2020 Universal registration document and annual financial report - BNP PARIBAS 209
4Consolidated finanCial statements for the year ended 31 deCemBer 2020
4
Notes to the financial statements
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 2019:
In millions of euros, as at 31 December 2019
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 250,198 4,249 6,825 (322) 112,836 3,442 104,315 3,310 Interest rate derivatives hedging the interest rate risk related to 242,612 4,170 6,697 (358) 110,439 3,443 98,717 3,267
Loans and receivables 24,185 66 591 (601) 24,268 602
Securities 91,644 1,116 5,746 (2,940) 86,171 2,841
Deposits 17,291 929 (36) 629 17,793 685
Debt securities 109,492 2,059 396 2,554 80,924 2,582 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,586 79 128 36 2,397 (1) 5,598 43
Loans and receivables 1,380 1 (2) 1,278 1
Securities 1,036 14 11 (3) 1,119 (2)
Deposits 594 20 35 (28) 457 (27)
Debt securities 4,576 45 81 69 5,141 70 Interest-rate risk hedged portfolios 491,449 6,453 6,288 (302) 133,606 4,255 170,673 3,940 Interest rate derivatives hedging the interest rate risk related to(1) 490,071 6,413 6,267 (279) 132,342 4,229 170,673 3,940
Loans and receivables 223,102 762 5,326 (4,538) 132,342 4,229
Deposits 266,969 5,651 941 4,259 170,673 3,940 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,378 40 21 (23) 1,264 26
Loans and receivables 1,378 40 21 (23) 1,264 26
TOTAL FAIR VALUE HEDGE 741,647 10,702 13,113 (624) 246,442 7,697 274,988 7,250
(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 69,179 million for derivatives hedging loans and receivables and EUR 81,351 million for derivatives hedging deposits.
An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative financial instruments. Besides, some hedges are achieved by the combination of two derivative instruments. In this case, the notional amounts add up and their total amount is higher than the hedged amount. The first situation is observed more particularly for interest rate risk hedged portfolios and the second for hedges of issued debt securities.
As regards discontinued fair value hedge relationships where the derivative contract was terminated, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments
amounts to EUR 1,194 million in assets as at 31 December 2020, and to EUR 18 million in liabilities, for hedges of portfolios of financial instruments. At 31 December 2019, these amounts were EUR 47 million in assets and 49 million in liabilities.
The change in assets is mainly due to a modification in hedging strategy which entailed the replacement of derivatives hedging portfolios of loans and receivables in order to modify the floating rate fixing frequency of the swaps. Both the terminated swaps and the new hedging swaps have the same notional. The maturity of the related hedged items spreads out until 2040.
