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





Carrying amountNotional amount
AssetsLiabilitiesTotal hedgingOf which: sold
CodeLabel005 007 010 020
010 Interest rate1488341488594560346640
020 OTC options1488441488694561046647
030 OTC other14885114887645617
040 Organized market options1488411488666735067347
050 Organized market other14884814887367353
060 Equity1488361488614560546642
070 OTC options1488451488704561146648
080 OTC other14885214887745618
090 Organized market options1488421488676735167348
100 Organized market other14884914887467354
110 Foreign exchange1488371488624560646643
120 OTC options1488461488714561246649
130 OTC other14885314887845619
140 Organized market options1488431488686735267349
150 Organized market other14885014887567355
160 Credit1488331488584560246639
170 Credit default swap1488391488644560846645
180 Credit spread option1488401488654560946646
190 Total return swap1488541488794562346654
200 Other1488471488724561646653
210 Commodity1488351488604560446641
220 Other1488381488634560746644
230 Derivatives - Hedge Accounting11478114851150311502
240 of which: OTC - credit institutions14883114885611500
250 of which: OTC - other financial corporations14883214885767346
260 of which: OTC - rest14883014885511499




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.