F 11.02 - Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk





Carrying amountFair valueNotional amount
AssetsLiabilitiesPositive valueNegative valueTotal hedgingOf which: sold
of which: assets carried at amortised cost / LOCOM of which: liabilities carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM
CodeLabel0005000600070008001000110020002100300040
0010Interest rate1488341533091488591533414560315339646640153367151606151638
0020OTC options151342153297151408153329151528153384151480153361151594151626
0030OTC other151363153304151429153336151549153391151601151633
0040Organized market options151333153294151399153326151519153381151471153358151591151623
0050Organized market other151354153301151420153333151540153388151598151630
0060Equity1488361533111488611533434560515339846642153369151608151640
0070OTC options151345153298151411153330151531153385151483153362151595151627
0080OTC other151366153305151432153337151552153392151602151634
0090Organized market options151336153295151402153327151522153382151474153359151592151624
0100Organized market other151357153302151423153334151543153389151599151631
0110Foreign exchange1488371533121488621533444560615339946643153370151609151641
0120OTC options151348153299151414153331151534153386151486153363151596151628
0130OTC other151369153306151435153338151555153393151603151635
0140Organized market options151339153296151405153328151525153383151477153360151593151625
0150Organized market other151360153303151426153335151546153390151600151632
0160Credit1488331533081488581533404560215339546639153366151605151637
0170Credit default swap151327153292151393153324151513153379151465153356151589151621
0180Credit spread option151330153293151396153325151516153380151468153357151590151622
0190Total return swap151324153291151390153323151510153378151462153355151588151620
0200Other151351153300151417153332151537153387151489153364151597151629
0210Commodity1488351533101488601533424560415339746641153368151607151639
0220Other1488381533131488631533454560715340046644153371151610151642
0230Derivatives - Hedge Accounting11478153307114851533391150315339411502153365151604151636
0231of which: fair value hedges151384153314151450153346151570153401151504153372151611151643
0232of which: cash flow hedges151385153315151451153347151571153402151505153373151612151644
0233of which: cost-price hedges151389153319151455153351151575153406151509153377151616151648
0234of which: hedge in net investments in a foreign operation151386153316151452153348151572153403151506153374151613151645
0235of which: portfolio fair value hedges of interest rate risk151387153317151453153349151573153404151507153375151614151646
0236of which: portfolio cash flow hedges of interest rate risk151388153318151454153350151574153405151508153376151615151647
0240OTC - credit institutions673382346336734123463667344234639234386234389
0250OTC - other financial corporations673392346346734223463767345234640234387234390
0260OTC - rest673372346326734023463567343234638234385234388




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.