2018 Registration document and annual fi nancial report - BNP PARIBAS 203

4CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2018

4

Notes to the fi nancial statements

An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative fi nancial instruments. Besides, some hedges are achieved by the combination of two derivative instruments (for example, to exchange the variable rate index of the fi rst instrument from Euribor to Eonia). In this case, the notional amounts add up and their total amount is higher than the hedged amount. The fi rst 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 instrument revaluation remaining to be amortised over the residual life

of the hedged instruments amounts to EUR 6 million in assets as at 31 December 2018, and to EUR 12 million in liabilities, for hedges of portfolios of fi nancial instruments.

The notional amount of cash fl ow hedge derivatives is EUR 184,287 million as at 31 December 2018. Changes in assets and liabilities recognised directly in equity amount to EUR 1,073 million.

The table below presents the nominal amounts of hedging derivatives by maturity:

In millions of euros, as at 31 December 2018

Maturity date

Less than 1 year Between 1 and 5

years Over 5 years Total

Fair value hedges 121,642 327,622 190,443 639,707

Interest rate derivatives 118,626 323,278 189,089 630,993

Foreign exchange derivatives 3,016 4,344 1,354 8,714

Cash fl ow hedges 121,760 44,703 17,824 184,287

Interest rate derivatives 8,456 37,884 12,326 58,666

Foreign exchange derivatives 113,165 6,643 5,498 125,306

Other derivatives 139 176 315

Net foreign investment hedges 1,369 2,437 - 3,806

Foreign exchange derivatives 1,369 2,437 3,806