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





Carrying amountNotional amount
AssetsLiabilitiesTotal hedgingOf which: sold
CodeLabel010 020 030 040
010 Interest rate11585116081164811631
020 OTC options11595116181165811641
030 OTC other116021162511665
040 Organized market options11592116151165511638
050 Organized market other115991162211662
060 Equity11587116101165011633
070 OTC options11596116191165911642
080 OTC other116031162611666
090 Organized market options11593116161165611639
100 Organized market other116001162311663
110 Foreign exchange11588116111165111634
120 OTC options11597116201166011643
130 OTC other116041162711667
140 Organized market options11594116171165711640
150 Organized market other116011162411664
160 Credit11584116071164711630
170 Credit default swap11590116131165311636
180 Credit spread option11591116141165411637
190 Total return swap11605116281166811645
200 Other11598116211166111644
210 Commodity11586116091164911632
220 Other11589116121165211635
230 Fair value hedges11583116061164611629
240 Interest rate46655466564665846657
250 OTC options11516115351156811555
260 OTC other115231154211575
270 Organized market options11513115321156511552
280 Organized market other115201153911572
290 Equity45625456284563445631
300 OTC options11517115361156911556
310 OTC other115241154311576
320 Organized market options11514115331156611553
330 Organized market other115211154011573
340 Foreign exchange45626456294563545632
350 OTC options11518115371157011557
360 OTC other115251154411577
370 Organized market options11515115341156711554
380 Organized market other115221154111574
390 Credit45624456274563345630
400 Credit default swap11511115301156311550
410 Credit spread option11512115311156411551
420 Total return swap11526115451157811559
430 Other11519115381157111558
440 Commodity11509115281156111548
450 Other11510115291156211549
460 Cash flow hedges11508115271156011547
470 Hedge of net investments in a foreign operation11669116701167311672
480 Portfolio Fair value hedges of interest rate risk11683116841168611685
490 Portfolio Cash flow hedges of interest rate risk11679116801168211681
500 Derivatives-Hedge accounting11478114851150311502
510 of which: OTC - credit institutions673386734167344
520 of which: OTC - other financial corporations673396734267345
530 of which: OTC - 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.