2020 Universal registration document and annual financial report - BNP PARIBAS210

4 Consolidated finanCial statements for the year ended 31 deCemBer 2020

4

Notes to the financial statements

The notional amount of cash flow hedge derivatives is EUR 205,208 million as at 31 December 2020. Changes in assets and liabilities recognised directly in equity amount to EUR 2,009 million. At 31 December 2019, the

notional amount of cash flow hedge derivatives was EUR 179,237 million and the changes in assets and liabilities recognised directly in equity amount was EUR 1,416 million.

In millions of euros, as at 31 December 2020

Maturity date

Less than 1 year Between 1 and

5 years Over 5 years Total

Fair value hedges 164,828 341,676 251,146 757,650

Interest rate derivatives 162,184 336,020 250,667 748,871

Foreign exchange derivatives 2,644 5,656 479 8,779

Cash flow hedges 145,237 40,142 19,829 205,208

Interest rate derivatives 11,289 29,053 14,723 55,065

Foreign exchange derivatives 133,788 10,913 5,106 149,807

Other derivatives 160 176 336

Net foreign investment hedges 1,737 200 - 1,937

Foreign exchange derivatives 1,737 200 1,937

In millions of euros, as at 31 December 2019

Maturity date

Less than 1 year Between 1 and

5 years Over 5 years Total

Fair value hedges 160,731 330,600 250,316 741,647

Interest rate derivatives 157,154 326,038 249,491 732,683

Foreign exchange derivatives 3,577 4,562 825 8,964

Cash flow hedges 116,676 38,757 23,804 179,237

Interest rate derivatives 18,330 30,475 18,338 67,143

Foreign exchange derivatives 98,205 8,102 5,466 111,773

Other derivatives 141 180 321

Net foreign investment hedges 4,156 617 90 4,863

Foreign exchange derivatives 4,156 617 90 4,863

4.c FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY

In millions of euros

31 December 2020 31 December 2019

Fair value

of which changes in value taken

directly to equity Fair value

of which changes in value taken

directly to equity

Debt securities 55,981 613 50,403 161

Governments 30,989 414 29,820 176

Other public administrations 17,970 244 13,782 68

Credit institutions 5,140 (39) 4,323 (80)

Others 1,882 (6) 2,478 (3)

Equity securities 2,209 535 2,266 565

TOTAL FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY 58,190 1,148 52,669 726

The tables below present the nominal amounts of hedging derivatives by maturity as at 31 December 2019 and as at 31 December 2020: