To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 188.8.131.52) have to be assigned. The recorded exposure relates to a bottom layer macro fair value hedge of mortgage loans. Due to the application of the bottom layer macro fair value hedge approach there is no individual allocation of the exposure value of the hedged item to the individual mortgage loans. Should this exposure be treated as an 'exposure secured by mortgages on immovable property' or as 'other items', and subsequently, which risk weight should be applied to this exposure.
The 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 184.108.40.206) is an accounting correction to the hedged item recorded for a bottom layer macro fair value hedge. The exposure is therefore related to the mortgage loan exposures which are allocated to 'exposure secured by mortgages on immovable property', but can not be individually assigned to the individual mortgage loans. Therefore it is unclear to which exposure class it has to be assigned and which risk weight has to be applied. Can the EBA please provide guidance in this matter?
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