EBA · 2013_316 Final Q&A

Reporting of notional amount for the derivatives hedging different risks (table 11.1 FINREP)

Name: Reporting of notional amount for the derivatives hedging different risks (table 11.1 FINREP): EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 99
Topic: Supervisory reporting - FINREP (incl. FB&NPE)
Submitted by: Accounting firm
Submitted: 2013-10-01
Answered: 2014-03-07
Answer provided by: ESAs (EBA, ESMA, EIOPA)

Browse ECB SSM Register → More Q&As on this regulation →

Question

If the same hedge derivative contract is used in different transactions (i.e. to hedge multiple risks), shall the nominal amounts be reported gross and multiple times (column 030, table 11.1)?

Background

When portions of derivatives are designated in more than one hedge accounting relationship type, each portion of the derivative is reported in FINREP in accordance to the type of hedge accounting applied. E.g. a cross currency interest rate swap (CIRS) can be split in different components hedging different risks. These components should be reported in FINREP in accordance to the risk hedged and the type of hedge. Should the notional amount for these components be reported gross for each of these components? E.g. if a cross currency swap is used in three different hedging relationships. The notional amount of the components of the cross currency swap should be reported three times.

Answer

When the same derivative contract is used to hedge different risks, the notional amount of the contract should be reported only once. The criteria given in paragraph 68 of Part 2 of Annex V of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutions Draft ITS on Supervisory reporting should be used to determine the risk category in which the contract is to be reported. *As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Original source: European Banking Authority, Q&A ID 2013_316

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Table 11.1 - notional amount of derivatives used in two hedge relationshops (fair value and cash flow hedges)

Answered 2015-03-13

FINREP - F10 Derivatives - Trading - "Economic hedges" (Rows 020, 080, 140, 200, 260 and 280)

Answered 2014-02-14

Hedging derivatives

Answered 2017-04-07

Amounts to be reported under derivatives receivables in C 60.00 (row 1290) and under liabilities from derivatives payables contracts in C 61.00 (row 240) of the - ITS on supervisory reporting of institutions.

Answered 2016-04-15

Derivatives reporting in stable funding

Answered 2014-02-14

More Q&As on this topic

Sectoral classification of UK credit institutions

Answered 2026-07-03

Clarification on validation v3078m under FINREP reporting

Answered 2026-06-05

Reporting guarantees that are received to secure a pool of underlying securitized exposures/securitisation positions in a synthetic securitisation transaction

Answered 2026-05-29

Definition of ‘demand deposits’ for FINREP reporting

Answered 2025-12-05

Definition of Net defined benefit assets [Carrying amount] in F44.01

Answered 2025-10-10

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.