BNP tags €10bn of equity derivatives as hard-to-value

Over 12% of exposures classified as Level 3 at end-June

Over 12% of BNP Paribas’s €80 billion ($94.3 billion) of equity derivatives exposures were classified as mark-to-model as of end-June, as skittish markets and blurry forward curves complicated valuations.

Equity derivatives tagged as Level 3 – an accounting category reserved for complex, illiquid exposures –  totalled €10.2 billion in Q2, up 28% from end-December. Of these, €3.2 billion had positive fair values and €7 billion negative fair values. 

Equity derivatives classified as Level 1

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