2018 Registration document and annual fi nancial report - BNP PARIBAS208
4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2018
4
Notes to the fi nancial statements
In millions of euros
31 December 2018 IFRS 9 & IFRS 15
Positive market value Negative market value
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Interest rate derivatives 158 115,046 1,234 116,438 118 101,967 1,367 103,452
Foreign exchange derivatives 1 69,182 331 69,514 1 68,520 240 68,761
Credit derivatives 6,527 346 6,873 6,616 455 7,071
Equity derivatives 11,724 19,057 2,643 33,424 11,092 22,633 5,694 39,419
Other derivatives 990 5,468 188 6,646 1,133 5,628 340 7,101
DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 12,873 215,280 4,742 232,895 12,344 205,364 8,096 225,804
DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 9,810 - 9,810 - 11,677 - 11,677
In millions of euros
1 January 2018 IFRS 9 & IFRS 15
Positive market value Negative market value
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Interest rate derivatives 271 120,184 1,655 122,110 357 109,033 1,414 110,804
Foreign exchange derivatives 1 66,318 231 66,550 64,938 331 65,269
Credit derivatives 7,347 206 7,553 7,622 599 8,221
Equity derivatives 7,781 19,941 1,075 28,797 5,527 27,088 6,535 39,150
Other derivatives 1,046 3,787 53 4,886 673 3,434 93 4,200
DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 9,099 217,577 3,220 229,896 6,557 212,115 8,972 227,644
DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 13,721 - 13,721 - 15,682 - 15,682
Transfers between levels may occur when an instrument fulfi ls the criteria defi ned, which are generally market and product dependent. The main factors infl uencing 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 2018, transfers between Level 1 and Level 2 were not signifi cant.
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 classifi ed in Level 3 and the associated valuation methodologies.
For main trading book instruments and derivatives classifi ed 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, ). 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 government bonds, corporate debt securities, mortgage backed securities, fund shares and short-term securities such as certifi cates of deposit. They are classifi ed 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, collateral valuation and counterparty collateral valuation matching may also be used where relevant.
Repurchase agreements are classifi ed predominantly in Level 2. The classifi cation is primarily based on the observability and liquidity of the repo market, depending on the underlying collateral and the maturity of the repo transaction.
