 43,105 11,927 957 55,989

Securities 71,828 3,346 15 75,189 - - - -

Governments 48,779 631 49,410 -

Other debt securities 8,394 2,655 11 11,060 -

Equities and other equity securities 14,655 60 4 14,719 -

Borrowings and repurchase agreements - 199,861 1,844 201,705 - 1,940 394 2,334

Borrowings 5,408 5,408 1,940 394 2,334

Repurchase agreements 194,453 1,844 196,297 -

Issued debt securities (note 5.h) - - - - 4,049 36,323 14,536 54,908

Subordinated debt (note 5.h) - 787 787

Non subordinated debt (note 5.h) - 34,428 14,536 48,964

Debt representative of shares of consolidated funds held by third parties - 4,049 1,108 5,157

FINANCIAL LIABILITIES AT FAIR VALUE 71,828 203,207 1,859 276,894 4,049 38,263 14,930 57,242