2012 Registration document and annual financial report - BNP Paribas

CONSOLIDATED FINANCIAL STATEMENTS - YEAR ENDED 31 DECEMBER 2012Notes to the financial statements4Note 5 NOTES TO THE BALANCE SHEET AT 31 DECEMBER 20125.a FINANCIAL ASSETS, FINANCIALLIABILITIES AND DERIVATIVES AT FAIRVALUE THROUGH PROFIT OR LOSSFinancial assets and financial liabilities at fair value through profit or lossconsist of held-for-trading transactions, derivatives, and certain assetsand liabilities designated by the Group as at fair value through profit orloss at the time of acquisition or issue.In millions of eurosTrading book31 December 2012 31 December 2011Instrumentsdesignated at fairvalue through profitor lossTrading bookInstrumentsdesignated at fairvalue through profitor lossSecurities portfolio 143,465 62,701 157,624 57,024Treasury bills and government bonds 69,140 340 96,196 484Other fixed-income securities 25,544 6,409 35,973 5,611Equities and other variable-income securities 48,781 55,952 25,455 50,929Loans and repurchase agreements 146,899 99 153,799 49Loans 1,150 99 537 49Repurchase agreements 145,749 - 153,262 -FINANCIAL ASSETS AT FAIR VALUE THROUGHPROFIT OR LOSS 290,364 62,800 311,423 57,073Short selling of borrowed securities 52,432 - 100,013 -Borrowings and repurchase agreements 203,063 1,242 173,271 1,664Borrowings 4,017 1,242 1,895 1,664Repurchase agreements 199,046 - 171,376 -Debt securities (note 5.i) - 40,799 - 37,987Subordinated debt (note 5.i) - 1,489 - 2,393FINANCIAL LIABILITIES AT FAIR VALUE THROUGHPROFIT OR LOSS 255,495 43,530 273,284 42,0444Financial instruments designated as at fairvalue through profit or lossFinancial assets designated as at fair valuethrough profit or lossAssets designated by the Group as at fair value through profit or lossinclude admissible investments related to unit-linked insurance policies,and to a lesser extent assets with embedded derivatives that have notbeen separated from the host contract.Admissible investments related to unit-linked insurance policies includesecurities issued by the Group’s consolidated entities, which are noteliminated upon consolidation in order to keep the figures shown inrespect of the assets invested under these contracts at the same levelas the technical reserves set aside in respect of the correspondingpolicyholder liabilities. The fixed-income securities (certificates and EuroMedium Term Notes) not eliminated upon consolidation amounted toEUR 741 million at 31 December 2012 compared with EUR 940 millionat 31 December 2011, and variable-income securities (shares mainlyissued by BNP Paribas SA) came to EUR 28 million at 31 December 2012compared with EUR 14. 5 million at 31 December 2011. Eliminating thesesecurities would not have a material impact on the financial statementsfor the period.Financial liabilities designated as at fair valuethrough profit or lossFinancial liabilities designated at fair value through profit or loss mainlyconsist of issues originated and structured on behalf of customers, wherethe risk exposure is managed in combination with the hedging strategy.These types of issues contain significant embedded derivatives, whosechanges in value are cancelled out by changes in the value of derivativeswhich economically cover them.The redemption value of financial liabilities designated at fair valuethrough profit or loss at 31 December 2012 was EUR 44, 956 million(EUR 49, 748 million at 31 December 2011).Fair value takes into account any change in value attributable to issuerrisk relating to the BNP Paribas Group. For most amounts concerned, fairvalue is the replacement value of each instrument, which is calculatedby discounting the instrument’s cash flows using a discount ratecorresponding to that of a similar debt instrument that might be issuedby the BNP Paribas Group at the closing date.2012 Registration document and annual financial report - BNP PARIBAS 139