Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - FINREP (incl. FB&NPE)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annexes III, IV, V, template F 20.04
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Hedging derivatives

Should reporting of derivatives on the asset side (F 20.04) be in line with the instructions of EBA on the liabilities side (F 20.06) and include both trading and hedging derivatives?

Background on the question:

According to EBAs feedback on question 2014_1539 on hedging derivatives (liabilities), F 20.06 (liabilities) of Annex III of Regulation (EU) No 680/2014 ITS on supervisory reporting includes hedging derivatives. Should F 20.04 (assets) include the hedging derivatives as well?

Date of submission:
Published as Final Q&A:
Final Answer:

Template F 20.04 of Annexes III and IV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) shall include both trading and hedging derivatives.

In the revised instructions for FINREP templates F 20.04 to F 20.07 in EBA/ITS/2016/07 (Draft Implementing Technical Standards on amendments to FINREP due to IFRS 9; published 30th November 2016), ANNEX III REV1(FINREP ANNEX V - INSTRUCTIONS), paragraph 272 clarifies that ‘’Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP’. Accordingly, the validation rule v5352_m (added in v2.7 of the reporting framework) will check this relation between the templates F 10.00 and F 20.04 in the future.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.