FinRep Table 2: Interest income & Expense: Derivatives – Hedge accounting, interest rate risk

According to part 2 paragraphs 31 and 35 of Annex V of the Regulation (EU)n°680/2014 (ITS on Supervisory Reporting), interest income or expense of hedging derivatives classified as hedge accounting may be reported following two options under FINREP template F02.00 (Statement of profit and loss). Those two options should be applied consistently by institutions : Where the clean price is used The related interest income/expense of the derivatives shall be reported separately from other gains or losses and provided on a gross basis (ie not netted out with those interest income/expense of the hedged instrument) and reported on the same side of profit or expense as the hedged item  even in case of opposite value. In other words, if a hedged instrument generates interest income, and the related hedging derivative interest expenses, the interest expense of the derivative instrument shall be reported as a negative amount under row 070 Interest income – derivatives – hedge accounting, interest rate risk. To summarize: for interest income on the hedged instrument, interest of the hedging derivative shall be reported under row 070  Interest income – derivatives – hedge accounting, with a positive sign for interest income and a negative sign for interest expense for interest expense on the hedged instrument, interest of the hedging derivative shall be reported under row 130 Interest expense – derivatives – hedge accounting with a positive sign for interest expense and a negative sign for interest income.   Where the dirty price is used Interest income/expense of the hedging derivative shall be recognized as part of the gains and losses of the hedged instruments.   See also Q&A 2014_1203 .