In FINREP template F 08.01, data is collected on ‘Hybrid contracts’. The definition of Hybrid contracts is provided in paragraph 98(d) of Annex V, Part 2 of Commission Implementing Regulation (EU) No 680/2014: ‘Hybrid contracts’ comprise contracts with embedded derivatives.

Does the EBA intend to capture:

a)     Hybrid capital instruments that contain embedded derivatives (Additional Tier 1 instruments accounted for as financial liabilities in FINREP).

b)     Debt securities issued in scope of FINREP template F 08.01 that contain an embedded derivative where the embedded derivative is required to be separated from the host contract (criteria of IAS 39.11 are met).

c)     Debt securities issued that contain an embedded derivative that may or may not be required to be separated from the host contract (as defined in IAS 39.10, irrespective of whether the criteria of IAS 39.11 are met).

Please note that a broad definition of hybrid contracts (as per option b or c above) may require further guidance on the disaggregation of ‘Debt securities issued’ in type of products. For example if an ABS contains an embedded derivative should it be reported in row 380, 400 or both 380 and 400? This would likewise apply to other product types possibly containing embedded derivatives (e.g. covered bonds, convertible compound financial instruments under the Other debt securities issued product type).