F 11.01 - Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge





Carrying amountNotional amount
AssetsLiabilitiesTotal hedgingOf which: sold
CodeLabel0010002000300040
0010Interest rate151374151440151560151494
0020OTC options151343151409151529151481
0030OTC other151364151430151550
0040Organized market options151334151400151520151472
0050Organized market other151355151421151541
0060Equity151378151444151564151498
0070OTC options151346151412151532151484
0080OTC other151367151433151553
0090Organized market options151337151403151523151475
0100Organized market other151358151424151544
0110Foreign exchange151380151446151566151500
0120OTC options151349151415151535151487
0130OTC other151370151436151556
0140Organized market options151340151406151526151478
0150Organized market other151361151427151547
0160Credit151372151438151558151492
0170Credit default swap151328151394151514151466
0180Credit spread option151331151397151517151469
0190Total return swap151325151391151511151463
0200Other151352151418151538151490
0210Commodity151376151442151562151496
0220Other151382151448151568151502
0230Fair value hedges151384151450151570151504
0240Interest rate151375151441151561151495
0250OTC options151344151410151530151482
0260OTC other151365151431151551
0270Organized market options151335151401151521151473
0280Organized market other151356151422151542
0290Equity151379151445151565151499
0300OTC options151347151413151533151485
0310OTC other151368151434151554
0320Organized market options151338151404151524151476
0330Organized market other151359151425151545
0340Foreign exchange151381151447151567151501
0350OTC options151350151416151536151488
0360OTC other151371151437151557
0370Organized market options151341151407151527151479
0380Organized market other151362151428151548
0390Credit151373151439151559151493
0400Credit default swap151329151395151515151467
0410Credit spread option151332151398151518151470
0420Total return swap151326151392151512151464
0430Other151353151419151539151491
0440Commodity151377151443151563151497
0450Other151383151449151569151503
0460Cash flow hedges151385151451151571151505
0470Hedge of net investments in a foreign operation151386151452151572151506
0480Portfolio fair value hedges of interest rate risk151387151453151573151507
0490Portfolio cash flow hedges of interest rate risk151388151454151574151508
0500Derivatives-Hedge accounting11478114851150311502
0510OTC - credit institutions673386734167344
0520OTC - other financial corporations673396734267345
0530OTC - rest673376734067343




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
Type of riskIndicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Accounting portfolioAccounting portfolios shall mean financial instruments aggregated by valuation rules (e.g. "Available-for-sale financial assets"). Accounting portfolios only comprise financial assets and financial liabilities.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Derivatives Purchased/SoldFor derivatives, it indicates whether the reporting institution has sold or purchased them.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Type of marketDefines the type of market on which reported instruments are traded.
Type of market - Defines the type of market on which reported instruments are traded. It includes the fair value hierarchy.
Type of hedgeDefines the type of hedging
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
InstrumentDefines instrument or product type of the main category item
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.