2018 Registration document and annual fi nancial report - BNP PARIBAS202
4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2018
4
Notes to the fi nancial statements
Interest rate risk and foreign exchange risk management strategies are described in Chapter 5 - Pillar 3 of the 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 identifi ed fi nancial instruments and portfolios of fi nancial instruments that are continuing as at 31 December 2018:
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
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 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 hedges of loans and receivables and EUR 61,689 million for hedges of deposits.
