2012 Registration document and annual financial report - BNP Paribas

4CONSOLIDATEDFINANCIAL STATEMENTS - YEAR ENDED 31 DECEMBER 2012Notes to the financial statementsDeferred margin on financial instrumentsmeasured using techniques developedinternally and based on partly non-observableinputs in active marketsDeferred margin on financial instruments (“Day One Profit”) only concernsthe scope of market activities eligible for l evel 3.The day one profit is calculated after setting aside reserves foruncertainties as described previously and taken back to profit or lossover the expected period for which the inputs will be non-observable.The unamortised amount is included under “Financial instruments heldfor trading purposes at fair value through profit or loss” as a reductionin the fair value of the relevant complex transactions.In millions of euros 31 December 2012 31 December 2011DEFERRED MARGIN AT THE BEGINNING OF THE PERIOD 655 920Deferred margin on transactions during the year 279 286Margin taken to the profit and loss account during the year (331) (551)DEFERRED MARGIN AT THE END OF THE PERIOD 603 65545.e RECLASSIFICATION OF FINANCIAL INSTRUMENTS INITIALLY RECOGNISED AT FAIR VALUETHROUGH PROFIT OR LOSS HELD FOR TRADING PURPOSES OR AS AVAILABLE-FOR-SALEASSETSThe amendments to IAS 39 and IFRS 7 adopted by the European Union on 15 October 2008 permit the reclassification of instruments initially held fortrading or available-for-sale within the customer loan portfolios or as securities available-for-sale.➤ DATA RELATING TO FINANCIAL INSTRUMENTS AT RECLASSIFICATION DATEIn millions of eurosReclassificationdateAssetsreclassifiedas loans andreceivablesCarrying valueAssetsreclassifiedas availablefor-saleExpected cash flows deemedrecoverable (1)Assetsreclassifiedas loans andreceivablesAssetsreclassifiedas availablefor-saleAverage effective interestrateAssetsreclassifiedas loans andreceivablesAssetsreclassifiedas availablefor-saleSovereign securities from the available-for-saleportfolio 6,312 14,826of which Greek sovereignsecurities 30 June 2011 3,186 9,401 9.3%of which Portuguesesovereign securities 30 June 2011 1,885 3,166 8.8%of which Irish sovereignsecurities 30 June 2011 1,241 2,259 6.7%Structured transactions andother fixed-income securities 10,995 767 12,728 790from the trading portfolio1 October 2008 7,077 767 7,904 790 7.6% 6.7%30 June 2009 2,760 3,345 8.4%from the available-for-sale portfolio30 June 2009 1,158 1,479 8.4%(1) Expected cash flows cover the repayment of capital and of all interest (not discounted) until the date the instruments mature .1462012 Registration document and annual financial report - BNP PARIBAS