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?
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.
This question has been rejected because the issue it deals with is already explained in Part 1, paragraph 6 of Annex XIII to Regulation (EU) No 2021/451 (ITS on Supervisory Reporting).