EBA · 2021_6276 Rejected question

Fair value changes of hedged interest rate items (hedge accounting) in the C 80.00/C 81.00 NSFR templates

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
428i, 428p
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Other
Submitted
2021-11-12
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Question

Should institutions report fair value changes of hedged interest rate items on NSFR templates C 80.00 and C 81.00? And if so, should it be separately from the positions hedged as is the case on FINREP, or should this value be added to the hedged positions?

Background

According to Art.  428 i) and 428 p) of Regulation (EU) 876/2019 (CRR2) Institutions should report the accounting value of assets and liabilities for the C 80.00/C 81.00 reports of NSFR, but there is no mention of whether to report the fair value changes of hedged interest rate items (hedge accounting). On FINREP, the fair value changes of hedged interest rate items, are considered separately from the items hedged on reports F 1.1 (row 250)/F 1.2 (row 160). Since it is considered on FINREP reports (F1.1 and F1.2), it would be needed clear provisions of the instructions for NSFR C 80.00 / C 81.00 on considering the fair value changes of hedged interest rate items, and how to report them.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6276

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.

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