2019 Universal registration document and annual financial report - BNP PARIBAS 195
4Consolidated finanCial statements for the year ended 31 deCemBer 2019
4
Notes to the financial statements
In millions of euros, as at 31 December 2018
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 203,795 3,150 5,702 (1,152) 94,412 3,131 91,100 2,323 Interest rate derivatives hedging the interest rate risk related to 196,753 3,070 5,543 (1,214) 93,045 3,116 85,948 2,253
Loans and receivables 27,345 82 427 (385) 24,727 415 - -
Securities 68,129 765 5,006 (2,843) 68,318 2,701 - -
Deposits 16,155 831 18 823 - - 16,327 820
Debt securities 85,124 1,392 92 1,191 - - 69,621 1,433 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,042 80 159 62 1,367 15 5,152 70
Loans and receivables 1,270 125 12 (6) 1,270 12 - -
Securities 100 1 6 (3) 97 3 - -
Deposits 626 (16) - 20 - - 465 17
Debt securities 5,046 (30) 141 51 - - 4,687 53
Interest-rate risk hedged portfolios 435,912 4,929 5,004 (419) 90,299 2,781 154,412 2,458 Interest rate derivatives hedging the interest rate risk related to(1) 434,240 4,801 4,983 (429) 88,789 2,792 154,412 2,458
Loans and receivables 188,047 756 4,259 (2,941) 88,644 2,792 - -
Securities 148 3 7 (2) 145 - - -
Deposits 246,045 4,042 717 2,514 - - 154,412 2,458 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,672 128 21 10 1,510 (11) - -
Loans and receivables 1,672 128 21 10 1,510 (11) - -
TOTAL FAIR VALUE HEDGE 639,707 8,079 10,706 (1,571) 184,711 5,912 245,512 4,781
(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 75,126 million for derivatives hedging loans and receivables and EUR 61,689 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 (for example, to exchange the variable rate index of the first instrument from Euribor to Eonia). 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 hedging instruments revaluation remaining to be amortised over the residual
life of the hedged instruments amounts to EUR 47 million in assets as at 31 December 2019, and to EUR 49 million in liabilities, for hedges of portfolios of financial instruments. At 31 December 2018, these amounts were EUR 6 million in assets and 12 million in liabilities.
The notional amount of cash flow hedge derivatives is EUR 179,237 million as at 31 December 2019. Changes in assets and liabilities recognised directly in equity amount to EUR 1,416 million. At 31 December 2018, the notional amount of cash flow hedge derivatives was EUR 184,287 million and the changes in assets and liabilities recognised directly in equity amount was EUR 1,073 million.
