2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS 211

4CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2018

Notes to the fi nancial statements

Risk classes

Balance Sheet valuation

(in millions of euros)

Main product types composing the Level 3 stock within the risk class

Valuation technique used for the product types considered

Main unobservable inputs for the product types considered

Range of unobservable input across Level 3

population considered Weighted

averageAsset Liability

Repurchase agreements 267 1,844

Long-term repo and reverse-repo agreements

Proxy techniques, based amongst other on the funding basis of a benchmark bond pool, that is actively traded and representative of the repo underlying

Long-term repo spread on private bonds (High Yield, High Grade) and on ABSs

0 bp to 124 bp 92 bp(a)

Interest rate derivatives 1,234 1,367

Hybrid Forex/Interest rates derivatives

Hybrid Forex interest rate option pricing model

Correlation between FX rate and interest rates. Main currency pairs are EUR/JPY, USD/JPY, AUD/JPY

10% to 50% 39%(a)

Hybrid infl ation rates/Interest rates derivatives

Hybrid infl ation interest rate option pricing model

Correlation between interest rates and infl ation rates mainly in Europe.

0% to 30% 24%

Floors and caps on infl ation rate or on the cumulative infl ation (such as redemption fl oors), predominantly on European and French infl ation

Infl ation pricing model

Volatility of cumulative infl ation 0.7% to 10%

(b)

Volatility of the year on year infl ation rate 0.2% to 2.0%

Forward Volatility products such as volatility swaps, mainly in euro

Interest rates option pricing model

Forward volatility of interest rates 0.3% to 0.7%

(b)

Balance-guaranteed fi xed rate, basis or cross currency swaps, predominantly on European collateral pools

Prepayment modelling Discounted cash fl ows

Constant prepayment rates 0.1% to 18% 10.2%

(a)

Credit Derivatives 346 455

Collateralised Debt Obligations and index tranches for inactive index series

Base correlation projection technique and recovery modelling

Base correlation curve for bespoke portfolios 20% to 78%

(b)

Inter-regions default cross correlation 80% to 90% 90%

(c)

Recovery rate variance for single name underlyings

0 to 25% (b)

N-to-default baskets Credit default model Default correlation 50% to 85% 60.8%(a)

Single name Credit Default Swaps (other than CDS on ABSs and loans indices)

Stripping, extrapolation and interpolation

Credit default spreads beyond observation limit (10 years)

159 bp to 378 bp(1) 369 bp(c)

Illiquid credit default spread curves (across main tenors)

12 bp to 695 bp(2) 105 bp(c)

Equity Derivatives 2,643 5,694

Simple and complex derivatives on multi-underlying baskets on stocks

Various volatility option models

Unobservable equity volatility 0% to 86%

(3) 26%(d)

Unobservable equity correlation 17% to 93% 56%(c)

(1) The upper part of the range relates to non-material balance sheet position on a European corporate. The other part relates mainly to sovereign issuers. (2) The upper bound of the range relates to a fi nancial sector issuer that represents an insignifi cant portion of the balance sheet (CDSs with illiquid

underlying instruments). (3) The upper part of the range relates to three equity instruments representing a non-material portion of the balance sheet on options with equity

underlying instruments. Including these inputs, the upper bound of the range would be around 422%. (a) Weights based on relevant risk axis at portfolio level. (b) No weighting, since no explicit sensitivity is attributed to these inputs. (c) Weighting is not based on risks, but on an alternative methodology in relation with the Level 3 instruments (present value or notional). (d) Simple averaging.