2020 Universal registration document and annual financial report - BNP PARIBAS208
4 Consolidated finanCial statements for the year ended 31 deCemBer 2020
4
Notes to the financial statements
Interest rate risk and foreign exchange risk management strategies are described in Chapter 5 Pillar 3 of the Universal Registration Document (section 5.7 Market risk Market risk related to banking activities). Quantitative information related to foreign currency borrowings used for net investment hedges is also mentioned in this chapter.
The table below presents the detail of fair value hedge relationships for identified financial instruments and portfolios of financial instruments that are continuing as at 31 December 2020:
In millions of euros, as at 31 December 2020
Hedging instruments Hedged instruments
Notional amounts
Positive fair value
Negative fair value
Cumulated changes in fair
value used as the basis for recognising
ineffectiveness
Carrying amount
asset
Cumulated changes in fair value
asset
Carrying amount
liability
Cumulated changes in fair value
liability Fair value hedges of identified instruments 281,520 4,553 7,353 (733) 115,138 4,815 110,552 4,380 Interest rate derivatives hedging the interest rate risk related to 274,089 4,290 7,244 (824) 111,600 4,798 106,785 4,274
Loans and receivables 18,124 92 545 (502) 18,200 502
Securities 113,543 1,108 6,186 (4,553) 93,401 4,296
Deposits 13,073 558 152 531 13,193 531
Debt securities 129,349 2,532 361 3,700 93,592 3,743 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,431 263 109 91 3,538 17 3,767 106
Loans and receivables 2,009 126 2 (13) 1,851 13
Securities 1,666 16 32 (4) 1,687 4
Deposits 185 14 12 203 12
Debt securities 3,571 107 75 96 3,564 95 Interest-rate risk hedged portfolios 476,130 8,547 5,411 1,849 111,090 4,367 173,716 6,134 Interest rate derivatives hedging the interest rate risk related to(1) 474,782 8,540 5,350 1,861 109,820 4,355 173,716 6,134
Loans and receivables 187,109 1,200 4,364 (4,590) 109,820 4,355
Deposits 287,672 7,340 986 6,452 173,716 6,134 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,348 7 61 (12) 1,270 12
Loans and receivables 1,348 7 61 (12) 1,270 12
TOTAL FAIR VALUE HEDGE 757,650 13,100 12,764 1,116 226,228 9,182 284,268 10,514
(1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 60,447 million for derivatives hedging loans and receivables and EUR 107,437 million for derivatives hedging deposits.
