2019 Universal registration document and annual financial report - BNP PARIBAS194
4 Consolidated finanCial statements for the year ended 31 deCemBer 2019
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 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
ineffec- tiveness
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.
